Financial models are largely used in option pricing. These physical models capture several salient features of asset price dynamics. The pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches, that empirically learn and correct pricing...

We study Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and consider...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknownp-quantile regression curve of Y on X. A quantile-smootherln(x) is a localised, nonlinear estimator of l(x). The strong uniformconsistency rate is established under general conditions. In many applicationsit is necessary to...

Die Gestaltung der Produktpalette war ein zentrale Herausforderung für ostdeutsche Unternehmen nach der Wende. Spezialisierung oder eine diffuse Generalistenstrategie war die Frage. Welche Strategie sich durchgesetzt hat und ob der Anschluss an den Westen gelang, wird in dieser Arbeit erstmals...

The vast majority of regions in West Germany, and the EU, have become more similar in terms of per-capita income and productivity between 1980 and 2000. But a number of rich areas - generally large agglomerations - have succeeded in departing from this trend ofconvergence. They are continuing to...

Functional principal component analysis (FPCA) based on theKarhunen-Lo`eve decomposition has been successfully applied in manyapplications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only...

East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wagesspecified in collective wage agreements is drifting ever further apart from the wagegap in terms of effective wages. This paper looks at the role of...

Die Gestaltung der Produktpalette war ein zentrale Herausforderung für ostdeutsche Unternehmer nach der Wende. Spezialisierung oder diffuse Generalistenstrategie war die Frage. Welche Strategie sich durchgesetzt hat und ob der Anschluss an den Westen gelang, wird in dieser Arbeit erstmals auf...