Browsing by Subject "econometrics"
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Publication 50 Beiträge der Assekuranz für mehr Nachhaltigkeit(2022-09-06)Type:newspaper articleJournal:HZ Insurance - Some of the metrics are blocked by yourconsent settings
Publication A collective investment problem in a stochastic volatility environment: The impact of sharing rules(2021) ;Chen, An ;Nguyen, ThaiType:journal articleJournal:Annals of Operations ResearchVolume:302Issue:1 - Some of the metrics are blocked by yourconsent settings
Publication A CPT-based comparison of retirement products(2021) ;Chen, AnType:journal articleJournal:SSRN Electronic Journal - Some of the metrics are blocked by yourconsent settings
Publication A non-Gaussian, structure-preserving stochastic volatility and option pricing model in discrete time(2024-06-07); ; Alexander V. MelnikovThis paper introduce the ARGSV-MXN model that is structure-preserving under the risk-neutral measure if combined with exponential affine stochastic discount factor.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Publication Actuarial fairness and social welfare in mixed-cohort tontines(2023-05-24) ;Chen, AnType:journal articleJournal:Insurance: Mathematics and EconomicsVolume:111Scopus© Citations 6 - Some of the metrics are blocked by yourconsent settings
Publication Adaptive factor modeling(2024-03-15)We consider the classical factor model of Jöreskog (1969) within a change point detection framework with the aim of discovering intervals of local homogeneity of the model. Our tests for structural breaks in the variance (homogeneity in variance) as well as both in the mean and the variance (complete homogeneity) are based on a maximum statistic of sequential generalized likelihood ratios. We approximate the small-sample distribution by means of a multiplier bootstrap. To handle the high-dimensional parameter problem, we suggest a novel bias correction for the multiplier bootstrap. Simulations show that the tests perform very well in terms of size and power. In our empirical application, we study structural breaks for moderately sized equity portfolios.Type:conference speech - Some of the metrics are blocked by yourconsent settings
Publication Analysing the potential of citizen-financed community renewable energy to drive Europe's low-carbon energy transitionIn 2018, the real amount invested in the European Union's energy transition fell short of the funding level required to reach the 2030 climate and energy targets by €179 billion. Citizen-led finance in renewable energy development emerges as an innovative tool to bridge this investment gap. However, in spite of the European Union's ambition to involve local communities for co-driving the low-carbon energy transition, there is no comprehensive analysis quantifying citizens' potential to co-finance and participate in community renewable energy initiatives across Europe. We address this knowledge gap through a representative choice experiment survey that collected responses from 16,235 participants to different hypothetical investment options on renewable energy schemes across all European Union Member States, and estimate the social potential of European citizens to participate and invest in community-administered wind farms. Results from a novel survey-based social simulation indicate that €176 billion could be obtained from citizen-led finance in community-administered wind farm developments, enough to halve the investment gap to achieve a 32% renewable energy share in final energy consumption by 2030. Our analysis substantiates the case for facilitating easily accessible, risk-insured community investment options across Europe to unlock citizens' social potential for investing in community renewable energy.Type:journal articleJournal:Renewable and Sustainable Energy ReviewsVolume:133Issue:110300 - Some of the metrics are blocked by yourconsent settings
Publication Arm im Alter: Neue Wege, um Vorsorgelücken von Frauen zu schliessen(2022); Journal:I.VW Management Information - Some of the metrics are blocked by yourconsent settings
Publication Assessimg the Effects of Unconventional Fiscal Policy: Evidence from a Temporary VAT Rate Cut Using Credit Card Data(2024); We use novel transaction-level card expenditure data to estimate the effect of the temporary value-added tax (VAT) rate cut during 2020 in Germany, the largest euro area country in terms of GDP and population. Card expenditures in Austria serve as a comparison because spending and card-usage patterns of Austrian and German households were similar, and no analogous VAT cut was implemented in Austria. As predicted by consumption theory, we find that the temporary VAT cut increased expenditures more for durable goods, with a stronger effect towards the end of the cut. The annualized growth rate of expenditures for durables increased by 6 percentage points (pp) during the VAT cut, with a particularly strong increase of up to 11 pp for consumer electronics. The expenditure growth rate for semi-durables and non-durables did not change significantly during the cut, both economically and statistically. The estimates imply a consumption multiplier of 0.2 and a fall of fiscal revenues that is two thirds of the tax-revenue reduction in a counterfactual with constant expenditures.Type:working paper - Some of the metrics are blocked by yourconsent settings
