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    <title>EconStor Community: Christian-Albrechts-Universität Kiel</title>
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  <item rdf:about="http://hdl.handle.net/10419/32942">
    <title>The conditional autoregressive wishart model for multivariate stock market volatility</title>
    <link>http://hdl.handle.net/10419/32942</link>
    <description>Titel: The conditional autoregressive wishart model for multivariate stock market volatility
&lt;br/&gt;
&lt;br/&gt;Autoren: Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman
&lt;br/&gt;
&lt;br/&gt;Zusammenfassung: We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex dynamic interdependence between the variances and covariances of assets. In addition, it accounts for symmetry and positive definiteness of covariance matrices without imposing parametric restrictions, and can easily be estimated by Maximum Likelihood. We also propose extensions of the CAW model obtained by including a Mixed Data Sampling (MIDAS) component and Heterogeneous Autoregressive (HAR) dynamics for long-run fluctuations. The CAW models are applied to time series of daily realized variances and covariances for five New York Stock Exchange (NYSE) stocks.</description>
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  <item rdf:about="http://hdl.handle.net/10419/32941">
    <title>Betting on a long life: The role of subjective life expectancy in the demand for private pension insurance of german households</title>
    <link>http://hdl.handle.net/10419/32941</link>
    <description>Titel: Betting on a long life: The role of subjective life expectancy in the demand for private pension insurance of german households
&lt;br/&gt;
&lt;br/&gt;Autoren: Schulte, Katharina; Zirpel, Ulrike
&lt;br/&gt;
&lt;br/&gt;Zusammenfassung: With a view to investigating the presence of adverse selection, we analyze determinants of private pension insurance uptake of German households in a probit model. Using survey data on savings and old-age provision, we find that subjective life expectancy is positively related with the probability of having supplementary private pension insurance. This indicates that the German annuities market is in fact characterized by adverse selection. Furthermore, pre-existing annuities from the public pension system tend to be a substitute to private insurance, while financial literacy enhances the uptake. We also find evidence for a bequest motive in old-age provision, but see no indication for pooling longevity risk within couples.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/32942">
    <title>The conditional autoregressive wishart model for multivariate stock market volatility</title>
    <link>http://hdl.handle.net/10419/32942</link>
    <description>Titel: The conditional autoregressive wishart model for multivariate stock market volatility
&lt;br/&gt;
&lt;br/&gt;Autoren: Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman
&lt;br/&gt;
&lt;br/&gt;Zusammenfassung: We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex dynamic interdependence between the variances and covariances of assets. In addition, it accounts for symmetry and positive definiteness of covariance matrices without imposing parametric restrictions, and can easily be estimated by Maximum Likelihood. We also propose extensions of the CAW model obtained by including a Mixed Data Sampling (MIDAS) component and Heterogeneous Autoregressive (HAR) dynamics for long-run fluctuations. The CAW models are applied to time series of daily realized variances and covariances for five New York Stock Exchange (NYSE) stocks.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/32941">
    <title>Betting on a long life: The role of subjective life expectancy in the demand for private pension insurance of german households</title>
    <link>http://hdl.handle.net/10419/32941</link>
    <description>Titel: Betting on a long life: The role of subjective life expectancy in the demand for private pension insurance of german households
&lt;br/&gt;
&lt;br/&gt;Autoren: Schulte, Katharina; Zirpel, Ulrike
&lt;br/&gt;
&lt;br/&gt;Zusammenfassung: With a view to investigating the presence of adverse selection, we analyze determinants of private pension insurance uptake of German households in a probit model. Using survey data on savings and old-age provision, we find that subjective life expectancy is positively related with the probability of having supplementary private pension insurance. This indicates that the German annuities market is in fact characterized by adverse selection. Furthermore, pre-existing annuities from the public pension system tend to be a substitute to private insurance, while financial literacy enhances the uptake. We also find evidence for a bequest motive in old-age provision, but see no indication for pooling longevity risk within couples.</description>
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