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B1 : Kapitalmarktpreise als Frühindikatoren ökonomischer Strukturbrüche und Trends

 

  • Bachmann, D., Dette, H. (2005), “A Note on the Bickel-Rosenblatt Test in Autoregressive Time Series”, erscheint in: Statistics & Probability Letters.
  • Baltagi, B. und Krämer, W. (1994), "Consistency, asymptotic unbiasedness and bounds on the bias of s² in the linear regression model with error component disturbances", Statistische Hefte 35, 323-328.
  • Baltagi, B. und Krämer, W. (1995), "A mixed error component model", Econometric Theory, 11 (Problems and Solutions), 191-193.
  • Baltagi, B. und Krämer, W. (1996), "A general condition for an optimal limiting efficiency of OLS in the general linear regression model", Economics Letters, 50, 13-17.
  • Butler, R.W., Davies, P.L. und Ihun, M. (1993), "Asymptotics of the minimum covariance determinant estimator", Annals of Statistics, 21, 1385-1400.
  • Davidson, J., Sibbertsen, P. (2005), "Generating Schemes for Long Memory Processes: Regimes, Aggregation and Linearity", Journal of Econometrics, 128, 253-282.
  • Davies, P.L. (1976), "Local Hölder conditions for the local times of certain stationary Gaussian process", Annals of Probability, 4, 277-298.
  • Davies, P.L. (1977), "The exact Hausdorff measure of the zero set of certain stationary Gaussian process", Annals of Probability, 5, 740-755.
  • Davies, P.L. (1987), "Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices", Annals of Statistics, 15, 1269-1292.
  • Davies, P.L. (1990), "The asymptotics of S-estimators in the linear regression model", Annals of Statistics, 18, 1651-1675.
  • Davies, P.L. (1992), "The asymptotics of Rousseeuw's minimum volume ellipsoid", Annals of Statistics, 20, 1828-1843.
  • Davies, P.L. (1992), "An efficient Fréchet differentiable high breakdown location and dispersion estimator", Journal of Multivariate Analysis, 40, 311-327.
  • Davies, P.L. (1993), "Aspects of robust linear regression", Annals of Statistics, 21, 1843-1899.
  • Davies, P.L. (1994), "Desirable properties, breakdown and efficiency in the linear regression model", Statistics & Probability Letters, 19, 361-370.
  • Davies, P.L. (1998), "On locally uniformly linearizable high breakdown location and scale functionals", Annals of Statistics, 26, 1103-1125.
  • Davies, P.L., Krämer, W. (2003), "The Dickey-Fuller Test for Exponential Random Walks", Econometric Theory, 19, 865-877.
  • Dette, H., Neumeyer, N., Pilz, K. (2005), “A Simple Nonparametric Estimator of a Monotone Regression Function”, erscheint in: Bernoulli.
  • Dette, H., Neumeyer, N., Pilz, K. (2005), “A Note on Nonparametric Estimation of the Effective Dose in Quantal Bioassay”, erscheint in: Journal of the American Statistical Association.
  • Dette, H., Podolskij, M., Vetter, M. (2005), "Estimation of Integrated Volatility in Continuous Time Financial Models with Applications to Goodness-of-fit Testing", erscheint in: Scandinavian Journal of Statistics.
  • Dette, H., Spreckelsen, I. (2004), "Some Comments on Specification Tests in Nonparametric Absolutely Regular Processes", Journal of Time Series Analysis, 25, 159-172.
  • Dette, H., von Lieres und Wilkau, C. (2003), "On a Test for a Parametric Form of Volatility in Continuous Time Financial Models", Finance & Stochastics, 7, 363-384.
  • Kleiber, C. (1999), "Halbordnungen von Einkommensverteilungen", Angewandte Statistik und Ökonometrie Bd. 47, Göttingen: Vandenhoeck & Ruprecht. (Dissertation)
  • Kleiber, C., "A Simple Distribution without any Moments", The Mathematical Scientist 25, 59 - 60
  • Kleiber, C., "Central limit theorem for squared MA(8) processes", Econometric Theory 16, Problems and Solutions, 1044
  • Kleiber, C. (2004), "Lorenz Ordering of Order Statistics from Log-Logistic and Related Distributions", Journal of Statistical Planning and Inference, 120, 13-19.
  • Kleiber, C., Krämer, W. (2003), "Efficiency, Equity, and Generalized Lorenz Dominance", Estadística, 55, 173-186.
  • Kleiber, C., Krämer, W. (2005), "Finite-Sample Power of the Durbin-Watson Test Against Fractionally Integrated Disturbances", erscheint in The Econometrics Journal.
