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Research paper thumbnail of The 3rd Special Issue on Optimization Heuristics in Estimation and Modelling Problems

Computational Statistics & Data Analysis, 2012

ABSTRACT The unit-level small area estimation approach has no standard procedure and each case ne... more ABSTRACT The unit-level small area estimation approach has no standard procedure and each case needs separate modeling when the domain parameters are not linear or the target variable is not normally distributed. Area-level linear mixed models can be generally ...

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Research paper thumbnail of The convergence of optimization based GARCH estimators: theory and application

Compstat 2006 - Proceedings in Computational Statistics, 2006

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Research paper thumbnail of The Threshold Accepting Optimisation Algorithm in Economics and Statistics

Advances in Computational Management Science, 2007

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Research paper thumbnail of The hidden risks of optimizing bond portfolios under VaR

Proceedings of the 16th IFAC World Congress, 2005, 2005

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Research paper thumbnail of Applications of Heuristics in Finance

International Handbooks Information System, 2008

Having the optimal solution for a given problem is crucial in the competitive world of finance; f... more Having the optimal solution for a given problem is crucial in the competitive world of finance; finding this optimal solution, however, is often an utter challenge. Even if the problem is well defined and all necessary data are available, it is not always well behaved: rather simple constraints are often enough to prohibit closed form solutions or evade the reliable application of standard numerical solutions. A common way to avoid this difficulty is to restate the problem: restricting and cumbersome constraints are relaxed and simplifying assumptions are introduced until the revised problem is approachable with the available methods, and are afterwards superimposed onto the solution for the simplified problem. Unfortunately, subtleties as well as central properties of the initial problem can be lost in this process, and results assumed to be ideal can actually be far away from the true optimum.

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Research paper thumbnail of Optimal LAG structure selection in VEC-models

Proceedings of the 16th IFAC World Congress, 2005, 2005

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Research paper thumbnail of The convergence of estimators based on heuristics: theory and application to a GARCH model

Computational Statistics, 2009

Econometric theory describes estimators and their properties, e.g., the convergence of maximum li... more Econometric theory describes estimators and their properties, e.g., the convergence of maximum likelihood estimators. However, it is ignored that often the estimators cannot be computed using standard tools, e.g., due to multiple local optima. Then, optimization heuristics might be helpful. The additional random component of heuristics might be analyzed together with the econometric model. A formal framework is proposed for

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Research paper thumbnail of Interviewer effects in real and falsified interviews: Results from a large scale experiment

Statistical Journal of the IAOS, 2015

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Research paper thumbnail of Empirical macromodels under test: a comparative simulation study of the employment effects of a revenue neutral cut in social security contributions

In the paper we simulate a revenue-neutral cut in the social security contribution rate using fiv... more In the paper we simulate a revenue-neutral cut in the social security contribution rate using five different types of macro- / microeconomic models, namely two models based on time-series data where the labour market is modelled basically demand oriented, two models of the class of computable equilibrium models which are supply oriented and finally a firm specific model for international

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Research paper thumbnail of Validation of Agent-Based Models of Financial Markets

Modeling and Control of Economic Systems 2001, 2003

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Research paper thumbnail of Bank Lending and the Transmission of Monetary Policy: A VECM Analysis for Germany

SSRN Electronic Journal, 2000

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Research paper thumbnail of Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

SSRN Electronic Journal, 2000

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Research paper thumbnail of Using Threshold Accepting to Improve the Computation of Censored Quantile Regression

COMPSTAT, 1998

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Research paper thumbnail of Heuristic optimisation in economics and econometrics

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Research paper thumbnail of Investment and Employment Adjustment after Unification. Some Results form a Macroeconomic Disequilibrium Model

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Research paper thumbnail of Optimal industrial classification with heteroskedasticity correction: An application to the Swedish industrial classification system

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Research paper thumbnail of The Sluggishness of Interest-Rates and Credit Rationing in the Federal-Republic-Of-Germany

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Research paper thumbnail of Randomness and quasi-Monte Carlo approaches-Some remarks on fundamentals and applications in statistics and econometrics

