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Publications for 2008

  • T. Ahmad, W. Härdle, S. Klinke, S. Al Awadhi (2008), “Using R, LaTeX and Wiki for an Arabic e-learning platform”, Discussion Paper, 2008-030, CRC 649, Berlin.
  • T. Ahmad, W. Härdle (2008), “Statistics E-learning Platforms Evaluation: Case Study”, Discussion Paper, 2008-058, CRC 649, Berlin.
  • A. Alentorn, S. M. Markose (2008), “Generalized Extreme Value Distribution and Extreme Economic Value at Risk (E-EVaR)”, in E. J. Kontoghiorghes, B. Rustem, P. Winker (Eds) in honour of Manfred Gilli, Computational Methods in Financial Engineering, Springer Verlag.
  • A. Amendola, D. Belsley, E. J. Kontoghiorghes, Y. Omori, H. K. Van Dijk, E. Zivot (2008), “Special Issue on Statistical and Computational Methods in finance”, Computational Statistics & Data Analysis, 52, 4.
  • P. Anand, J. Krishnakumar, N. B. Tran, G. Tonon (2008), “Capabilities and Life Satifsfaction: Who is happy with Life?”, Working Paper.
  • A. Andriyashin, W. Härdle, R. Timofeev (2008), “Recursive Portfolio Selection with Decision Trees”, Discussion Paper, 2008-009, CRC 649, Berlin.
  • P. Ballon, J. Krishnakumar (2008), “A model-based multidimensional capability deprivation index”, Working Paper.
  • S. Bandyopadhyay, R. Baragona, U. Maulik (2008), “Clustering of univariate and multivariate time series by genetic multiobjective optimization”, submitted to Metron.
  • R. Baragona, F. Battaglia (2008), “Evolutionary computing in statistical data analysis”, in: A.-E. Hassanien, A. Abraham (Eds), Foundation on Computational Intelligence, to be published by Series “Studies in Computational Intelligence”, Springer Verlag.
  • R. Baragona, D. Cucina (2008), “Double threshold autoregressive conditionally heteroscedastic model building by genetic algorithms”, Journal of Statistical Computation and Simulation, 78, 541-559.
  • R. Baragona, D. Cucina (2008), “Genetic search for threshold parameters in time series threshold models: algorithms and computer programs”, submitted to Computational Statistics.
  • C. Barna, E. J. Kontoghiorghes (2008), “A branch and bound algorithm for the all possible cluster solutions problem”, Working Paper.
  • L. Bauwens, N. Hautsch (2008), “Modelling Financial High Frequency Data Using Point Processes”, in: T. G. Andersen, R. A. Davis, J.-P. Kreiss, T. Mikosch (Eds.) Handbook of Financial Time Series, Springer, (forthcoming).
  • D.A. Behrens, M.S. Rauner, J.P. Caulkins (2008), “An Epidemic Model of the Spread of Hepatitis C via Commercial Tattoo Parlors: Implications for the Timing of Public Health Interventions”, OR Spectrum 30(2), 269–288.
  • M. Benko, W. Härdle, A. Kneip (2008), “Common Functional Principal Components”, Ann. Statist., (forthcoming).
  • W. Bessler (2008), „Interessenkonflikte im deutschen Universalbankensystem: Investmentfonds und Analystenprognosen“, Working Paper.
  • W. Bessler, C. Becker, D. Wagner (2008), “The Design and Success of Stock Option Plans for New Economy Firms”, Working Paper.
  • W. Bessler, C. Bittelmeyer (2008), “Patents and the Performance of Technology Firms: An Empirical Analysis of Initial Public Offerings in Germany”, Financial Markets & Portfolio Management (forthcoming).
  • W. Bessler, D. Blake, I. Tonks, P. Lückoff (2008), “Are Mutual Funds Doomed to Underperform? Evidence from Managerial Turnover and Fund Flows”.
  • W. Bessler, W. Drobetz (2008), “Editorial Special Issue: New Asset Classes”, Financial Markets & Portfolio Management 22, 95-99.
  • W. Bessler, W. Drobetz, T. Erdmann, H. Zimmermann (2008), “Predictability in the Cross-section of European Bank Stock Returns”, Working Paper.
