Quantile smoothing in financial time series

Various parametric models have been designed to analyze volatility in time series of financial market data. For maximum likelihood estimation these parametric methods require the assumption of a known conditional distribution. In this paper we examine the conditional distribution of daily DAX returns with the help of nonparametric methods. We use kernel estimators for conditional quantiles resulting from a kernel estimation of conditional distributions. This work was financially supported by the Deutsche Forschungsgemeinschaft     

REFERENCE POINTS,SOCIAL NORMS,AND FAIRNESS IN CONTRACT RENEGOTIATIONS

How does an ex‐ante contract affect behavior in an ex‐post renegotiation game? We address this question in a canonical buyer–seller relationship with renegotiation. Our paper provides causal experimental evidence that an initial contract has a highly significant and economically important impact on renegotiation behavior that goes beyond the effect of contracts on bargaining threat points. We compare situations in which an initial contract is renegotiated to strategically equivalent bargaining situations in which no ex‐ante contract was written. The ex‐ante contract causes sellers to ask for markups that are 45% lower than in strategically equivalent bargaining situations without an initial contract. Moreover, buyers are more likely to reject given markups in renegotiations than in negotiations. These effects do not depend on whether the contract was written under competitive or monopolistic conditions. Our results provide strong evidence supporting the hypothesis that contracts serve as reference points that shape and coordinate the expectations of the contracting parties.     

<Emphasis Type="Italic">Lothar Krempel</Emphasis>: Visualisierung komplexer Strukturen. Grundlagen der Darstellung mehrdimensionaler Netzwerke. Schriften des Max-Planck-Instituts für Gesellschaftsforschung,Sonderband

Ohne Zusammenfassung     

Parent‐Child Value Similarity: The Role of Zeitgeist

Reporting a study of German 2‐child families, the article focuses on a neglected issue in value transmission studies: contemporaneous societal context. Parent‐child value similarity depends not only on family characteristics but also on zeitgeist, the modal value climate of a society. To evaluate the role of zeitgeist in value transmission, differences in parent‐child value similarity between families agreeing and disagreeing with the zeitgeist are studied, focusing on a core value of modern societies: hierarchic self‐interest. Results show a weak general zeitgeist effect. A family’s relative position vis‐à‐vis the societal value climate, however, is shown to strongly influence intergenerational similarity in hierarchic self‐interest, families distant from the zeitgeist showing a much higher intergenerational value similarity than families close to the zeitgeist.     

Kernel smoothed prediction intervals for ARMA models

The procedures of estimating prediction intervals for ARMA processes can be divided into model based methods and empirical methods. Model based methods require knowledge of the model and the underlying innovation distribution. Empirical methods are based on sample forecast errors. In this paper we apply nonparametric quantile regression to empirical forecast errors using lead time as regressor. Using this method there is no need for a distributional assumption. But for the special data pattern in this application a double kernel method which allows smoothing in two directions is required. An estimation algorithm is presented and applied to some simulation examples.     

Ethnic Self‐Identification of First‐Generation Immigrants1

This paper uses the concept of ethnic self‐identification of immigrants in a two‐dimensional framework. It acknowledges that attachments to both the country of origin and the host country are not necessarily mutually exclusive. There are three possible paths of adjustment from separation at entry, namely the transitions to assimilation, integration, and marginalization. We analyze the determinants of ethnic self‐identification in this process using samples of first‐generation male and female immigrants, and controlling for pre‐ and post‐immigration characteristics. While we find strong gender differences, a wide range of pre‐immigration characteristics like education in the country of origin are not important.     

Eco‐Sociology: Inside and outside of the cocoon

The present article examines how American and German sociological theories deal with the concept of nature and with environmental problems. The results of an analysis of professional sociological publications are presented. Various conceptions of sociological theorists are discussed focussing on nature and environmental problems. It is argued that the social sciences and the mass media are becoming more and more intertwined, increasingly coming to comprise ‘parallel systems of meaning production’ (Gamson and Modgliani, 1989). The basic cultural orientations (subsystems) determine how the concept of nature is discussed. It is suggested to investigate how different conceptions of nature are used in social actions and social situations.