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Properties of Hierarchical Archimedean Copulas

Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

tests and constructing con¯dence intervals. Furthermore, we analyse dependence orderings, multivariate dependence measures … and extreme value copulas. Special attention we pay to the tail dependencies and derive several tail dependence indices …

Persistent link: https://www.econbiz.de/10005489955

Building Loss Models

Burnecki, Krzysztof; Janczura, Joanna; RafaÅ‚ Weron - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper is intended as a guide to building insurance risk (loss) models. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another...

Persistent link: https://www.econbiz.de/10011184074

Beyond dimension two: A test for higher-order tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

test to detect when tail dependence is truly high{dimensional and bivariate simplications would produce misleading results …. This occurs when a signicant portion of the multivariate dependence structure in the tails is of higher dimension than two …. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value …

Persistent link: https://www.econbiz.de/10010895351

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Bodnar, Taras; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

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...

Persistent link: https://www.econbiz.de/10011277292

Solow Residuals without Capital Stocks

Burda, Michael C.; Severgnini, Battista - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

For more than fifty years, the Solow decomposition (Solow 1957) has served as the standard measurement of total factor productivity (TFP) growth in economics and management, yet little is known about its precision, especially when the capital stock is poorly measured. Using synthetic data...

Persistent link: https://www.econbiz.de/10005489960

TFP Growth in Old and New Europe

Burda, Michael C.; Severgnini, Battista - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Using Solow-Tornqvist residuals as well as two alternative measurements, we present estimates of total factor productivity (TFP) growth in a sample of 30 European economies for the period 1994-2005. In most of Western Europe, we find a deceleration of TFP growth since 2000. However, the...

Persistent link: https://www.econbiz.de/10005036232

Institutional Competition, Political Process and Holdup

Deffains, Bruno; Demougin, Dominique - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

We compare the effect of legal and institutional competition for the design of labor institutions in an environment characterized by holdup problems in human and physical capital. We compare autarky with the two country case, assuming that capital is perfectly mobile and labor immobile. We...

Persistent link: https://www.econbiz.de/10005677942

Institutions, Bargaining Power and Labor Shares

Bental, Benjamin; Demougin, Dominique - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

We use a static framework characterized by both moral hazard and holdup problems. In the model the optimal allocation of bargaining power balances these frictions. We examine the impact of improved monitoring on that optimal allocation and its impact upon effort, investment, profits and rents....

Persistent link: https://www.econbiz.de/10005784857

Product policy and the East-West productivity gap

Görzig, Bernd; Gornig, Martin; Voshage, Ramona; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

After 20 years of transition from an economy integrated in an exchange scheme of planned economies towards an open market economy based on the ideas of competition, we ask whether East German firms succeeded in finding their place in the international division of labour. We concentrate on the...

Persistent link: https://www.econbiz.de/10008527067

Monitoring, Information Technology and the Labor Share

Schneider, Dorothee - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

This paper assesses empirically the hypotheses by Bental and Demougin (2010) that innovations in ICT (Information and Communication Technology) reduce the labor share in OECD countries by improving the monitoring technology. In a first step, I show that data trends for the labor share, wages in...

Persistent link: https://www.econbiz.de/10009324209