  • W. Bessler, W. Drobetz, M. Grüninger (2008), “International Tests of the Pecking Order Theory”, Working Paper.
  • W. Bessler, W. Drobetz, F. Kaen, J. Seidel (2008), “Leverage, Profitability and Rates of Return: An Accounting Based Analysis of European Companies”, Working Paper.
  • W. Bessler, W. Drobetz, P. Pensa (2008), “Do Managers Adjust the Capital Structure to Market Value Changes: Evidence from Europe”, Zeitschrift für Betriebswirtschaft, Special Issue: 50 Years after Modigliani & Miller. Recent Developments in Corporate Finance, No. 6, 113- 145.
  • W. Bessler, W. Drobetz, J. Seidel (2008), “Ship Funds as a New Asset Class: An Empirical Analysis of the Relationship Between Spot and Forward Prices in Freight Markets”, Journal of Asset Management 9, 102-120.
  • W. Bessler, W. Drobetz, H. Zimmermann (2008), “Conditional Performance Evaluation for German Equity Mutual Funds”, European Journal of Finance (forthcoming).
  • W. Bessler, J. Holler (2008), “Hedge Funds and Asset Allocation: Investor Confidence, Diversification Benefits, and a Change in Investment Style Composition”, (under review).
  • W. Bessler, J. Holler (2008), “Capital Markets and Corporate Control: Empirical Evidence from Hedge Fund Activism in Germany”, Working Paper.
  • W. Bessler, J-P. Kallunki, T. Laamanen, P. Karjalainen (2008), “Firm`s Patenting Activity as an Indicator of Future Performance”, Working Paper.
  • W. Bessler, P. Lückoff (2008), “Predicting Stock Returns with Bayesian Vector Autoregressive Models”, in: C. Preisach, H. Burkhardt, L. Schmidt-Thieme, R. Decker (Eds.), Data Analysis, Machine Learning and Applications, Springer-Verlag, Heidelberg-Berlin, 499-506.
  • W. Bessler, P. Lückoff (2008), „Exchange Traded Funds: Nutzen und Risiken für den Anleger“, Working Paper.
  • W. Bessler, H. Schmidt (2008), „Wertpapiertransaktionen im Spannungsfeld von börslichem und außerbörslichem Handel“, in: Handelskammer Hamburg (Ed.), Trends im Börsenwesen – Die Hamburger Börse 1558 - 2008, 109-145.
  • W. Bessler, M. Seim (2008), “Motives and Valuation Effects of Share Repurchase Announcements in Germany”, Working Paper.
  • W. Bessler, M. Seim (2008), “Why do Start-up Firms Repurchase Shares after they have just Issued Equity?”, Working Paper.
  • W. Bessler, M. Seim (2008), “Venture Capital in Germany”, in: D. Cumming, R. Kolb (Eds.), Companion to Venture Capital.
  • W. Bessler, M. Stanzel (2008), “Conflicts of Interest and Research Quality of Affiliated Analysts: Evidence from IPO Underwriting”, (under review).
  • S. Borak, W. Härdle, E. Mammen, B. Park (2008), “Dynamic Semiparametric Factor Models”, Journal of the American Statistical Association, (tentatively accepted).
  • M. Bossy, R. Gibson, F.-S. Lhabitant, N. Pistre, D. Talay (2008), “Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies”, The Review of Derivatives Research, (forthcoming).
  • M. Brockmann, M. Kalkbrener (2008), „On the aggregation of risk”, Working paper, Deutsche Bank.
  • S. Broda, K. Carstensen, M. Paolella (2008), “Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples”, Econometric Reviews, (forthcoming).
  • R. Brüggemann, W. Härdle, J. Mungo, C. Trenkler (2008), “VAR modelling for Dynamic Semiparametric Factors of Volatility Strings”, Journal of Financial Econometrics, (forthcoming).
  • R. Butler, M. Paolella (2008), “Uniform Saddlepoint Approximations for Ratios of Quadratic Forms”, Bernoulli, 14(1), 140-154.
  • V. Bystrov (2008), “Estimating and Forecasting in Factor Augmented Error Correction Models”, in: Welfe W., Welfe A. (Eds.): Proceedings of the 34th International Conference Macromodels 2007, Lodz, (forthcoming).
