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Gefahren kurzsichtigen Risikomanagements durch Value At Risk

Franke, Günter - 2000

Persistent link: https://www.econbiz.de/10010324067

The Informed and Uninformed Agent's Price of a Contingent Claim

Kohlmann, Michael; Zhou, Xun Yu - 1999

The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the filtration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have different...

Persistent link: https://www.econbiz.de/10010324069

Efficient Bargaining and the Skill-Structure of Wages and Employment

Kaiser, Ulrich; Pohlmeier, Winfried - 2000

This paper presents structural estimates for a bargaining model which nests the right-to-manage, the efficient wage bargaining, the seniority and the standard neo- classical labor demand model as special cases. In contrast to most existing models, our approach accounts for heterogeneous skill...

Persistent link: https://www.econbiz.de/10010324070

The impact of delivery risk on optimal production and futures hedging

Adam-Müller, Axel F. A.; Wong, Kit Pong - 2002

additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may … induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity …

Persistent link: https://www.econbiz.de/10010324071

Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions

Hautsch, Nikolaus; Klotz, Stefan - 2001

When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be interpreted as a problem of omitted variables and may seriously bias parameter estimates and harm inference. We suggest a possibility of...

Persistent link: https://www.econbiz.de/10010324073

Local Polynomial Estimation with a FARIMA-GARCH Error Process

Beran, Jan; Feng, Yuanhua - 1999

Persistent link: https://www.econbiz.de/10010324074

Capital Tax Competition with Inefficient Government Spending

Eggert, Wolfgang - 1999

Models of international tax competition typically assume the existence of a benevolent government. This paper presents …

Persistent link: https://www.econbiz.de/10010324075

Kernel smoothed prediction intervals for ARMA models

Abberger, Klaus - 2002

The procedures of estimating prediction intervals for ARMA processes can be divided into model based methods and empirical methods. Model based methods require knowledge of the model and the underlying innovation distribution. Empirical methods are based on the sample forecast errors. In this...

Persistent link: https://www.econbiz.de/10010324076

Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

Beran, Jan; Feng, Yuanhua - 2001

In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are...

Persistent link: https://www.econbiz.de/10010324077

Einfache ökonometrische Verfahren für die Kreditrisikomessung

Kaiser, Ulrich; Szczesny, Andrea - 2000

This paper describes simple econometric methods for the analysis of credit risk and applies them to a data set obtained …. Numerous suggestions for further reading complete this short walk down the econometric quantification of credit risk. …

Persistent link: https://www.econbiz.de/10010324078