Narrow search
Showing 1 - 10 of 98
Cover Image
High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
Song, Song; Härdle, Wolfgang K.; Ya'acov Ritov - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...
Persistent link: https://www.econbiz.de/10010587711
Cover Image
Implied Market Price of Weather Risk
Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Weather influences our daily lives and choices and has an enormous impact on corporate revenues and earnings. Weather derivatives dier from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...
Persistent link: https://www.econbiz.de/10005677972
Cover Image
Statistical Modelling of Temperature Risk
Anastasiadou, Zografia; BrendaLópez-Cabrera - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
model describes well the stylised facts of temperature: seasonality, intertemporal correla- tions and the heteroscedastic …
Persistent link: https://www.econbiz.de/10010543378
Cover Image
Localising temperature risk
Härdle, Wolfgang Karl; Cabrera, Brenda López; Okhrin, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
temperature dynamics is a stochastic model with seasonality and inter temporal autocorrelation. Empirical work based on … seasonality and autocorrelation correction reveals that the obtained residuals are heteroscedastic with a periodic pattern. The … optimal smooth- ing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and …
Persistent link: https://www.econbiz.de/10008776044
Cover Image
The U.S. Business Cycle, 1867-1995: Dynamic Factor Analysis vs. Reconstructed National Accounts
Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility across World War I, which is reversed...
Persistent link: https://www.econbiz.de/10005678012
Cover Image
Does umbrella branding really work? Investigating cross-category brand loyalty
Silberhorn, Nadja; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Numerous studies on the drivers of brand extension success [Aaker and Keller, 1990, Broniarczyk and Alba, 1994, Hem et al., 2003, Völckner and Sattler, 2006] found evidence that parent-brand characteristics and the fit between parent brand and transfer product are the main and most influential...
Persistent link: https://www.econbiz.de/10010543379
Cover Image
Volatility of price indices for heterogeneous goods
Bocart, Fabian Y.R.P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
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...
Persistent link: https://www.econbiz.de/10010550537
Cover Image
Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical...
Persistent link: https://www.econbiz.de/10009351507
Cover Image
Fair re-valuation of wine as an investment
Bocart, Fabian Y.R.P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
The prices of wine is a key topic for market participants interested in valuing their stock, including dealers, restaurants or consumers who may be interested in optimizing their purchases. As a closely related issue, re-valuation is the need to regularly update the value of a stock. This need...
Persistent link: https://www.econbiz.de/10010640723
Cover Image
On the Existence of the Moments of the Asymptotic Trace Statistic
Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe- gration rank in a vector autoregressive model and whose moments may be used to develop panel cointegration...
Persistent link: https://www.econbiz.de/10005489952