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Research paper thumbnail of Research Paper Number 38 Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

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Research paper thumbnail of Aggregationsprobleme in der Ökonometrie: Ein Beitrag heuristischer Optimierungsverfahren

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Research paper thumbnail of The 3rd Special Issue on Optimization Heuristics in Estimation and Modelling Problems

Computational Statistics & Data Analysis, 2012

ABSTRACT The unit-level small area estimation approach has no standard procedure and each case ne... more ABSTRACT The unit-level small area estimation approach has no standard procedure and each case needs separate modeling when the domain parameters are not linear or the target variable is not normally distributed. Area-level linear mixed models can be generally ...

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Research paper thumbnail of The convergence of optimization based GARCH estimators: theory and application

Compstat 2006 - Proceedings in Computational Statistics, 2006

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Threshold Accepting Optimisation Algorithm in Economics and Statistics

Advances in Computational Management Science, 2007

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The hidden risks of optimizing bond portfolios under VaR

Proceedings of the 16th IFAC World Congress, 2005, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Applications of Heuristics in Finance

International Handbooks Information System, 2008

Having the optimal solution for a given problem is crucial in the competitive world of finance; f... more Having the optimal solution for a given problem is crucial in the competitive world of finance; finding this optimal solution, however, is often an utter challenge. Even if the problem is well defined and all necessary data are available, it is not always well behaved: rather simple constraints are often enough to prohibit closed form solutions or evade the reliable application of standard numerical solutions. A common way to avoid this difficulty is to restate the problem: restricting and cumbersome constraints are relaxed and simplifying assumptions are introduced until the revised problem is approachable with the available methods, and are afterwards superimposed onto the solution for the simplified problem. Unfortunately, subtleties as well as central properties of the initial problem can be lost in this process, and results assumed to be ideal can actually be far away from the true optimum.

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Research paper thumbnail of Optimal LAG structure selection in VEC-models

Proceedings of the 16th IFAC World Congress, 2005, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The convergence of estimators based on heuristics: theory and application to a GARCH model

Computational Statistics, 2009

Econometric theory describes estimators and their properties, e.g., the convergence of maximum li... more Econometric theory describes estimators and their properties, e.g., the convergence of maximum likelihood estimators. However, it is ignored that often the estimators cannot be computed using standard tools, e.g., due to multiple local optima. Then, optimization heuristics might be helpful. The additional random component of heuristics might be analyzed together with the econometric model. A formal framework is proposed for

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Interviewer effects in real and falsified interviews: Results from a large scale experiment

Statistical Journal of the IAOS, 2015

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Research paper thumbnail of Empirical macromodels under test: a comparative simulation study of the employment effects of a revenue neutral cut in social security contributions

In the paper we simulate a revenue-neutral cut in the social security contribution rate using fiv... more In the paper we simulate a revenue-neutral cut in the social security contribution rate using five different types of macro- / microeconomic models, namely two models based on time-series data where the labour market is modelled basically demand oriented, two models of the class of computable equilibrium models which are supply oriented and finally a firm specific model for international

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Validation of Agent-Based Models of Financial Markets

Modeling and Control of Economic Systems 2001, 2003

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Research paper thumbnail of Bank Lending and the Transmission of Monetary Policy: A VECM Analysis for Germany

SSRN Electronic Journal, 2000

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

SSRN Electronic Journal, 2000

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Using Threshold Accepting to Improve the Computation of Censored Quantile Regression

COMPSTAT, 1998

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Heuristic optimisation in economics and econometrics

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Investment and Employment Adjustment after Unification. Some Results form a Macroeconomic Disequilibrium Model

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Optimal industrial classification with heteroskedasticity correction: An application to the Swedish industrial classification system

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Sluggishness of Interest-Rates and Credit Rationing in the Federal-Republic-Of-Germany

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Randomness and quasi-Monte Carlo approaches-Some remarks on fundamentals and applications in statistics and econometrics

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Research Paper Number 38 Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Aggregationsprobleme in der Ökonometrie: Ein Beitrag heuristischer Optimierungsverfahren

Bookmarks Related papers MentionsView impact

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