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::: Publications of the CRC 649 "Economic risk"
| Publication | Project | Paper | Abbassi, P., Nautz, D. (2012), Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations,
The North American Journal of Economics and Finance, 23(1), 54-69.
DOI : 10.1016/j.najef.2011.11.002 | Z | | Duran, E.A., Härdle, W. and Osipenko, M. (2012), Difference based Ridge and Liu type Estimators in Semiparametric Regression Models,
Journal of Multivariate Analysis, 105, 164-175.
DOI : 10.1016/j.jmva.2011.08.018 | B1 |  | Guo, M.M. and Härdle, W. (2012), A Confidence Band for Expectile Functions,
Advances in Statistical Analysis.
DOI : 10.1007/s10182-011-0182-1 | B1 | | Härdle, W., Jeong, K. and Song, R. (2012), A consistent nonparametric test for causality in quantile,
Econometric Theory, 3(28), 1-27.
DOI : 10.1017/S0266466611000685 | B1 | | Hautsch, N. (2012), Econometrics of Financial High-Frequency Data,
Springer, Berlin.
DOI : DOI 10.1007/978-3-642-21925-2 | B8 | | Jin Chuan Duan, Wolfgang Karl Härdle and James E. Gentle (2012), Handbook of Computational Finance ,
Springer Verlag, 1(1), 1 - 804.
DOI : 10.1007/978-3-642-17254-0 | B1 | | Lottmann, Franziska (2012), Spatial dependencies in German matching functions,
Regional Science and Urban Economics, 1-2(42), 27-41.
DOI : 10.1016/j.regsciurbeco.2011.04.007 | B8 | | Weber, E. (2012), Regional and outward economic integration in South-East Asia,
Applied Economics, 10(44), 1271-1283.
DOI : 10.1080/00036846.2010.539543 | Z | | Xia, Y., Härdle, W. and Linton, O. (2012), Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator in Exploring Research Frontiers in Contemporary Statistics and Econometrics, Van Keilegom, I. and Wilson, W. (eds),
Springer Verlag, 229 - 261.
DOI : 10.1007/978-3-7908-2349-3 | B1 | | Bachmann R. and Braun S. (2011), The Impact of International Outsourcing on Labour Market Dynamics in Germany,
Scottish Journal of Political Economy, 1(58), 1–28.
DOI : 10.1111/j.1467-9485.2010.00535.x | C7 | | Basteck, C., Daniëls, T. R. (2011), Every symmetric global game of strategic complementarities
has noise-independent selection,
Journal of Mathematical Economics, 47(6), 749-754.
DOI : 10.1016/j.jmateco.2011.10.004 | C10 | | Biele G., Rieskamp J., Krugel L.K., Heekeren H.R. (2011), The Neural Basis of Following Advice,
PLoS Biology, 9(6).
DOI : 10.1371/journal.pbio.1001089 | A12 | | Braun, S (2011), Unionisation structures, productivity and
firm performance: New insights from a heterogeneous firm model,
Labour Economics, 1(18), 120-129.
DOI : 10.1016/j.labeco.2010.08.004 | C7 | | Chen, S., Härdle, W. and Moro, R. (2011), Modelling Default Risk with Support Vector Machines,
Quantitative Finance, 1(11), 135 - 154.
DOI : 10.1080/14697680903410015 | B1 | | Chen, Y., Härdle, W. and Pigorsch, U. (2011), Localized Realized Volatility,
Journal of the American Statistical Association.
DOI : DOI: 10.1198/jasa.2010.ap09039 | B1 | | Cizek P., Härdle W., Weron R. (2011), Statistical Tools for Finance and Insurance,
Springer Verlag, 2(4), 1 - 420.
DOI : 10.1111/j.1467-985X.2006.00446_4.x | B1 | | Eckel, S., Löffler, G., Maurer, A., Schmidt, V. (2011), Measuring the effects of geographical distance on stock market correlation,
Journal of Empirical Finance, 2(18), 237-247.
