Discussion Papers in Statistics and Econometrics

Here is a list of our discussion papers. Some of the papers are not available electronically; so if you would like to get copies of those or if there are any other problems concerning the transfer please do not hesitate to contact us by email.

The papers are mostly in PDF (Acrobat Reader 4.0) or PostScript format. If you are interested in other formats please let us know.

• No. 02/14
  Nowak, D. and Scheicher, C.
  Considering the Extremely Poor – Multidimensional Poverty Measurement for Germany
  A revised version is forthcoming in Social Indicators Research, DOI 10.1007/s11205-016-1365-7. Available as 'Online First'.
• No. 01/14
  Bazovkin, P.
  Geometrical Framework for Robust Portfolio Optimization
  September 2014
• No. 01/13
  Glombek, K.
  A Jarque-Bera test for sphericity of a large-dimensional covariance matrix
  February 2013
• No. 01/12
  Lange, T., Mosler, K. and Mozharovskyi, P.
  Fast nonparametric classification based on data depth
  April 2012
• No. 07/11
  Wickern, T.
  Confidence in Prior Knowledge Calibration and Impact on Portfolio Performance
  November 2011
• No. 06/11
  Bazovkin, P. and Mosler, K.
  Stochastic linear programming with a distortion rist constraint
  November 2011
• No. 05/11
  Orth, W.
  Default Probability Estimation in Small Samples - With an Application to Sovereign Bonds
  September 2011
• No. 04/11
  Wiechers, C.
  Construction of Uncertainty Sets for Portfolio Selection Problems
  March 2011
• No. 03/11
  Orth, W.
  Multi-Period Credit Default Prediction with Time-Varying Covariates
  March 2011
• No. 02/11
  Frahm, G. and Wiechers, C.
  On the Diversification of Portfolios of Risky Assets
  January 2011
  published in: Palgrave Volume on Risk Management
• No. 01/11
  Garnowski, M. and Manner, H. 
  On the causes of car accidents on German Autobahn connectors
  January 2011
  published in: Accident Analysis & Prevention, Volume 43, Issue 5, September 2011, Pages 1864–1871.
• No. 08/10
  Schulz, F. 
  Explaining Time-Varying Risk of Electricity Forwards: Trading Activity and News Announcements
  November 2010
• No. 07/10
  Manner, H. and Reznikova, O.
  Forecasting international stock market correlations: Does anything beat a CCC?
  October 2010
• No. 06/10
  Bazovkin, P. und Mosler, K.
  An Exact Algorithm for Weighted-Mean Trimmed Regions in Any Dimension
  October 2010
• No. 05/10
  Frahm, G., Wickern, T. und Wiechers, C.
  Multiple Tests for the Performance of Different Investment Strategie
  June 2010
  Forthcoming in AStA Advances in Statistical Analysis.
  DOI 10.1007/s10182-011-0166-1. The publication is available at http://www.springerlink.com.
• No. 04/10
  Schulz, Frowin C.
  Robust Estimation of Integrated Variance and Quarticity under Flat Price and No Trading Bias
  May 2010
  published in: Journal of Energy Markets 4 (2011), 51-90.
• No. 03/10
  Siegel, Martin; Mosler, Karl
  On the Life Course Perspective in Income Related Health Inequalities: A Semiparametric Approach
  May 2010
• No. 02/10
  Orth, Walter 
  The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
  March 2010
  published in: International Journal of Forecasting, 2012, Vol. 28, pp. 288-296.
• No. 01/10
  Frahm, Gabriel 
  An Analytical Investigation of Estimators for Expected Asset Returns from the Perspective of Optimal Asset Allocation
  March 2010 
   
• No. 03/08
  Scheicher, Christoph 
  Measuring Polarization via Poverty and Affluence
  November 2008
• No. 02/08
  Frahm, Gabriel; Memmel, Christoph 
  Dominating Estimators for the Global Minimum Variance Portfolio
  February 2008
  published in: Journal of Econometrics 159, 289–302.
• No. 01/08
  Bade, Alexander; Frahm, Gabriel; Jaekel, Uwe 
  A General Approach to Bayesian Portfolio Optimization
  November 2008
  This is the author's version. The original publication is available at http://www.springerlink.com.
  published in: Mathematical Methods of Operations Research 70, 337–356.
• No. 09/07
  Dobric, Jadran; Frahm, Gabriel; Schmid, Friedrich 
  Dependence of Stock Returns in Bull and Bear Markets
  Dezember 2007
• No. 08/07
  Bomsdorf, Eckart; Babel, Bernhard 
  Future life expectancy in the G7 countries. May men live longer than women? 
