By applying a linear regression model to monthly time series data from the German equity and money markets, this paper challenges the conventional viewpoint that historical data do not possess any explanatory power for future stock market returns.

In this paper, I describe a structural model of retirement behaviour, in which the multiplicityof alternative retirement ages, the possibility of unobserved heterogeneity and the absorbing state property of the retirement decision are accounted for. As it is based on a relatively simple utility...

In this paper, the impact of the West German pension system on the retirement decisions of elderly citizens is analyzed within the framework of a discrete-time hazard rate model deduced from a micro-economic decision rule. The model is estimated using a balanced panel of elderly West German...

We present a microeconometric study of the impact of financial constraints on investment decisions of 755 quoted and unquoted West German firms over the period 1989 to 1994. The underlying theoretical model is based upon rational expectations and convex adjustment costs. The panel data estimates...

In this paper, the impact of the West German pension system on the retirement decisions of elderly citizens is analyzed within the framework of a discrete-time hazard rate model deduced from a micro-economic decision rule. The model is estimated using a panel dataset of elderly West German...

In this paper, the relative importance of an individual's health status on retirement behaviour is analysed within the framework of a structural, discrete-time hazard rate model which is estimated using a balanced panel of elderly West German men. The results obtained reveal that the presence of...

This paper presents three possible methods by which the credit value at risk estimates coming from the Basel II IRB approach can be significantly improved upon. The feasibility of the suggested approaches is substantiated by applying it to an exemplary model portfolio.

This study shows that the extent to which the asset returns of different obligors are correlated is of vital importance for a realistic assessment credit portfolio risk. The high empirical relevance of this phenomenon is demonstrated by applying a likelihood-based estimation procedure to time...

Der vorliegende Text beschäftigt sich mit den Aktivitäten von Hedgefonds und ihren potenziell nachteiligen Auswirkungen auf die Finanzmarktstabilität. Er zeigt, dass eine Verbesserung der Markttransparenz und die Einführung zentraler Abwicklungsstellen für bilaterale Geschäfte im...