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Spatial risk premium on weather derivatives and hedging weather exposure in electricity

Härdle, Wolfgang Karl; Osipenko, Maria - 2011

Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a...

Persistent link: https://www.econbiz.de/10010319196

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Persistent link: https://www.econbiz.de/10010330969

Monetary policy, determinacy, and the natural rate hypothesis

Meyer-Gohde, Alexander - 2011

Imposing the natural rate hypothesis (NRH) can dramatically alter the determinacy bounds on monetary policy by closing the output gap in the long run. I show that the hypothesis eliminates any role for the output gap in determinacy and renders the conditions for determinacy identical for all...

Persistent link: https://www.econbiz.de/10010333041

Quantal Response Equilibrium : A Stochastic Theory of Games

Goeree, Jacob K. - 2016

Quantal Response Equilibrium presents a stochastic theory of games that unites probabilistic choice models developed in … psychology and statistics with the Nash equilibrium approach of classical game theory. Nash equilibrium assumes precise and … is not perfectly predictable. In contrast, QRE models choice behavior as probabilistic and extends classical game theory …

Persistent link: https://www.econbiz.de/10014482331

Handbook of economic forecasting ; Volume 2

Elliott, Graham (ed.); Timmermann, Allan (ed.) - 2013 - 1. ed.

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...

Persistent link: https://www.econbiz.de/10012254696

Optimal investments for risk- and ambiguity-averse preferences: A duality approach

Schied, Alexander - 2005

Ambiguity, also called Knightian or model uncertainty, is a key feature in financial modeling. A recent paper by Maccheroni et al. (2004) characterizes investor preferences under aversion against both risk and ambiguity. Their result shows that these preferences can be numerically represented in...

Persistent link: https://www.econbiz.de/10010263608

The Bologna Process: How student mobility affects multi-cultural skills and educational quality

Mechtenberg, Lydia; Strausz, Roland - 2006

We analyze the two goals behind the European Bologna Process of increasing student mobility: enabling graduates to develop multi-cultural skills and increasing the quality of universities. We isolate three effects: 1) a competition effect that raises quality; 2) a free rider effect that lowers...

Persistent link: https://www.econbiz.de/10010263625

Do individuals recognize cascade behavior of others? An experimental study

Grebe, Tim; Schmid, Julia; Stiehler, Andreas - 2006

In an information cascade experiment participants are confronted with artificial predecessors predicting in line with the BHW model (Bikchandani et al. 1992). Using the BDM (Becker et al., 1964) mechanism we study participants' probability perceptions based on maximum prices for participating in...

Persistent link: https://www.econbiz.de/10010263660

What kind of shock was it? Regional integration and structural change in Germany after unification

Burda, Michael C. - 2006

Eastern Germany's recovery from the unification shock has been characterized by deep structural change - with apparent repercussions for the West as well - and an integration process involving both capital deepening (extensive and intensive investment) and labor thinning (net out-migration). I...

Persistent link: https://www.econbiz.de/10010263667

Robust risk management: Accounting for nonstationarity and heavy tails

Chen, Ying; Spokoiny, Vladimir - 2007

process is considered. A complete theory addresses both issues. In our study, we demonstrate the implementation of the …

Persistent link: https://www.econbiz.de/10010263671