DOI : 10.1016/j.jempfin.2010.12.001 | Z | | Fischkin, M., Gassen J. (2011), Ökonomie des Abschlussprüferwechsels,
Zeitschrift für Betriebswirtschaft, 1(81).
DOI : 10.1007/s11573-011-0481-8 | A7 | | Franke, J., Härdle, W. and Hafner, Ch. (2011), Statistics of Financial Markets: An Introduction.
ISBN: 978-3-642-16520-7,
Springer Verlag, 3, 1-599.
DOI : 10.1007/978-3-642-16521-4_2 | B1 | | Groß-Klußmann A., Hautsch N. (2011), When machines Read the News: Using Automated Text Analytics to Quantify High Frequency News-Implied Market Reactions,
Journal of Empirical Finance, 2(18).
DOI : 10.1016/j.jempfin.2010.11.009 | B8 | | Hanewald, K., Post, T., and Gründl, H. (2011), Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency,
The Geneva Papers on Risk and Insurance - Issues and Practice.
DOI : 10.1057/gpp.2011.14 | B9 | | Härdle, K. Härdle and López Cabrera, B. (2011), The implied market price of
weather risk,
Applied Mathematical Finance, 1–37.
DOI : 10.1080/1350486X.2011.591170 | B1 | | Hautsch N., Hess D., Veredas D. (2011), The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility,
Journal of Banking and Finance.
DOI : 10.1016/j.jbankfin.2011.03.004 | B8 | | Ivanova-Stenzela Radosveta (2011), Gender Differences in Team Work and Team Competition ,
Journal of Economic Psychology, 1(32).
DOI : 10.1016/j.joep.2011.05.011 | A6 | | Kartik Anand, Alan Kirman and Matteo Marsili (2011), Epidemics of rules, rational negligence and market crashes,
The European Journal of Finance, 1-10.
DOI : 10.1080/1351847X.2011.601872 | C10 | | Kremer S., Nautz D. (2011), Short-term Herding of Institutional
Traders: New Evidence from the
German Stock Market,
European Financial Management.
DOI : 10.1111/j.1468-036X.2011.00607.x | C14 | | Löffler, G., Maurer, A. (2011), Incorporating the dynamics of leverage into default prediction,
Journal of Banking & Finance, 12(35), 3351-3361.
DOI : 10.1016/j.jbankfin.2011.05.015 | Z | | Lohse, A. (Hrsg. Schütt, H.) (2011), Portfoliooptimierung mit Rohstoffinvestments,
Deutsches Institut für Bankwirtschaft, Schriftenreihe(7), 1-81. | Z | | Matthias Ritter, Oliver Musshoff and Martin Odening (2011), Meteorological Forecasts and the Pricing of Temperature Futures,
The Journal of Derivatives, 19(2), 45-60.
DOI : 10.3905/jod.2011.19.2.045 | C11 | | Mußhoff, O., Odening, M., and Xu, W. (2011), Management of Climate Risks in
Agriculture - Will Weather Derivatives Permeate?,
Applied Economics, 9(43), 1067-1077.
DOI : 10.1080/00036840802600210 | C11 | | Nautz, D., Scharff, J. (2011), Inflation and Relative Price Variability in the Euro Area: Evidence from a Panel Threshold Model, forthcoming in Applied Economics..
,
Applied Economics, 1.
DOI : 10.1080/00036846.2010.508729 | C14 | | Nautz, D., Scheithauer,J. (2011), Monetary Policy Implementation and Overnight Rate Persistence,
Journal of International Money and Finance, 1(30), 1375-1386.
DOI : 10.1016/j.jimonfin.2011.07.005 | C14 | | Park SQ, Kahnt T, Rieskamp J, Heekeren HR (2011), Neurobiology of value integration: When value impacts valuation,
Journal of Neuroscience, 25(31), 9307-9314.
DOI : 10.1523/JNEUROSCI.4973-10.2011 | A12 | | R. Strausz, D. Krähmer (2011), Optimal Procurement Contracts with Pre–Project Planning,
Review of Economic Studies, 3(78), 1015-1041.
