Individuals in most industrialized countries have to make investment decisions throughout their adult life span to save for their retirement. These decisions substantially affect their living standards in old age. Research on cognitive aging has already demonstrated several changes in cognitive...

This paper investigates to what extent the fundamentals of the real economy are reflected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identification scheme. Identification of fundamental and nonfundamental shocks is shown to...

This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally effcient estimation procedure allows to recover the structure and the parameters of HACs from data. In addition,...

Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions...

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

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...

We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is larger than the ill-posedness of the problem, which is given by the polynomial...

We give an overview over smooth back tting type estimators in additive models. Moreover we illustrate their wide applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the errors can be transformed to white noise by a...