Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR concept suffers from two problems: how to estimate VaR and...

The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at...

The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely understood how the existing regulation affects...

In dieser ZEW-Kurzanalyse analysieren die Autoren/-innen die Webseiten von circa 1,1 Millionen deutschen Unternehmen zwei Mal wöchentlich auf die Nennung des Wortes "Corona" und entsprechender Synonyme. Anschließend werden die identifizierten Textstellen mittels KI-Textanalysemodellen...

In this ZEW short report, the authors analyze the websites of approximately 1.1 million German companies twice a week for references of the word "Corona" and corresponding synonyms. The identified text passages are then evaluated using AI text analysis models to determine the context of the...

Innovations contribute to economic growth. Hence, knowledge about drivers of innovation activities is a necessary input for economic policy making when it comes to implement targeted support measures. We focus on firms as potential drivers of innovation and use a novel data-driven approach to...

Falsifications of survey data might result in specific statistical properties of the generated data differing from those of the surveyed population. Clustering methods have been proposed to identify potential falsifications based on such indicators. As any statistical procedure, the...

In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecifed...

This paper proposes a new approach of forecasting prospective comparative advantages based on relative prices differences between countries in the context of economic liberalization. An empirical analysis based on the example of Central and East European countries that have already passed the...

The rising trends both in drug addiction and crime rates are of major public concern in Germany. Surprisingly, the economic theory of crime seems to ignore the drugs/crime nexus, whereas the criminological lit- erature considers illicit drug use a main reason of criminal activities. This paper...