DOI : 10.1093/restud/rdq033 | A8 | | Reiß, M. (2011), Asymptotic equivalence for inference on the volatility from noisy observations,
Annals of Statistics, 2(39), 772-802.
DOI : 10.1214/10-AOS855 | C12 | | Schulz R. and Werwatz A. (2011), Is there an equilibrating relationship between house prices and replacement cost? Empirical evidence from Berlin,
Journal of Urban Economics, 3(69), 288-302.
DOI : 10.1016/j.jue.2010.12.003 | B3 | | Strausz R. (2011), Regulatory Risk under Optimal Incentive Regulation,
Economic Journal, 1(121), 740-762.
DOI : 10.1111/j.1468-0297.2011.02441.x | A8 | | Strausz R., Krähmer D. (2011), "Optimal Procurement Contracts with Pre–Project Planning",
forthcoming in Review of Economic Studies.
DOI : 10.1093/restud/rdq033 | A8 | | Strausz, R. (2011), Comments to “Correlated information, mechanism design and informational rents” [J. Econ. Theory 123 (2) (2005) 210-217]” (with D. Krähmer),
Journal of Economic Theory, 2(123), 210-217.
DOI : 10.1016/j.jet.2011.05.005 | A8 | | V. Krätschmer, H. Zähle (2011), Sensitivity of risk measures with respect to the normal approximation of total claim distributions,
Insurance: Mathematics and Economics, 3(49), 335-344.
DOI : 10.1016/j.insmatheco.2011.05.004 | B5 | | Weber, E. (2011), What happened to the transatlantic capital market relations? ,
Economic Modelling, 28(3), 877-884.
DOI : 10.1016/j.econmod.2010.10.017 | Z | | Wiebach, N., Hildebrandt, L. (2011), Explaining customers’ switching patterns to brand delisting,
Journal of Retailing and Consumer Services.
DOI : doi:10.1016/j.jretconser.2011.08.001 | B2 | | Xia, C., Härdle, W. and Zhu, L. (2011), Generalized single index models: the EFM approach,
Annals of Statistics, 3(39), 1658–1688.
DOI : 10.1214/10-AOS871 | B1 | | Abbassi, P., Nautz, D., Offermanns, C. (2010), Interest Rate Dynamics and Monetary Policy Implementation in Switzerland,
Swiss Journal of Economics, 1(13), 313-340. | C14 | | Basten U., Biele G. P., Heekeren H. R. and Fiebach C. J. (2010), How the brain integrates costs and benefits during decision making.,
Proceedings of the National Academy of Sciences (PNAS), 50(107), 21767–21772.
DOI : 10.1073/pnas.0908104107 | A12 | | Braun, S., Dwenger, N. and Kübler, D. (2010), Telling
the Truth May Not Pay Off: An Empirical Study of Centralized University
Admissions in Germany,
B.E. Journal of Economic Analysis & Policy, Vol. 10: Issue 1 (Advances), Article 10, 1(10).
DOI : 10.2202/1935-1682.2294 | A6 / C7 | | Busch, U. , Nautz, D. (2010), Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area,
German Economic Review, 3(11), 367-380.
DOI : 10.1111/j.1468-0475.2009.00480.x | C14 | | Chen, S., Härdle, W. and Jeong, K. (2010), Forecasting volatility with support vector machine-based GARCH model,
J. Forecasting, 406-433.
DOI : 10.1002/for.1134 | B1 | | Chen, Y., Härdle, W., and Spokoiny, V. (2010), GHICA - Risk Analysis with
GH Distributions and Independent Components,
Journal of Empirical Finance, 1(17), 255-269.
DOI : 10.1016/j.jempfin.2009.09.005 | B1 | | Detlefsen, K., Härdle, W. and Moro, R. (2010), Empirical Pricing Kernels and Investor Preferences,
Mathematical Methods in Economics and Finance (ISSN 1971-6419), 1(3), 19-48. | B1 | | Goumlrzig B., Gornig M., Voshage R., Werwatz A. (2010), Eastern Germany on the brink of closing the productivity gap? Firm level evidence from manufacturing ,
Post-Communist Economies, 4(22), 499 - 511.