  • Krämer, W. (1994), "Eine Anmerkung zur Exzeß-Volatilitätsdebatte in der Empirischen Kapitalmarkt-forschung", Zeitschrift für Wirtschafts- und Sozialwissenschaften, 114, 173-183.
  • Krämer, W. (1995), "The probability of a "gross" violation of an efficient markets variance inequality", Empirical Economics, 20, 473-478.
  • Krämer, W. (1998), "Short-term predictability of German stock returns", Empirical Economics, 23, 635-639.
  • Krämer, W. (1998), "Fractional integration and the augmented Dickey-Fuller test", Economics Letters, 61, 269-272.
  • Krämer, W. (1999), "Kointegration von Aktienkursen", Zeitschrift für betriebswirtschaftliche Forschung, 51, 915-936.
  • Krämer, W., "Armut in der Bundesrepublik", Frankfurt, Campus-Verlag
  • Krämer, W., "Statistik in den Wirtschafts- und Sozialwissenschaften", Allgemeines Statistisches Archiv 85, 187-199.
  • Krämer, W. (2003), "Die Bewertung und der Vergleich von Kreditausfall-Prognosen", Kredit und Kapital, 36, 395-410.
  • Krämer, W. (2005), "On the Ordering of Probability Forecasts", erscheint in Sankhya.
  • Krämer, W. (2005), "Evaluating Probability Forecasts in Terms of Refinement and Strictly Proper Scoring Rules", erscheint in Journal of Forecasting.
  • Krämer, W., Davies, P.L. (2003), "Testing for Unit Roots in the Context of Misspecified Logarithmic Random Walks", Economics Letters, 74, 313-319.
  • Krämer, W., Gigerenzer, G. (2005), "How to Confuse with Statistics or: The Use and Misuse of Conditional Probabilities", Statistical Science, 20, 223-230.
  • Krämer, W., Marmol, F. (2004), "The Power of Residual-Based Tests for Cointegration when Residuals are Fractionally Integrated", Economics Letters, 82, 63-69.
  • Krämer, W. und Ploberger, W. (1990), "The local power of the CUSUM and CUSUM-of-squares tests", Econometric Theory, 6, 335-347.
  • Krämer, W. und Ploberger, W. (1992), "The CUSUM test with OLS residuals", Econometrica, 60, 271-285.
  • Krämer, W., Ploberger, W. und Alt, R. (1988), "Testing for structural change in dynamic models", Econometrica, 56, 1355-1369.
  • Krämer, W., Ploberger, W. und Schlüter, I. (1991), "Recursive vs. OLS residuals in the CUSUM test", in: Economic Structural Change, P. Hackl und A.H. Westlund (Hrsg.), Springer, Berlin-New York, 35-47.
  • Krämer, W. und Runde, R. (1992), ":Wochentagseffekte am Deutschen Aktienmarkt. Wie robust ist der t-Test bei unendlicher Varianz?", Allgemeines Statistisches Archiv, 76, 226-239.
  • Krämer, W. und Runde, R. (1993), "Kalendereffekte auf Kapitalmärkten. Eine empirische Untersuchung für deutsche Aktien und den DAX", Zeitschrift für Betriebswirtschaftliche Forschung, Sonderheft 31, 87-98.
  • Krämer, W. und Runde, R. (1994), "Some pitfalls in using empirical autocorrelations to test for zero correlation among common stock returns", in: Econometric Analysis of Financial Markets, J. Kähler, und P. Kugler (Hrsg.), Physica, Heidelberg, 1-10.
  • Krämer, W. und Runde, R. (1996), "Stochastic properties of German stock returns", Empirical Economics, 21, 281-306.
  • Krämer, W. und Runde, R. (1997), "Chaos and the compass rose", Economics Letters, 54, 113-118.
  • Krämer, W. und Runde, R. (1997), ":Stocks and the weather: an exercise in data mining or yet another capital market anomaly?", Empirical Economics, 22, 637-641.
  • Krämer, W., Runde, R., "Peaks or Tails - What Distinguishes Financial Data?", Empirical Economics 25, 665 - 671
  • Krämer, W., und Schotman, P. (1992), "Range vs. maximum in the OLS-based version of the CUSUM test", Economics Letters, 40, 379-381.
  • Krämer, W. und Sonnberger, H. (1986), The Linear Regression Model under Test, Physica, Heidelberg.
  • Krämer, W., Ziebach, T. (2005), "The Weak Pareto Law and Regular Variation in the Tails", erscheint in: Statistica.