  • A. Cartea, M. Figueroa, H. Geman (2008), “Modelling Electricity Prices with Forward Looking Capacity Constraints”, Applied Mathematical Finance, (forthcoming).
  • A. Chambet, R. Gibson (2008), “Financial Integration, Economic Instability and Trade Structure in Emerging Markets”, Journal of International Money & Finance, forthcoming 2008.
  • R.-B. Chen, M. Guo, W. Härdle, S.-F. Huang (2008), “Independent Component Analysis via Copula Techniques”, Discussion Paper, 2008-004, CRC 649, Berlin.
  • S. Chen, W. Härdle, R. Moro (2008), “Estimation of Default Probabilities with Support Vector Machines”, Quantitative Finance, (tentatively accepted).
  • Y. Chen, W, Härdle, Seok-Oh Jeong (2008), “Nonparametric Risk Management with Generalized Hyperbolic Distributions”, Journal of the American Statistical Association, (forthcoming).
  • C.H. Chen, W. Härdle, A. Unwin (2008), “Handbook of Data Visualization, Springer, Heidelberg.
  • S. Chen, K. Jeong, W. Härdle (2008), “Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns”, Discussion Paper, 2008-051, CRC 649, Berlin.
  • S. Chen, K. Jeong, W. Härdle (2008), “Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns”, Discussion Paper, 2008-014, CRC 649, Berlin.
  • P. Cizek, W. Härdle, V. Spokoiny (2008), “Adaptive pointwise estimation in time-inhomogeneous time-series models”, Kernels Discussion Paper, 2008-002, CRC 649, Berlin.
  • P. Cizek, P., W. Härdle, J. Tamine, (2008) Smoothed L-estimation of regression function, Computational Statistics and Data Analysis, 52, 5154–5162.
  • D. Coculescu, H. Geman, M. Jeanblanc (2008), “Valuation of Default Sensitive Claims under Imperfect Information”, Finance and Stochastics, (forthcoming).
  • M. do R. Correia, R. Neck, T. Panagiotidis, C. Richter (2008), “An Empirical Investigation of the Sustainability of the Public Deficit in Portugal”, International Economics and Economic Policy 5, 209–223.
  • D. Cucina, A. di Salvatore, M. Protopapas (2008), “Meta-heuristic Methods for Outliers Detection in Multivariate Time Series”, submitted to Statistics and Computing.
  • K. Detlefsen, W. Härdle (2008), “Forecasting the Term Structure of Variance Swap”, Quantitative Finance, (tentatively accepted).
  • K. Detlefsen, W. Härdle (2008), “A Note on the Calibration Design of Implied Volatility Surfaces”, Data Science, (forthcoming).
  • E. J. Dockner, R. Neck (2008), “Time Consistency, Subgame Perfectness, Solution Concepts and Information Patterns in Dynamic Models of Stabilization Policies”, in: R. Neck, C. Richter, P. Mooslechner (Eds.), Quantitative Economic Policy, Essays in Honour of Andrew Hughes Hallett, Berlin, 51–101.
  • H. Entorf, P. Winker (2008), „Investigating the drugs–crime channel in economics of crime models: Empirical evidence from panel data of the German States”, International Review of Law and Economics 28, 1, 8-22.
  • J. Franke, W. Härdle, C. Hafner (2008), “Statistics of Financial Markets: an Introduction”, 2nd extended Ed., Springer Verlag, Heidelberg.
  • C. Gatu, E. J. Kontoghiorghes (2008), “Subset Selection of the linear regression model with constraints, submitted to SIAM Journal on Optimization.
  • H. Geman, B. Guilleminot (2008), “Taking positions in falling real-estate markets”, Birkbeck Working Paper.
  • H. Geman, C. Kharoubi (2008), “WTI crude oil Futures in portfolio diversification: The time-to-maturity effect”, Journal of Banking and Finance, 32, 12, 2553-2559.
  • H. Geman, S. Kuruvakalis (2008), “A lattice-based model for the pricing of energy derivatives under the threshold model”, Applied Mathematical Finance, (forthcoming).
  • H. Geman, S. Ohana (2008), “Consistency in Managing Commodity Portfolio: A Dynamic Risk Measure Approach”, Journal of Banking and Finance, (forthcoming).