Publication Auctions versus bookbuilding: The effects of IPO regulation in JapanJournal:The Financial ReviewVolume:58Scopus© Citations 2 - Some of the metrics are blocked by yourconsent settings
Publication Bequest-Embedded Annuities and Tontines(2022) ;Chen, AnType:journal articleJournal:Asia-Pacific Journal of Risk and InsuranceVolume:16Issue:1 - Some of the metrics are blocked by yourconsent settings
Publication Biclustering Swiss In-home Food Consumption across Consumer Groups and Foods(2024-04-25); Mann, StefanThis study is the first to apply biclustering to households' home consumption of food and finds patterns of households and foods that may account for factors of consumption in Switzerland. We define and label five overlapping biclusters-basic, vegan processed, old & poor, vegan raw and sweet-toothedwhich are distinguished mainly by age and household size. Our results may help to target food and nutrition policy and marketing activities in the future by using clearer behavioural information about consumers.Type:forthcoming - Some of the metrics are blocked by yourconsent settings
Publication Board Composition and Ownership Structure in Switzerland – The Empirical Evidence(2019-08-07)Type:journal articleJournal:CapLaw (Swiss Capital Markets Law)Volume:11Issue:3 - Some of the metrics are blocked by yourconsent settings
Publication Board Composition, Ownership Structure and Firm Value: Empirical Evidence from Switzerland(2019)Type:journal articleJournal:EBOR (European Business Organization Law Review)Volume:20Issue:2 - Some of the metrics are blocked by yourconsent settings
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Publication Consistency of p-norm based tests in high dimensions: characterization, monotonicity, domination(2023) ;Kock, Anders BredahlPreinerstorfer, DavidMany commonly used test statistics are based on a norm measuring the evidence against the null hypothesis. To understand how the choice of a norm affects power properties of tests in high dimensions, we study the consistency sets of p-norm based tests in the prototypical framework of sequence models with unrestricted parameter spaces, the null hypothesis being that all observations have zero mean. The consistency set of a test is here defined as the set of all arrays of alternatives the test is consistent against as the dimension of the parameter space diverges. We characterize the consistency sets of p-norm based tests and find, in particular, that the consistency against an array of alternatives cannot be determined solely in terms of the p-norm of the alternative. Our characterization also reveals an unexpected monotonicity result: namely that the consistency set is strictly increasing in p∈(0,∞), such that tests based on higher p strictly dominate those based on lower p in terms of consistency. This monotonicity allows us to construct novel tests that dominate, with respect to their consistency behavior, all p-norm based tests without sacrificing size.Type:journal articleJournal:BernoulliVolume:29Scopus© Citations 1 - Some of the metrics are blocked by yourconsent settings
Publication Controlling the size of autocorrelation robust tests(2018) ;Pötscher, Benedikt M.Preinerstorfer, DavidType:journal articleJournal:Journal of EconometricsVolume:207Issue:2 - Some of the metrics are blocked by yourconsent settings
Publication Corporate Venturing Navigator: Conceptual development(2022-06); ; ; Stöckel, AlexanderCorporate venturing (CV) has become a very important business tool for both corporations and start-ups and has received considerable research attention. However, existing studies are ambiguous and incomplete in terms of the optimal set-up, operation and termination of a CV program and the capture of value that is generated for the parent company. Based on the available research, we developed the Corporate Venturing Navigator (CVN) holding two artefacts: 1) the CVN Framework and 2) the CVN Cockpit. The results provide initial guidance on how to improve CV activities and realize their full potential with first application in practice. We highlight the contributions of the CVN in terms of theory and measurement.Type:journal article - Some of the metrics are blocked by yourconsent settings
Publication Corporate Venturing Navigator: Evaluation along case studiesIn this paper, I evaluate the self-developed Corporate Venturing Navigator (CVN) and its two artefacts, the CVN-Framework and the CVN-Cockpit, by putting the CVN under the microscope in practice. I assess the CVN with practice partners to validate the identified current problem with CV programs, the CVN phases and element characteristics and dynamics that were developed and the CVN’s usability, as well as to consider additional input. The goal is to gain further scientific insight into the creation and operation of corporate venturing with a focus on capturing and measuring value. The results reflect additional expertise in optimizing CV investments, further justifying their existence and usefulness.Type:journal article