DOI : 10.1080/14631377.2010.518459 | B3 | | Hanewald, K. (2010), Factors driving aggregate mortality rates in postwar Germany,
Zeitschrift für die gesamte Versicherungswissenschaft, 2(99), 211–229.
DOI : 10.1007/s12297-010-0086-2 | B9 | | Härdle, W. and Lopez Cabrera, B. (2010), Calibrating CAT bonds for Mexican earthquakes,
J. Risk and Insurance, 625 - 650.
DOI : 10.1111/j.1539-6975.2010.01355.x | B1 | | Härdle,W. and Okhrin, O. (2010), De Copulis non est disputandum. Copulae: an overview,
AStA - Advances in Statistical Analysis, 1(94), 1-31.
DOI : 10.1007/s10182-009-0118-1 | B1 | | Härdle,W. and Song, R. (2010), Confidence Bands in Quantile Regression,
Econometric Theory, 1(26), 1-22.
DOI : 10.1017/S0266466609990491 | B1 | | Hautsch N., Kyj L.M., Oomen R.C.A. (2010), “A blocking and regularization approach to high dimensional realized covariance estimation,
Journal of Applied Econometrics.
DOI : 10.1002/jae.1218 | B8 | | Hautsch N., Yang F. (2010), "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model,
Computational Statistics and Data Analysis.
DOI : 10.1016/j.csda.2010.07.003 | B8 | | Kappus J., Reiß M. (2010), Estimation of the characteristics of a Lévy
process observed at arbitrary frequency,
Statistica Neerlandica, 3(64), 314–328.
DOI : 10.1111/j.1467-9574.2010.00461.x | C12 | | Klinke, S., Mihoci, A., Härdle, W. (2010), Exploratory factor analysis in Mplus, R and SPSS.,
ICOTS-8 Conference Proceedings on CD. Session 4F4. | B1 | | Krätschmer V., Schoenmakers J. (2010), Representations for optimal stopping under dynamic monetary utility functionals,
SIAM Journal on Financial Mathematics, 1(1), 811-832. | B5 | | Meyer-Gohde, A. (2010), Linear Rational-Expectations Models with Lagged Expectations: A Synthetic Method,
Journal of Economic Dynamics and Control, 1(34), 984-1002.
DOI : 10.1016/j.jedc.2010.01.002 | C10 | | Mohr, P. N. C., Biele, G., Krugel, L. K., Li, S. C., & Heekeren, H. R. (2010), Neural foundations of risk-return trade-off in investment decisions,
Neuroimage.
DOI : 10.1016/j.neuroimage.2009.10.060 | A12 | | Mohr, P. N. C., Li, S. C., & Heekeren, H. R. (2010), Neuroeconomics and aging: Neuromodulation of economic decision making in old age,
Neurosci Biobehav Rev..
DOI : 10.1016/j.neubiorev.2009.05.010 | A12 | | Mohr, P.N.C. and Nagel, I.E. (2010), Variability in brain activity as an individual difference measure in neuroscience?,
Journal of Neuroscience, 7755-7757.
DOI : 10.1523/JNEUROSCI.1560-10.2010 | A12 | | Mohr, P.N.C., Biele, G., Heekeren, H.R. (2010), Neural Processing of Risk,
Journal of Neuroscience, 30(19), 6613-6619.
DOI : 10.1523/JNEUROSCI.0003-10.2010 | A12 | | Nautz D. and Rondorf U. (2010), The (in)stability of money demand in the euro area:
lessons from a cross-country analysis,
Empirica, 1(1).
DOI : 10.1007/s10663-010-9139-y | C14 | | Ritov, Y. and Härdle, W. (2010), Investors‘ preference: Estimating and demixing of the weight function in semiparametric models for biased samples,
Statistica Sinica, 2(20), 771-786. | B1 | | Söhl, J. (2010), Polar sets for anisotropic Gaussian random fields,
Statistics & Probability Letters, 9-10(80), 840-847.