  • H. Geman, Y. F. Shih (2008), “Modeling Commodity Prices under the CEV model”, Journal of Alternative Investments, Winter Issue, 1-20.
  • R. Giacomini, A. Gottschling, C. Haefke, H. White (2008), “Mixtures of t-distributions for finance and forecasting”, Journal of Econometrics, 144, 1, 175-192.
  • E. Giacomini, W. Härdle, V. Krätschmer (2008), “Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation”, Discussion Paper, 2008-038, CRC 649, Berlin.
  • E. Giacomini, W. Härdle, V. Spokoiny (2008), “Inhomogeneous Dependency Modelling with Time Varying Copulae”, J. Business and Economic Statistics, (forthcoming).
  • M. Gilli, I. Roko (2008), “Using economic and financial information for stock selection”, Computational Management Science 5(4), 317-335.
  • M. Gilli, D. Maringer, P. Winker (2008), “Applications of Heuristics in Finance”, in D.Seese, C. Weinhardt, F. Schlottmann (Eds.), Handbook of Information Technology in Finance, Springer, 635-653.
  • M. Gilli, E. Schumann, G. diTollo, G. Cabej (2008), „Constructing Long/Short Portfolios with the Omega ratio”, Research Paper No. 08-34, Swiss Finance Institute, Geneva.
  • M. Gilli, E. Schumann (2008), „Distributed Optimisation of a Portfolio's Omega”, Research Paper No. 08-17, Swiss Finance Institute, Geneva.
  • M. Gilli, E. Schumann (2008), „Heuristic Optimisation in Financial Modelling”, available at http://ssrn.com/abstract=1277114.
  • M. Gilli, P. Winker (2008), „A Review of Heuristic Optimization Methods in Econometrics”, Research Paper No. 08-12, Swiss Finance Institute, Geneva.
  • Y. Golubev, W. Härdle, R. Timofeev (2008), “Testing Monotonicity of Pricing Kernels Discussion Paper”, 2008-001, CRC 649, Berlin.
  • W. Grabowski (2008), “Asymptotics for Integrated Time Series in Binary Choice Models”, in: Welfe A. (Ed.): Metody Ilosciowe w Naukach Ekonomicznych, Ósme Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, Oficyna Wydawnicza SGH, Warszawa, 2008.
  • D. Grass, J.P. Caulkins, G. Feichtinger, G. Tragler, D.A. Behrens (2008), “Optimal Control of Nonlinear Processes. With Applications in Drugs, Corruption and Terror”, Berlin et al.: Springer, 552, 91 illus.
  • M. Haas, S. Mittnik, Marc S. Paolella (2008), „Asymmetric Multivariate Normal Mixture GARCH”, Computational Statistics and Data Analysis, (forthcoming).
  • W. Härdle, N. Hautsch, L. Overbeck (2008), “Applied Quantitative Finance, 2nd Ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p).
  • W. Härdle, N. Hautsch, U. Pigorsch (2008), “Measuring and Modeling Risk Using High-Frequency Data”, in: W. Härdle, N. Hautsch, L. Overbeck (Eds.), Applied Quantitative Finance, 2, Springer, Berlin, (forthcoming).
  • W. Härdle, N. Hautsch, U. Pigorsch (2008), “Measuring and Modeling Risk Using High-Frequency Data”, Discussion Paper, 2008-045, CRC 649, Berlin.
  • W. Härdle, Y.J. Lee, D. Schäfer, Y.-R. Yeh (2008), “The Default Risk of Firms Examined with Smooth Support Vector Machines”, Discussion Paper, 2008-005, CRC 649, Berlin.
  • W. Härdle, Y.J. Lee, D. Schäfer, Y.-R. Yeh (2008) Variable Selection and Over-sampling in the Use of Smooth Support Vector Machines for Predicting the Default Risk of Companies, J. Forecasting, (forthcoming).
  • W. Härdle, , B. Lopez Cabrera (2008) Methodology for calibration of CAT bonds, Schmollers Jahrbuch, Journal of Applied Social Science Studies, (forthcoming).
  • W. Härdle, J. Mungo (2008), “Long Memory Persistence in the Factor of Implied Volatility Dynamics”, International Research Journal of Finance and Economics, (forthcoming).
