The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a representation theorem for dynamic risk measures and...

This paper documents a marked increase in international consumption risk sharing throughout the recent globalization period. Unlike earlier studies that have found it difficult to document a consistent effect of financial globalization on international consumption comovements, we make use of the...

This paper analyses the link between educational attainment and unemployment risk in a French-German comparison, based on a discrete time competing risks hazard rate model applied to comparable microdata sets. The unemployment risk is broken down into the risk of entering unemployment and the...

This paper analyzes changes in the risk of unemployment and changes in the distribution of unemployment duration for the 26 to 41 years old working population in West-Germany during the 1980ties and 1990ties. The comprehensive IAB employment subsample 1975- 1997 is used for the analysis. It...

This paper analyses the relationship between education, gender and earnings in France and Germany. The model chosen here enables to estimate the impact of education not only on the expected earnings level but also on their dispersion, taking gender-specific sample selectivity into account. The...

This paper analyses the determination of match attendance in the German premier football league by applying models derived from Peel/Thomas (1992) and Janssens/Késenne (1987). Additionally we develop an improved version, where we incorporate the supporter clubs and the weather conditions as...

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

This paper studies implications of uncertainty about the arrival date of a competitive CO2 backstop technology for the design of cost-effective CO2 emission trading schemes. For this purpose, we develop a dynamic general equilibrium model that captures empirical links between CO2 emissions...

Financial theory creates a puzzle. Some authors argue that high-risk entrepreneurs choose debt contracts instead of equity contracts since risky but high returns are of relatively more value for a loan-financed firm. On the contrary, authors who focus explicitly on start-up finance predict that...

In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB.We find that maximal insurance across this model range in terms of aMinimax policy comes at moderate...