DOI : 10.1016/j.spl.2010.01.018 | C12 | | Weber, E. (2010), Structural Conditional Correlation,
Journal of Financial Econometrics, 8(3), 392-407.
DOI : 10.1093/jjfinec/nbp025 | Z | | Weber, E. (2010), Volatility and causality in Asia Pacific financial markets,
Applied Financial Economics, 20(16), 1269-1292.
DOI : 10.1080/09603107.2010.485926 | Z | | Xu, W., Filler, G., Odening, M., and Okhrin, O. (2010), On the systemic
nature of weather risk,
Agricultural Finance Review, 2(70), 267-284.
DOI : 10.1108/00021461011065283 | C11 | | Zhang, J. L. and Härdle, W. (2010), The Bayesian Additive Classification Tree Applied to Credit Risk Modelling,
Computational Statistics and Data Analysis, 1(54), 1197 -1205.
DOI : 10.1016/j.csda.2009.11.022 | B1 | | Adam, Tim (2009), Capital Expenditures, Financial Constraints, and the Use of Options,
Journal of Financial Economics, 2(92), 238 - 251.
DOI : 10.1016/j.jfineco.2008.04.007 | A13 | | Bauwens L., Hautsch N. (2009), Modelling Financial High Frequency Data Using Point Processes. ,
Handbook of Financial Time Series.
DOI : 10.1007/978-3-540-71297-8_41 | B8 | | Becker, S. and Nautz, D. (2009), Inflation and Relative Price Variability: New Evidence for the United States,
Southern Economic Journal, 76(1), 146-164.
DOI : 10.4284/sej.2009.76.1.146 | C14 | | Belomestny, D., Bender, Ch. and Schoenmakers, J. (2009), True upper bounds
for Bermudan products via non-nested Monte Carlo,
Mathematical Finance, 19(1), 53-71.
DOI : 10.1111/j.1467-9965.2008.00357.x | B7 | | Belomestny, D., Kampen, J. and Schoenmakers, J. (2009), Holomorphic transforms with application to affine processes,
Journal of Functional Analysis, 257(4), 1222-1250.
DOI : 10.1016/j.jfa.2009.03.013 | B7 | | Belomestny, D., Milstein, G. and Spokoiny, V. (2009), Regression methods in pricing American
and Bermudan options using consumption processes,
Quantitative Finance, 9(3), 315-327.
DOI : 10.1080/14697680802165736 | B7 | | Benko, M., Härdle, W. and Kneip, A. (2009), Common Functional Principal Components,
Ann. Statist., 1(37), 1-34.
DOI : 10.1214/07-AOS516 | B1 | | Boeri,T. and Burda, M. (2009), Preferences for Rigid versus Individualized Wage Setting,
Economic Journal, 1(199), 1440-1463.
DOI : 10.1111/j.1468-0297.2009.02286.x | C7 | | Braun, S. and Dwenger, N. (2009), Success in the University
Admission Process in Germany: Regional Provenance Matters,
Higher Education: The International Journal of Higher Education and Educational Planning, 58(1), 71-80.
DOI : 10.1007/s10734-008-9182-9 | C7 | | Cizek, P., Härdle, W., and Spokoiny, V (2009), Statistical Inference for Time-inhomogeneous volatility models,
Econometrics Journal,, 2(12), 248 - 271.
DOI : 10.1111/j.1368-423X.2009.00292.x | B1 | | Cornand, C. and Heinemann, F. (2009), Speculative Attacks with Multiple Sources of Public Information,
Scandinavian Journal of Economics, 111(1), 73-102.
DOI : 10.1111/j.1467-9442.2008.01555.x | C10 | | Giacomini, E., Härdle, W., Spokoiny, V. (2009), Inhomogeneous Dependence Modeling with Time-Varying Copulae,
Journal of Business and Economic Statistics, 224-234.