  • W. Härdle, J. Mungo (2008), “Value-at-Risk and Expected Shortfall when there is long range dependence”, Discussion Paper, 2008-006, CRC 649, Berlin.
  • W. Härdle, A. Mysickova (2008), “Numerics of Implied Binomial Trees”, Discussion Paper, 2008-044, CRC 649, Berlin.
  • W. Härdle, O. Okhrin, Y. Okhrin (2008), “Modeling Dependencies in Finance using Copulae”, Discussion Paper, 2008-043, CRC 649, Berlin.
  • W. Härdle, S. Song, (2008), “The Stochastic Fluctuation of the Quantile Regression Curve”, Discussion Paper, 2008-027, CRC 649, Berlin.
  • N. Hautsch (2008), “Capturing Common Components in High-Frequency Financial Time Series”, A Multivariate Stochastic Multiplicative Error Model, Journal of Economic Dynamics and Control, (forthcoming).
  • N. Hautsch, V. Jeleskovic (2008), “High-Frequency Volatility and Liquidity”, in: W. Härdle, N. Hautsch, L. Overbeck (Eds.), Applied Quantitative Finance, 2, Springer, Berlin, (forthcoming).
  • N. Hautsch, V. Jeleskovic (2008), “Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models”, Discussion Paper, 2008-047, CRC 649, Berlin.
  • N. Hautsch, D. Hess, C. Müller (2008), “Price Adjustment to News with Uncertain Precision“, Discussion Paper, 2008-25, CRC 649, Berlin.
  • N. Hautsch, Y. Ou (2008), “Stochastic Volatility Estimation Using Markov Chain Simulation”, in: W. Härdle, N. Hautsch, L. Overbeck (Eds.), Applied Quantitative Finance, 2, Springer, Berlin, (forthcoming).
  • N. Hautsch, Y. Ou (2008), “Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia”, Discussion Paper, 2008-053, CRC 649, Berlin.
  • N. Hautsch, Y. Ou (2008), “Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference”, Discussion Paper, 2008-058, CRC 649, Berlin.
  • M. Hofmann, C. Gatu, E. J. Kontoghiorghes (2008), „An efficient adding row algorithm for large-scale least trimmed squares regression”, Revised Version submitted to the Journal of Computational and Graphical Statistics.
  • M. Hofmann, E. J. Kontoghiorghes (2008), „Computing the least trimmed squares estimator of the general linear model”, Working Paper.
  • K. Jeong, W. Härdle (2008), “Consistent Nonparametric Test for Causality in Quantile”, Discussion Paper, 2008-007, CRC 649, Berlin.
  • M. Kalkbrener (2008), “Economic capital allocation”, in Encyclopedia of Quantitative Finance. Wiley (forthcoming).
  • M. Kalkbrener (2008), “Credit portfolio models: simulation techniques”, in Encyclopedia of Quantitative Finance. Wiley (forthcoming).
  • M. Kalkbrener (2008), “An axiomatic characterization of capital allocations of coherent risk measures”, Working Paper, Deutsche Bank.
  • M. Kalkbrener, L. Overbeck (2008), “Stress testing in credit portfolio models”, in Integrated Stress Testing for Financial Institutions, Palgrave Macmillan (forthcoming).
  • P. Keblowski, M. Majsterek, A. Welfe (2008), “Price-wage system with taxation: I(1) and I(2) analysis”, in: Welfe W., Welfe A. (Eds.): Proceedings of the 34th International Conference Macromodels 2007, Lodz, (forthcoming).
  • E. J. Kontoghiorghes, B. Rustem, P. Winker (Eds.) (2008), “Computational Methods in Financial Engineering”, Springer, Heidelberg.
  • J. Krishnakumar, A. L. Nagar (2008), “On Exact Statistical Properties of Multidimensional Indices based on Principal Components, Factor Analysis, MIMIC and Structural Equation Models”, Social Indicators Research 86, 481-496.
  • J. Krishnakumar, D. Neto (2008), “Testing Uncovered Interest Rate Parity and Term Structure using Multivariate Threshold Cointegration”, Computational Methods in Financial Engineering, edited by EJ Konthoghiorghes, B. Rustem and P. Winker, Springer Verlag, 191-210.
