We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...

We generalize the refinement ordering for well calibrated probability forecasters to the case were the debtors under consideration are not necessarily identical. This ordering is consistent with many well known skill scores used in practice. We also add an illustration using default predictions...

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Das Statistische Bundesamt möchte mit diesen jährlichen wissenschaftlichen Auszeichnungen die Zusammenarbeit zwischen Wissenschaft und amtlicher Statistik weiter intensivieren. Zugleich soll der Preis junge Wissenschaftlerinnen und Wissenschaftler ermutigen, das vielfältige Datenangebot der...

Mit dem Gerhard-Fürst-Preis des Statistischen Bundesamtes werden Arbeiten in den Kategorien Dissertationen und Master- beziehungsweise Bachelorarbeiten ausgezeichnet, die theoretische Themen mit einem engen Bezug zum Aufgabenspektrum der amtlichen Statistik behandeln oder empirische...

We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in...