The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic regression model applied as a predictive model. The assessment is done by comparing the effectiveness of eleven different parameter estimation methods. The results from the...

In this work we study a variant of the GARCH model when we consider the arrival of heterogeneous information in high-frequency data. This model is known as HARCH(n). We modify the HARCH(n) model when taking into consideration some market components that we consider important to the modeling...

Die Simulation von Produktionsprozessen wird heute in einer Vielzahl von Branchen eingesetzt. Simulation dient hierbei zur Analyse, dem Design und der Optimierung der Produktions- und Logistikprozesse und dem dabei anfallenden Ressourceneinsatz und kann hierbei sowohl in der Planung,...

Introduction / Markus Brunnermeier and Arvind Krishnamurthy -- Measurement and disclosure. Challenges in identifying and measuring systemic risk / Lars Peter Hansen ; Regulating systemic risk through transparency: tradeoffs in making data public / Augustin Landier and David Thesmar -- Risk...