  • Liebscher, S., Krämer, W., "Some Simple LM Tests against Multiple Changes of Variance in Linear Regression", Allgemeines Statistisches Archiv, 84, 33 - 40
  • Neumeyer, N., Dette, H. (2005a), “A Note on One-sided Nonparametric Analysis of Covariance by Ranking Residuals”, Mathematical Methods of Statistics, 14, 80-104.
  • Neumeyer, N., Dette, H., Nagel, E. (2005a), “A Note on Testing Symmetry of the Error Distribution in Linear Regression Models”, erscheint in: Journal of Nonparametric Statistics.
  • Neumeyer, N., Dette, H., Nagel, E. (2005b), “Some Bootstrap Tests for the Error Distribution in Linear and Nonparametric Regression Models”, erscheint in: Australian and New Zealand Journal of Statistics.
  • Pawlak, M., Rafajlowicz, E., Steland, A. (2004), “On Detecting Jumps in Time Series – Nonparametric Setting”, Journal of Nonparametric Statistics, 16, 329-347.
  • Ploberger, W. und Krämer, W. (1986), "On studentizing a test for structural change", Economics Letters, 20, 341-344.
  • Ploberger, W. und Krämer, W. (1987), "Mean adjustment and the CUSUM test for structural change", Economics Letters, 25, 255-258.
  • Ploberger, W. und Krämer. W. (1996), "A trend-resistant test for structural change based on OLS residuals", Journal of Econometrics, 70, 175-185.
  • Ploberger, W., Krämer, W. und Alt, R. (1989), "A modification of the CUSUM test in the linear regression model with lagged dependent variables", Empirical Economics, 14, 65-75.
  • Ploberger, W., Krämer, W. und Kontrus, K. (1989), "A new test for structural stability in the linear regression model", Journal of Econometrics, 40, 307-318.
  • Runde, R. (1993), "A note on the asymptotic distribution of the F-statistic for random variables with infinite variance", Statistics & Probability Letters, 18, 9-12.
  • Runde, R. (1997), "The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance - with an application to German stock returns", Journal of Econometrics, 78, 205-216.
  • Runde, R. (1998), "Locally most powerful two-sample rank tests for Lévy distributions", Statistical Papers, 39, 179-188.
  • Runde, R. (1999), "Testing for zero autocorrelation when the innovations belong to the normal domain of attraction of a Cauchy law", Econometric Theory, 15, 177-183.
  • Sibbertsen, P., "S-estimation in the Linear Regression Model with Long-memory Error Terms under Trend", Journal of Time Series Analysis 22, 353 - 363.
  • Steland, A. (2004), “Sequential Control of Time Series by Functionals of Kernel-weighted Empirical Processes Under Local Alternatives”, Metrika, 60, 229-240.
  • Steland, A. (2004), “Jump-preserving Monitoring of Dependent Time Series Using Pilot Estimators”, Statistics and Decisions, 21, 343-366.
  • Steland, A. (2004), “NP-optimal Kernels for Nonparametric Sequential Detection Rules”, Economic Quality Control, 18, 149-163.
  • Steland, A. (2004), “On the Distribution of the Clipping Median Under a Mixture Model”, Statistics & Probability Letters, 70, 1-13.
  • Steland, A. (2005), “Optimal Sequential Kernel Detection for Dependent Processes”, Journal of Statistical Planning and Inference, 132, 131-147.
  • Steland, A. (2005), “Random Walks with Drift - A Sequential View”, erscheint in: Journal of Time Series Analysis.
  • Weißbach, R. (2005), "A General Kernel Functional Estimator with General Bandwidth -- Strong Consistency and Applications", erscheint in Journal of Nonparametric Statistics.
  • Zeileis, A., Kleiber, C., Krämer, W., Hornik, K. (2003), "Testing and Dating of Structural Changes in Practice", Computational Statistics & Data Analysis, 44, 109-123.
  • Zeileis, A., Kleiber, C. (2005), "Validating Multiple Structural Change Models - A Case Study", Journal of Applied Econometrics, 20, 485-490.
  • Zeileis, A., Leisch, F., Kleiber, C., Hornik, K. (2005), "Monitoring Structural Change in Dynamic Econometric Models", Journal of Applied Econometrics, 20, 99-121.
  • Zhang, C., Dette, H. (2004), “A Power Comparison Between Nonparametric Regression Tests”, Statistics & Probability Letters, 66, 289-301.
  • Ziebach, T., "Die Modellierung der personellen Einkommensverteilung mit verallgemeinerten Pareto-Kurven", Quantitative Ökonomie Bd. 110, Lohmar, Josef Eul (Dissertation)