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Bayesian demographic modeling and forecasting: an application to U.S. mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

Persistent link: https://www.econbiz.de/10010276366

Modeling and forecasting age-specific mortality: a Bayesian approach

Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008

We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the United States, building on the LeeCarter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables...

Persistent link: https://www.econbiz.de/10010276367

Meteorological forecasts and the pricing of weather derivatives

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010

In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...

Persistent link: https://www.econbiz.de/10010281477

Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011

We propose the systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the...

Persistent link: https://www.econbiz.de/10010281566

On the dark side of the market: Identifying and analyzing hidden order placements

Hautsch, Nikolaus; Huang, Ruihong - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10010281585

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010318750

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so … distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a …

Persistent link: https://www.econbiz.de/10010318757

Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2012

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...

Persistent link: https://www.econbiz.de/10010318787

Die aufkommende Geopolitik von Carbon Capture & Storage (CCS) in Asien : transregionale Verbindungen und Implikationen für Deutschland und Europa

Ansari, Dawud; Gehrung, Rosa Melissa; Pepe, Jacopo Maria - Stiftung Wissenschaft und Politik - 2024

Derzeit verschärft sich der Wettbewerb um die CO2-Abscheidung und ‑Speicherung sowie ‑Nutzung (CCS/CCU). Bislang (noch) von Nordamerika dominiert, sind es nun insbesondere Akteure im Großraum Asien - von Saudi-Arabien bis Japan -, die diese Technologien vorantreiben. In deren sich...

Persistent link: https://www.econbiz.de/10015051557

Ukraine's international legion and its volunteers

Greenwood, Maja Touzari Janesdatter - 2024

The Russian war on Ukraine brought many surprises, one of which was the establishment of the International Legion for Defence of Ukraine. Thousands of international volunteers from numerous countries including Denmark flocked to join the legion - some veterans from their national armies, some...

Persistent link: https://www.econbiz.de/10015070501