  • J. Krishnakumar, D. Neto (2008), “Estimation and testing for the cointegration rank in a threshold cointegrated system”, Working Paper.
  • B. LeBaron, P. Winker (2008), “Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice”, Jahrbücher für Nationalökonomie und Statistik 228/1, 2+3, 141-148.
  • M. Lyra, J. Paha, S. Paterlini, P. Winker (2008), “Optimization Heuristics for Determining Internal Rating Grading Scales”, COMISEF Working Paper Series, WPS-005, 08/10/2008.
  • S. M. Markose (2008), “Optimal Portfolio Selection With Dynamic Regime Switching Weights”, CCFEA Working Paper.
  • S. M. Markose, A. Alentorn (2008), “The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing”, Journal of Derivatives (forthcoming).
  • S. M. Markose, Yang Dong (2008), “An Multi-Agent Model of RMBS, Credit
  • Risk Transfer in Banks and Financial Stability: Implications for the
  • Subprime Crisis”, CCFEA Working Paper.
  • R. Neck (2008), “The Contribution of Control Theory to the Analysis of Economic Policy”, in: M.J.Chung, P. Misra (Eds.), Plenary Papers, Milestone Reports & Selected Survey Papers, 17th IFAC World Congress, Seoul 2008, 168–179.
  • R. Neck (Ed.) (2008), “Economic Policy Problems in the European Union”, Special Issue of Empirica, Vol. 35 (4).
  • R. Neck, G. Haber (2008), “Macroeconomic and Welfare Effects of Structural and Budgetary Policies: Spillovers in the MSG3 Model”, in: B. van Aarle, K. Weyerstrass (Eds.), Economic Spillovers, Structural Reforms and Policy Coordination in the Euro Area, Heidelberg, 155–201.
  • R. Neck, G. Haber (2008), “The Long Shadow of “Austrokeynesianism”? Public Debt Sustainability in Austria”, in: R. Neck, J.-E. Sturm (Eds.), Sustainability of Public Debt, Cambridge, MA, 107–130.
  • R. Neck, C. Richter, P. Mooslechner (Eds.) (2008), “Quantitative Economic Policy, Essays in Honour of Andrew Hughes Hallett. Advances in Computational Economics, 20, Berlin.
  • R. Neck, C. Richter, P. Mooslechner (2008), “Quantitative Economic Policy – Theory and Applications: Introduction and Overview”, in: R. Neck, C. Richter, P. Mooslechner (Eds.), Quantitative Economic Policy. Essays in Honour of Andrew Hughes Hallett, Berlin, 1–14.
  • R. Neck, J.-E. Sturm (Eds.) (2008), “Sustainability of Public Debt”, CESifo Seminar Series, Cambridge, MA.
  • R. Neck, J.-E. Sturm (2008), “Sustainability of Public Debt: Introduction and Overview”, in: R. Neck, J.-E. Sturm (Eds.), Sustainability of Public Debt, Cambridge, MA, 1–13.
  • M. Paolella, S. Steude (2008), Risk Prediction: A DWARF-like Approach, The Journal of Risk Model Validation, 2(1), 25-43.
  • M. Paolella, L. Taschini (2008), An Econometric Analysis of Emission Trading Allowances, Journal of Banking and Finance, 32; 2022-2032:
  • P. Parpas, B. Rustem (2008), “An algorithm for the global optimization of a class of continuous minimax problems”, Journal of Optimization Theory & Applications, (forthcoming).
  • M. Protopapas (2008), “Determination of sequential best replies in n-player games by Genetic Algorithms”, COMISEF Working Paper Series, WPS-002, 09/09/2008.
  • M. Protopapas, F. Battaglia, E. Kosmatopoulos (2008), „Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games”, COMISEF Working Paper Series, WPS-004, 09/09/2008.
  • M. Protopapas, E. Kosmatopoulos (2008), „Determination of sequential best replies in n-player games by Genetic Algorithms”, International Journal of Applied Mathematics and Computer Sciences, WASET (accepted).
  • M. Protopapas, E. Kosmatopoulos (2008), “Simulation and Use of Heuristics
  • for Peripheral Economic Policiy”, Proceedings of the 34th International
  • Conference Macromodels, 101-114.
