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Working
Papers >> Financial
Markets
- Dynamic Consumption and Portfolio Decisions
with Time Varying Asset Returns
Lars Grüne, Caroline Öhrlein and Willi Semmler
January, 2007
- Intertemporal Asset Allocation when the
Underlying Factors are unobservable
Chih-Ying Hsiao, Carl Chiarella and Willi Semmler
August 8, 2006
- Prospect Theory for the Stock Market: Empirical
Evidence with Time-Series Data
Wenlang Zhang and Willi Semmler
February, 2006
- Asset Pricing with Loss Aversion
Lars Grüne and Willi Semmler
revised February 20, 2007
- Asset Pricing with Dynamic Programming
Lars Grüne and Willi Semmler
November 6, 2006
- Credit Risk, Credit Derivatives and Firm Value Based
Models
Willi Semmler and Michael Robert
October, 2006
- Asset Pricing with Dynamic Programming
Lars Grüne and Willi Semmler
August 4, 2006
- Firm Value, Diversified Capital Assets and Credit Risk: Towards a Theory of Default Correlation
Lars Grüne, Willi Semmler and Lucas Bernardz
June 19, 2006
- Hedging, Speculation, and Investment
in Balance-Sheet triggered Currency Crises
Andreas Röthig, Willi Semmler and Peter Flaschel
November 2005
(PDF,
272 KB)
- Estimating
Beta-Coefficients of German Stock Data: A Non-Parametric Approach
Maik Eisenbeiß, Göran Kauermann and Willi Semmler
July 2005
(PDF, 3.02 MB)
- Asset
Pricing with Loss Aversion
Lars Grüne and Willi Semmler
May 23, 2005
(PDF, 169 KB)
- Strategic
Asset Allocation with an Arbitrage-Free Bond Market using Dynamic
Programming
Chih-Ying Hsiao, Carl Chiarellay and Willi Semmler
July, 2004
(PDF, 322 KB)
- Asset
Pricing - Constrained by Past Consumption Decisions
Lars Grüne and Willi Semmler
June 30, 2004
(PDF, 346 KB)
- Default
Risk, Asset Pricing and Equity Premium
Lars Grüne and Willi Semmler
February, 2004
(PDF, 548 KB)
- Default
Risk, Asset Pricing and Debt Control
Lars Grüne and Willi Semmler
February,
2004
(PDF, 259 KB)
- Solving
Asset Pricing Models with Stochastic Dynamic Programming
Lars Grüne and Willi Semmler
December 2003,
(PDF, 430 KB)
- Thresholds
in a Credit Market Model with Multiple Equilibria
Lars Grüne, Willi Semmler and Malte Sieveking
October 2003,
(PDF,
695 KB)
- Assets,
Booms, and Recessions: The Interaction of Financial Market, Economic
Activity and the Macroeconomy
Willi Semmler
Manuscript, December, 2002
(PDF, 1420 KB)
- Modeling
Short Term Interest Rates
Chih-ying Hsiao and Willi Semmler
September, 2002
(PDF, 583 KB)
- Stock
Market, Interest Rate and Output: A Model and Estimation for US
Time Series Data
Carl Chiarella, Willi Semmler, Stefan Mittnik, Peiyuan Zhu
June, 2002
(PDF, 923 KB)
- Liquidity,
Credit and Output: A Regime Change Model and Empirical Estimations
Willi Semmler and Levent Koçkesen
December, 2001
(PDF, 764 KB)
- Real-Financial
Interaction: Integrating Supply Side Wage-Price Dynamics and the
Stock Market
Carl Chiarella, Peter Flaschel, Reiner Franke and Willi Semmler
September, 2001
(PDF, 345 KB)
- An
Evolutionary Portfolio Theory
Thorsten Hens and Klaus Reiner Schenk-Hoppé
May 2001
(PDF, 391 KB)
- Nonparametric
Estimation of Time-Varying Characteristics of Intertemporal Asset
Pricing Models
Peter Wöhrmann, Willi Semmler and Martin
Lettau
March 2001, revised October 2002
(PDF, 354 KB)
- Statistical
Estimation and Moment Evaluation of a Stochastic Growth Model
with Asset Market Restrictions
Martin Lettau, Gang Gong and, Willi Semmler
August, 1999
(PDF, 341 KB)
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