  November 2007
• No. 07/07
  Frahm, Gabriel 
  Testing for the Best Alternative with an Application to Performance Measurement
  August 2007
• No. 06/07
  Frahm, Gabriel; Mittring Gert 
  Anmerkungen zur Aggregation von Intelligenzquotienten
  June 2007
• No. 05/07
  Frahm, Gabriel 
  Asymptotic Distributions of Robust Shape Matrices and Scales
  April 2008 
  published in: Journal of Multivariate Analysis 100, 1329–1337.
• No. 04/07
  Scheicher, Christoph 
  Does work always pay in Germany? 
  June 2007 
  published in: German Economic Review 11 (2010), 266 - 277.
• No. 03/07
  Frahm, Gabriel; Jaekel, Uwe
  Distribution-Free Shape Matrix Estimation for Incomplete Data
  May 2007
• No. 02/07
  Frahm, Gabriel; Jaekel, Uwe
  Tyler's M-Estimator, Random Matrix Theory, and Generalized Elliptical Distributions with Applications to Finance
  April 2007
• No. 01/07
  Frahm, Gabriel
  Linear Statistical Inference for Global and Local Minimum Variance Portfolios
  September 2008. This is the author's version. The original publication is available at http://www.springerlink.com.
  published in: Statistical Papers 51, 789-812.
• No. 03/06
  Babel, Bernhard; Bomsdorf, Eckart; Schmidt, Rafael
  Future trends and dynamics of the occurence of Down's Syndrome and Stillbirths 
  June 2006
• No. 02/06
  Kosater, Peter
  Cross-City Hedging with Weather Derivatives using Bivariate DCC GARCH Models
  December 2006
• No. 01/06
  Kosater, Peter
  On the impact of weather on German hourly power prices
  March 2006
• No. 01/05
  Kosater, Peter; Mosler, Karl
  Can Markov-regime switching models improve power price forecasts? Evidence from German daily power prices
  April 2005
  published in: Applied Energy 83(9) (2006) 943-958.
• No. 02/04
  Mosler, Karl; Savine, Alexandre
  Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Hauptstudium
  June 2004
  published in: Das Hochschulwesen 53 (2005), 181-187.
• No. 01/04
  Mosler, Karl; Savine, Alexandre
  Studienaufbau und Studienerfolg von Kölner Volks- und Betriebswirten im Grundstudium 
  June 2004 
  published in: Das Hochschulwesen 53 (2005), 144-150.
• No. 04/00 
  Barth, Wolfgang; Trede, Mark 
  Produkt- und zielgruppenspezifische Ertragspotenzialrechnungen: Konzeptionen und Implikationen für das Marketing im Girogeschäft 
  December 2000 
  published in: Bank-Archiv 50 (2002), 97-105.
• No. 03/00 
  Schluter, Christian; Trede, Mark 
  Statistical Inference for Tail Behaviour of Lorenz Curves
  September 2000 
  published in: Journal of Econometrics 109 (2002), 151-166.
• No. 02/00 
  Kraft, Stefan; Schmid, Friedrich 
  Non-parametric Tests based on Area Statistics
  August 2000
• No. 01/00 
  Heer, Burkhard; Trede, Mark 
  Efficiency and Distribution Effects of a Revenue-neutral Income Tax Reform in Germany
  May 2000 
  published in: Journal of Macroeconomics 25 (2003), 87-107.
• No. 04/99 
  Schluter, Christian; Trede, Mark 
  Local versus Global Assessment of Mobility
  October 1999
  published in: International Economic Review 44 (2003), 1313-1335.
• No. 03/99 
  Koshevoy, Gleb; Mosler, Karl 
  Price Majorization and the Inverse Lorenz Function
  September 1999
• No. 02/99 
  Maasoumi, Esfandiar; Trede, Mark 
  Comparing Income Mobility in Germany and the US using Generalized Entropy Mobility Measures
  July 1999 
  published in: Review of Economics and Statistics, 83 (2001) 551-559.
• No. 01/99 
  Lucas, Andre 
  Disparitätsmessung aus klassierten Daten mittels Schätzung von entropiemaximalen Dichtefunktionen
  March 1999
• No. 02/98 
  Schluter, Christian; Trede, Mark 
  Statistical Inference for Inequality Measurement with Dependent Data
  September 1998
  published in: International Economic Review 43 (2002), 185-200.
• No. 01/98 
  Dyckerhoff, Rainer; Holz, Hartmut; Mosler, K. 
  Checking for orthant orderings between discrete multivariate distributions: An algorithm
  January 1998
• No. 03/97 
  Mosler, K.; Seidel, W.; Jaschinger, C. 