  • K. Specht, P. Winker (2008), „Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix”, in: E. J. Kontoghiorghes, B. Rustem, P. Winker (Eds.) (2008): “Computational Methods in Financial Engineering”, Springer, Heidelberg, 73-94.
  • O. Stark, D.A. Behrens, Y. Wang (2008), “On the Evolutionary Edge of Migration as an Assortative Mating Device”, Journal of Evolutionary Economics, DOI 10.1007/s00191-008-0112-x.
  • A. Staszewska (2008), “Using the bootstrap to make inferences about the shape of impulse response paths”, in: Welfe A. (Ed.): Metody Ilosciowe w Naukach Ekonomicznych, Ósme Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, Oficyna Wydawnicza SGH, Warszawa, 2008, 265-278.
  • S. Trück, S. Borak, W. Härdle, R. Weron (2008), “Convenience Yields for CO2 Emission Allowance Futures Contracts”, Energy Economics, (tentatively accepted).
  • W. J. Tsay, W. Härdle (2008), “A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter”, J. Statistical Computation and Simulation, (forthcoming).
  • K. Weyerstrass, R. Neck (2008), “Macroeconomic Consequences of the Adoption of the Euro: The Case of Slovenia”, International Advances in Economic Research 14, 1–10.
  • K. Weyerstrass, R. Neck (2008), “Macroeconomic Effects of Slovenia’s Integration in the Euro Area”, Empirica 35, 391–403.
  • K. Weyerstrass, R. Neck (2008), “On the Macroeconomic Effects of Introducing the Euro: A Case Study for Slovenia” in: W. Welfe, A. Welfe (Eds.), MACROMODELS 2007, Lodz 2008, 85–100.
  • W. Wiesemann, R. Hochreiter, D. Kuhn (2008),” A Stochastic Programming Approach for QoS-Aware Service Composition”, Proceedings of the 9th IEEE International Symposium on Cluster Computing and the Grid.
  • W. Wiesemann, D. Kuhn, B. Rustem (2008), “Maximizing the Net Present Value of a Project under Uncertainty”, submitted to European Journal of Operational Research.
  • W. Wiesemann, D. Kuhn, B. Rustem (2008), Multi-Resource Allocation in Stochastic Project Scheduling, submitted to Annals of Operations Research.
  • P. Winker, M. Lyra, C. Sharpe (2008), “Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models”, COMISEF Working Paper Series, WPS-006, 08/10/2008.
  • P. Winker (2008), „Book review: E. J. Kontoghiorghes (Ed.): Handbook of Parallel Computing and Statistics”, Computational Statistics and Data Analysis 52, 3424-3425.
  • P. Winker (2008): Editorial, Jahrbücher für Nationalökonomie und Statistik 228/1, 3.
  • V. Winschel, M. Krätzig (2008), “JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models”, Discussion Paper, 2008-034, CRC 649, Berlin.
  • V. Winschel, M. Krätzig (2008), “Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality“, Discussion Paper, 2008-018, CRC 649, Berlin.
  • P. I. Yanev, P. Foschi, E. J. Kontoghiorghes (2008), „Efficient Algorithms for estimating the error – components seemingly unrelated regression model with serially uncorrelated disturbances, Working Paper.
  • P. I. Yanev, E. J. Kontoghiorghes (2008), „Parallel algorithms for downdating the QR decomposition”, Parallel Computing, 34(6-8), 451-468.
  • P. I. Yanev, E. J. Kontoghiorghes (2008), „Computational Strategies for the k-fold cross validation problem using a graph approach, submitted to the Journal of Computational and Graphical Statistics (currently under revision).
  • J. L. Zhang, W. Härdle (2008), “ The Bayesian Additive Classification Tree Applied to Credit Risk Modelling”, Discussion Paper, 2008-003, CRC 649, Berlin.
  • S. Zymler, B. Rustem (2008), “Robust Portfolio Optimization with Derivative Insurance Guarantees”, presented at the 14th International Conference on Computing in Economics and Finance, Université de la Sorbonne, Paris, June 2008.
  • S. Zymler, B. Rustem, D. Kuhn (2008), “Optimal Insurance Guarantees for Robust Portfolios”, presented at the 2nd International Workshop on Computational and Financial Econometrics, Neuchâtel, Switzerland, June 2008.
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