This dissertation focuses on monetary policy rules in the OECD countries at both theoretical and empirical levels. It is divided into seven chapters.Chapter 1 presents some recent literature on monetary policy rules and introduces the goal and organization of this dissertation.Chapter 2 explores...

Support Vector Machines (SVMs) are rarely benchmarked against other classification or regression methods. We compare a popular SVM implementation (libsvm) to 16 classification methods and 9 regression methodsall accessible through the software Ruby the means of standard performance measures...

Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...

Successful estimation of the Pareto tail index from extreme order statistics relies heavily on the procedure used to determine the number of extreme order statistics that are used for the estimation. Most of the known procedures are based on the minimization of (an estimate of) the asymptotic...

This paper considers the effect of Parker and Wine Spectator ratings on Swiss retail prices of thegrand cru classé of Médoc , Graves and St Emilion as well as the most renowned wines ofPomerol in a panel data setting. The application of a two-way fixed effects regression model todata of the...

This paper proposes several new tests for structural change in themultivariate linear regression model. One of the most popular alternatives are Sup-Wald type tests along the lines of Bai, Lumsdaine and Stock (1998), which Bernard,Idoudi, Khalaf and Yélou (2007) show to have very large size...

Wir analysieren die Determinanten der Zuschauernachfrage in der Fußballbundesliga in den Saisonen 2001/02 bis 2004/05, d.h. für insgesamt 1224 Spiele. Dafür spezifizieren wir ein ökonometrisches Modell, das die begrenzte Kapazität der Stadien und Heteroskedastizität berücksichtigt. Es...

This paper uses firm-level data on 162 large Hungarian enterprises to analyse the relationship betweenownership structure and corporate performance in 1998 and 1999. Cross-sectional regressions are runfor each of these years using the return on assets (ROA) as the measure of performance. Both...

This paper suggests a factor model for carry trade strategies wherethe regression coeffcients are allowed to depend on market volatility and liquid-ity. Empirical results on daily data from 1995 to 2008 show that a typical carrytrade strategy has much higher exposure to the stock market and also...