  A Power Comparison of Homogeneity Tests in Mixtures of Exponentials
  October 1997
• No. 02/97 
  Mark Trede 
  Making Mobility Visible: A Graphical Device 
  July 1997
  published in: Economics Letters 59 (1998) 77-82.
• No. 01/97 
  Stich Andreas 
  Simultaneous Inference for Proportions in Arbitrary Sampling Designs
  June 1997 
  published in: Statistica 59 (1999) 427-441.
• No. 06/96 
  Eurich Andreas, Stich Andreas, Weidenfeld Gerd 
  Die Entwicklung der Anbieterkonzentration auf dem deutschen Erstversicherungsmarkt von 1991 bis 1994 
  September 1996 
  published in: Zeitschrift für Betriebswirtschaft 67 (1997) 1093-1110.
• No. 05/96 
  Andreas Stich 
  Poverty and Life Cycle Effects. A Nonparametric Analysis for Germany
  September 1996 
  revised version, May 1997
• No. 04/96 
  Andreas Stich 
  Inequality and negative income
  May 1996 
  published in: Journal of the Italian Statistical Society 3 (1996) 297-305.
• No. 03/96 
  Friedrich Schmid, Mark Trede 
  A Kolmogorov-Type Test for Second Order Stochastic Dominance 
  April 1996 
  published in: Statistics and Probability Letters 37 (1998) 183-193.
• No. 02/96 
  Friedrich Schmid, Mark Trede 
  Nonparametric Inference for Second Order Stochastic Dominance
  February 1996
• No. 01/96 
  Wolfgang Barth, Eckart Bomsdorf 
  Besteht Long Memory in Devisenkursen? - Eine semiparametrische Analyse 
  January 1996 
  published in: Allgemeines Statistisches Archiv 81 (1997) 158-175.
• No. 10/95 
  Andreas Stich 
  Insurance and Concentration: The Change of Concentration in the Swedish and Finnish Insurance Market 1989-1993
  November 1995
• No. 09/95 
  Burkhard Heer, Mark Trede 
  Taxation of Labor and Capital Income in an OLG Model with Home Production and Endogenous Fertility
  November 1995
  published in: International Journal of Global Environmental Issues 4 (2004), 73-88.
• No. 08/95
  Klaus Brachmann 
  Choosing the optimal bandwidth in case of correlated data
  November 1995
• No. 07/95
  Gleb A. Koshevoy, Karl Mosler 
  Multivariate Gini Indices
  June 1995 
  published in: Journal of Multivariate Analysis 60 (1997) 252-276.
• No. 06/95 
  Klaus Brachmann, Andreas Stich, Mark Trede 
  Evaluating Parametric Income Distribution Models 
  June 1995 
  published in: Allgemeines Statistisches Archiv 80 (1996) 285-298.
• No. 05/95 
  Klaus Brachmann 
  Nichtparametrische Analyse parametrischer Wachstumsfunktionen - Eine Anwendung auf das Wachstum des globalen Netzwerks Internet
  March 1995
• No. 04/95 
  Friedrich Schmid, Mark Trede 
  Testing for Stochastic Dominance in Either Direction 
  February 1995 
  published in: Computational Statistics 11 (1996) 165-173.
• No. 03/95 
  Eckart Bomsdorf 
  Ein alternatives Modell zur Reform des Einkommensteuertarifs 
  January 1995
• No. 02/95 
  Andreas Stich 
  Die axiomatische Herleitung einer Klasse von dynamischen Ungleichheitsmassen
  January 1995
• No. 01/95 
  Mark Trede 
  The Age-Profile of Earnings Mobility: Statistical Inference of Conditional Kernel Density Estimates 
  January 1995 
  published in: Journal of Applied Econometrics, 13 (1998) 397-409.
• No. 12/94 
  Burkhard Heer, Mark Trede, Mark Wahrenburg 
  The Effect of Option Trading at the DTB on the Underlying Stocks Return Variance 
  December 1994 
  published in: Empirical Economics 22 (1997) 233-245.
• No. 11/94 
  Friedrich Schmid, Mark Trede 
  Testing for First Order Stochastic Dominance: A New Distribution Free Test 
  published in: The Statistician 45 (1996) 371-380.
• No. 05/94 
  Eckart Bomsdorf 
  Allgemeine Sterbetafeln 1986/88 fuer die Bundesrepublik Deutschland und Allgemeine Sterbetafeln 1986/87 fuer die DDR - ein Vergleich 
  Dezember 1994
• No. 04/94
  Mark Trede
  Statistical Inference in Mobility Measurement: Sex Differences in Earnings Mobility
  April 1994
  published in: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 473-490.