Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most prominent dimension reduction technique - functional principal components analysis - however, does not model time dependences embedded in functional data. In this paper we use dynamic semiparametric factor models (DSFM) to reduce dimensionality and analyse the dynamic structure of unknown random functions by means of inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral densities implied by prices of option on the DAX stock index.dynamic factor models, dimension reduction, risk neutral density

A Microeconomic Explanation of the EPK Paradox

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets. Alternatively, we want to emphasize a microeconomic view. Based on an economic model with state dependent utilities for the financial investors we succeed in explaining the paradox by changes of the risk attitudes. Theoretically, the change behaviour is compressed by the pricing kernels. As a starting point for empirical insights we shall develop and investigate inverse problems in terms of data fits for estimated basic values of the pricing kernel.Pricing kernel, representative agent, empirical pricing kernel, epk paradox, state dependent utilities, switching points

A microeconomic explanation of the epk paradox

Supported by some recent investigations the empirical pricing kernel paradox might be viewed as a stylized fact. In ChabiYo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets. Alternatively, we want to emphasize a microeconomic view. Based on an economic model with state dependent utilities for the financial investors we succeed in explaining the paradox by changes of risk attitudes. Theoretically, the change behaviour is compressed in the pricing kernels. As a starting point for empirical insights we shall develop and investigate inverse problems in terms of data fits for estimated basic values of the pricing kernel

Integration und Partizipation junger Ausländer vor dem Hintergrund ethnischer und kultureller Identifikation: Ergebnisse des Integrationssurveys des BiB

Vor dem Hintergrund zunehmender dauerhafter Niederlassung von ausländischen Arbeitnehmern und deren Familien untersucht die Arbeit folgende Fragestellungen: Wie weit ist die Integration von Personen mit Migrationshintergrund im schulischen und beruflichen Bereich fortgeschritten? Wie lässt sich die Distanz zu Deutschen erklären? Zeigen Migranten Interesse und Partizipation im politischen und sozialen Bereich? Nehmen inter-ethnische Eheschließungen und Freundschaften zu und gibt es diesbezüglich Unterschiede zwischen den Nationalitätengruppen? Zur Untersuchung dieser Fragen wurden im Jahr 2000 italienisch- und türkischstämmige Migranten im Alter von 18 bis 30 Jahre sowie eine deutsche Kontrollgruppe über ihre Lebensverhältnisse, Verhaltensweisen und Einstellungen befragt. Dabei steht die Vermutung im Vordergrund, dass problematische Partizipationsformen ausländischer Jugendlicher nicht nur die heutigen Lebensverhältnisse beeinträchtigen, sondern sich daraus auch Gefährdungen für die zukünftige gesellschaftliche Integration ergeben können. Die Ergebnisse zeigen, dass die zweite Generation der Bevölkerung ausländischer Herkunft in Deutschland sozialstrukturell, sozialkulturell und zum großen Teil auch soziopolitisch den deutschen jungen Erwachsenen relativ ähnlich sind und dass generell beide Gruppen den Weg zur Integration durch wechselseitige Anpassung und Akzeptanz längst beschritten haben. (ICH

Measurement of differential cross sections for top quark pair production using the lepton plus jets final state in proton-proton collisions at 13 TeV

National Science Foundation (U.S.

Particle-flow reconstruction and global event description with the CMS detector

The CMS apparatus was identified, a few years before the start of the LHC operation at CERN, to feature properties well suited to particle-flow (PF) reconstruction: a highly-segmented tracker, a fine-grained electromagnetic calorimeter, a hermetic hadron calorimeter, a strong magnetic field, and an excellent muon spectrometer. A fully-fledged PF reconstruction algorithm tuned to the CMS detector was therefore developed and has been consistently used in physics analyses for the first time at a hadron collider. For each collision, the comprehensive list of final-state particles identified and reconstructed by the algorithm provides a global event description that leads to unprecedented CMS performance for jet and hadronic tau decay reconstruction, missing transverse momentum determination, and electron and muon identification. This approach also allows particles from pileup interactions to be identified and enables efficient pileup mitigation methods. The data collected by CMS at a centre-of-mass energy of 8 TeV show excellent agreement with the simulation and confirm the superior PF performance at least up to an average of 20 pileup interactions

Identification of heavy-flavour jets with the CMS detector in pp collisions at 13 TeV

Many measurements and searches for physics beyond the standard model at the LHC rely on the efficient identification of heavy-flavour jets, i.e. jets originating from bottom or charm quarks. In this paper, the discriminating variables and the algorithms used for heavy-flavour jet identification during the first years of operation of the CMS experiment in proton-proton collisions at a centre-of-mass energy of 13 TeV, are presented. Heavy-flavour jet identification algorithms have been improved compared to those used previously at centre-of-mass energies of 7 and 8 TeV. For jets with transverse momenta in the range expected in simulated $\mathrm{t}\overline{\mathrm{t}}$ events, these new developments result in an efficiency of 68% for the correct identification of a b jet for a probability of 1% of misidentifying a light-flavour jet. The improvement in relative efficiency at this misidentification probability is about 15%, compared to previous CMS algorithms. In addition, for the first time algorithms have been developed to identify jets containing two b hadrons in Lorentz-boosted event topologies, as well as to tag c jets. The large data sample recorded in 2016 at a centre-of-mass energy of 13 TeV has also allowed the development of new methods to measure the efficiency and misidentification probability of heavy-flavour jet identification algorithms. The heavy-flavour jet identification efficiency is measured with a precision of a few per cent at moderate jet transverse momenta (between 30 and 300 GeV) and about 5% at the highest jet transverse momenta (between 500 and 1000 GeV)

Search for heavy resonances decaying to a top quark and a bottom quark in the lepton+jets final state in proton–proton collisions at 13 TeV

info:eu-repo/semantics/publishe

Evidence for the Higgs boson decay to a bottom quark–antiquark pair

info:eu-repo/semantics/publishe