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An estimated DSGE model for the German economy within the euro area

Pytlarczyk, Ernest - 2005

This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. We advance the empirical literature by estimating an open-economy model with unfiltered data, which is a much more...

Persistent link: https://www.econbiz.de/10010295778

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Behr, Andreas; Tente, Sebastian - 2008

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...

Persistent link: https://www.econbiz.de/10010298775

Ein Mehrländervergleich zur Effizienz der deutschen Telekommunikationswirtschaft

Erber, Georg - In: DIW Wochenbericht 72 (2005) 34, pp. 495-503

Deutschland auf einem mittleren Platz: Besser schneiden Frankreich und Großbritannien ab, schlechter die Niederlande und die USA …, der erst seit 2000 wieder schrittweise wettgemacht werden konnte. Nachdem Deutschland vorübergehend sogar Schlusslicht …: Deutschland hat auch in der Telekommunikation (TK) später als andere Länder die notwendigen Strukturreformen mit dem Ziel der …

Persistent link: https://www.econbiz.de/10011601608

Would the Bundesbank have prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

Persistent link: https://www.econbiz.de/10011605180

A tale of two countries: A comparison of the aggregate effects of sectoral reallocation in the United States and Germany

Reicher, Christopher Phillip - 2011

This paper compares the aggregate effects of sectoral reallocation in the United States and Western Germany using a stochastic volatility model of sectoral employment growth. Reallocative shocks have no effect on the natural rate of unemployment in either country, and there is mild evidence that...

Persistent link: https://www.econbiz.de/10010277351

Stochastic volatility models: Conditional normality versus heavy tailed distributions

Liesenfeld, Roman; Jung, Robert C. - 1997

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a conditional normal distribution is compa-red with SV...

Persistent link: https://www.econbiz.de/10010435553

An Empirical Comparison of Alternative Stochastic Volatility Models

Belledin, Michael; Schlag, Christian - 1999

Persistent link: https://www.econbiz.de/10010316281

Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10010287012

Can trading volume explain option prices?

Nagel, Hartmut; Schöbel, Rainer - 1998

Persistent link: https://www.econbiz.de/10000660587

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