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Spectral calibration of exponential Lévy Models [2] [PDF]

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way.
Denis Belomestny, Markus Reiß
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Technological Choice under Organizational Diseconomies of Scale [PDF]

With adverse selection, diseconomies of scale associated with hierarchies may induce the implementation of a second-best technology. This occurs whenever rents to lower tiers of the hierarchy increase faster than total surplus.
Anja Schöttner, Dominique Demougin
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Yxilon – A Client/Server Based Statistical Environment [PDF]

Along with many others, we agree that a modern education in statistics needs to incorporate the practical analysis of real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in the teaching of
Sigbert Klinke, Uwe Ziegenhagen, Wolfgang Härdle +2 more
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Monetary Policy Implementation and Overnight Rate Persistence [PDF]

Overnight money market rates are the predominant operational target of monetary policy. As a consequence, central banks have re- designed the implementation of monetary policy to keep the deviations of the overnight rate from the key policy rate small ...
Dieter Nautz, Jan Scheithauer
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Value-at-Risk Calculations with Time Varying Copulae [PDF]

Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate
Enzo Giacomini, Wolfgang Härdle
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Correction to "Landauer Resistivity Dipole at One-Dimensional Defect Revealed via near-Field Photocurrent Nanoscopy". [PDF]