DOI : 10.1198/jbes.2009.0016 | B1, B5 | | Giacomini, E., Härdle,W. and Krätschmer, V. (2009), Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation,
AStA - Advances in Statistical Analysis, 4(93), 387-402.
DOI : 10.1007/s10182-009-0115-4 | B1 | | Härdle, W. and Hlavka, Z. (2009), Dynamics of State Price Densities,
J. Econometrics, 1(150), 1 - 15.
DOI : 10.1016/j.jeconom.2009.01.005 | B1 | | Härdle, W., Lee, Y.J., Schäfer, D. and Yeh, Y.R. (2009), Variable Selection and Over-sampling in the Use of Smooth Support Vector Machines for Predicting the Default Risk of Companies.,
J. Forecasting, 28(6), 512-534.
DOI : 10.1002/for.1109 | B1 | | Kragl, J. and Schmid, J. (2009), The Impact of Envy on Relational Employment Contracts,
Journal of Economic Behavior and Organization, 1(72), 766-779.
DOI : 10.1016/j.jebo.2009.07.016 | A6 / C7 | | Krugel, L. K., Biele, G., Mohr, P. N. C., Li, S. C., & Heekeren, H. R. (2009), Genetic variation in dopaminergic neuromodulation influences the ability to rapidly and flexibly adapt decisions,
Proc Natl Acad Sci U S A, 106(42), 17951-17956.
DOI : 10.1073/pnas.0905191106 | A12 | | Mell, T., Wartenburger, I., Marschner, A., Villringer, A., Reischies, F. M., & Heekeren, H. R. (2009), Altered Function of Ventral Striatum during Reward-Based Decision Making in Old Age.,
Front Hum Neurosci, 3(34). | A12 | | Nautz, D. and Schmidt, S. (2009), Monetary Policy Implementation and the Federal Funds Rate,
Journal of Banking and Finance, 33(7), 1274-1284.
DOI : 10.1016/j.jbankfin.2009.01.009 | C14 | | Park, B.U., Mammen, E., Härdle, W and Borak, S. (2009), Time Series Modelling With Semiparametric
Factor Dynamics,
Journal of the American Statistical Association, 104(485), 284 - 298. | B1 | | Severgnini,B. and Burda,M. (2009), TFP Growth in Old and New Europe,
Comparative Economic Studies, 1(51), 447-466.
DOI : 10.1057/ces.2009.19 | C7 | | Strausz R. (2009), Planned Obsolescence as an Incentive Device for Unobservable Quality,
The Economic Journal, 1(119), 1405-1421.
DOI : 10.1111/j.1468-0297.2009.02290.x. | A8 | | Strausz R. (2009), Monopoly Distortions in Durability and Multi-Dimensional Quality,
Economics Letters, 1(105), 333-335.
DOI : 10.1016/j.econlet.2009.09.009 | A8 | | Strausz R. (2009), Entrepreneurial Financing, Advice, and Agency Costs,
Journal of Economics & Management Strategy, 1(18), 845-870.
DOI : 10.1111/j.1530-9134.2009.00231.x | A8 | | Strausz R., Burkhardt K. (2009), Accounting Transparency and the Asset Substitution Problem,
The Accounting Review, 3(84), 689-713.
DOI : 10.2308/accr.2009.84.3.689 | A8 | | Tsay, W. J. and Härdle, W. (2009), A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter,
Journal of Statistical Computation and Simulation,, 79(5), 731 — 745.
DOI : 10.1080/00949650801910239 | B1 | | Weber, E. (2009), Common and uncommon sources of growth in Asia Pacific.,
Journal of the Japanese and International Economies, 23(1), 20-36.
DOI : 10.1016/j.jjie.2009.01.003 | Z | | Bick, A. and Nautz, D. (2008), Inflation Thresholds and Relative Price
Variability: Evidence from U.S. Cities,
International Journal of Central Banking, 4(3), 61-76.
