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SFB 649 Discussion Papers, HU Berlin

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DateTitle Authors
2005 Nonparametric risk management with generalized hyperbolic distributionsChen, Ying / Härdle, Wolfgang Karl / Jeong, Seok-Oh
2005 Selecting comparables for the valuation of European firmsDittmann, Ingolf / Weiner, Christian
2005 Competitive risk sharing contracts with one-sided commitmentUhlig, Harald / Krueger, Dirk
2005 Value-at-risk calculations with time varying copulaeGiacomini, Enzo / Härdle, Wolfgang Karl
2005 An optimal stopping problem in a diffusion-type model with delayGapeev, Pavel V. / Reiß, Markus
2005 Conditional and dynamic convex risk measuresDetlefsen, Kai / Scandolo, Giacomo
2005 Implied trinomial treesČίžek, Pavel / Komorád, Karel
2005 Stable distributionsBorak, Szymon / Härdle, Wolfgang Karl / Weron, Rafał
2005 Predicting bankruptcy with support vector machinesHärdle, Wolfgang Karl / Moro, Rouslan A. / Schäfer, Dorothea
2005 Working with the XQCHärdle, Wolfgang Karl / Lehmann, Heiko
2005 FFT based option pricingBorak, Szymon / Detlefsen, Kai / Härdle, Wolfgang Karl
2005 Common functional implied volatility analysisDetlefsen, Kai / Härdle, Wolfgang Karl
2005 Nonparametric productivity analysisHärdle, Wolfgang Karl / Jeong, Seok-Oh
2005 Are Eastern European countries catching up?: Time series evidence for Czech Republic, Hungary, and PolandBrüggemann, Ralf / Trenkler, Carsten
2005 Robust estimation of dimension reduction spaceČίžek, Pavel / Härdle, Wolfgang Karl
2005 Common functional component modellingKneip, Alois / Benko, Michal
2005 A two state model for noise-induced resonance in bistable systems with delayFischer, Markus / Imkeller, Peter
2005 Yxilon: a modular open-source statistical programming languageKlinke, Sigbert / Ziegenhagen, Uwe / Guri, Yuval
2005 Arbitrage-free smoothing of the implied volatility surfaceFengler, Matthias R.
2005 A dynamic semiparametric factor model for implied volatility string dynamicsFengler, Matthias R. / Härdle, Wolfgang Karl / Mammen, Enno
2005 Dynamics of state price densitiesHärdle, Wolfgang Karl / Hlávka, Zdeněk
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