Mit dem angedachten Solvabilitätssystem Solvency II werden Versicherer das erforderliche Solvenzkapital anhandihrer tatsächlichen Risikosituation ermitteln müssen. Um diese zu bestimmen und zu quantifizieren, ist dieBerücksichtigung der Abhängigkeiten zwischen den Risiken verschiedener...

In presence of panel data, technical efficiency is used to compare the performances of Decision-Making Units (DMUs). The novelty of this paper is the consideration of the dependence between the two error terms in the case of panel data and the introduction of time effect models in the Stochastic...

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

I show that sharp identified sets in a large class of econometric models can be characterized by solving linear systems of equations. These linear systems determine whether, for a given value of a parameter of interest, there exists an admissible joint distribution of unobservables that can...

In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long memory is reexamined here. Common estimators of the long...