DOI : n.a. | C14 | | Blaskowitz O., Herwartz H. (2008), Adaptive Forecasting of the EURIBOR Swap Term Structure,
Journal of Forecasting, 7(28), 575-594.
DOI : 10.1002/for.1121 | B8 | | Cizek, P. and Härdle, W. (2008), Robust Estimation in Econometrics, in The New Palgrave Dictionary of Economics, Steven N.
Durlauf and Lawrence E. Blumeeds (eds.), 2nd edition,
, Palgrave Macmillan (Basingstoke and New York).
DOI : 10.1057/9780230226203.1452. | B1 | | Härdle, W. and Mungo, J. (2008), Long Memory Persistence in the Factor of Implied Volatility Dynamics,
International Research Journal of Finance and Economics, 213 - 230. | B1 | | Hassler, U., Nautz, D (2008), On the Persistence of the Eonia Spread,
Economics Letters, 101(3), 184-187.
DOI : 10.1016/j.econlet.2008.08.004 | C14 | | Hoffmann M., Reiß M. (2008), NONLINEAR ESTIMATION FOR LINEAR INVERSE PROBLEMS
WITH ERROR IN THE OPERATOR,
The Annals of Statistics, 1(36), 310 - 336.
DOI : 10.1214/009053607000000721 | C12 | | Lixing Zhua, Ruoqing Zhub, Song Song (2008), Diagnostic checking for multivariate regression models,
ScienceDirect / Journal of Multivariate Analysis 99, 1841 - 1859. | B1 | | Nautz, D. and Offermanns, C. J. (2008), Volatility Transmission in the European Money Market,
North American Journal of Economics and Finance, 19(1), 23-39.
DOI : 10.1016/j.najef.2007.07.005 | C14 | | Nautz, D. and Ruth, K. (2008), Monetary Disequilibria and the Euro-Dollar Exchange Rate,
European Journal of Finance, 14(8), 701-716.
DOI : 10.1080/13518470802042310 | C14 | | Neumann M., Reiß M. (2008), Nonparametric estimation for Lévy processes from low-frequency observations,
Statistics Theory. | C12 | | Chen, X., Reiß, M. (2007), On rate optimality for ill-posed inverse problems in econometrics,
Journal of Econometric Theory.
DOI : 10.1017/S0266466610000381 | C12 | | Dalayan A., Reiß M. (2006), ASYMPTOTIC STATISTICAL EQUIVALENCE
FOR SCALAR ERGODIC DIFFUSIONS,
Probability Theory and Related Fields, 2(134), 248-282. | C12 | | Gapeev P., Reiß M. (2006), An optimal stopping problem in a diffusion-type model
with delay,
Statistics & Probability Letters, 6(76), 601-608. | C12 | | Reiß M. (2006), Minimax rates for nonparametric estimation
of the drift functional in
affine stochastic delay equations,
. | C12 | | Reiß, M. and Gapeev, P. A. (2006), An optimal stopping problem in a diffusion-type model with delay,
Statistics and Probability Letters, 76(6), 601-608. | C4 | | Schied, A. and Hernández-Hernández, D. (2006), Robust utility maximization in a stochastic factor model,
Statistics and Decisions, 24(3), 109-125. | A3 | | Sperlich S., Härdle W., Aydinli G., Reiß M. (2006), Nonparametric volatility estimation on the real line from low-frequency data
,
The Art of Semiparametrics, 32 - 48. | C12 | | Yang, L., Park, B. U., Xue, L. and Härdle, W. (2006), Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration,
Journal of the American Statistical Association, 101(475), 1212-1227. | B1 | | Borak, S., Fengler, M. , and Härdle, W. (2005), DSFM Fitting of Implied Volatility Surfaces, Proceedings 5th International Conference on Intelligent Systems Design and Applications,
IEEE Computer Society Order Number P2286, Library of Congress Number 2005930524, ISBN 0-7695-2286-6. | B1 | | Mönch, E. and Uhlig, H. (2005), Towards a Monthly Business Cycle Chronology for the Euro Area,
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