Universitat Regensburg

Displaying 1-11 of 11 results

  • White Papers // Jan 2011

    Compact Representations and Efficient Algorithms for Operating Guidelines

    Operating guidelines characterize correct interaction (e. g., deadlock freedom) with a service. They can be stored in a service registry. They are typically represented as an annotated transition system where the annotations are Boolean formulae attached to the states. The core result of this paper is to propose an alternative...

    Provided By Universitat Regensburg

  • White Papers // Jan 2011

    Bigger Fish In Small Pond: The Interaction Between Foreigners Trading And Emerging Stock Market Returns Under The Microscope

    This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the Structural Conditional Correlation (SCC) methodology to identify the contemporaneous interaction between foreign flows and returns. The...

    Provided By Universitat Regensburg

  • White Papers // Jan 2011

    Safety First Portfolio Choice Based On Financial And Sustainability Returns

    This paper lays the mathematical foundations of the notion of an investment's sustainability return and investigates three different models of portfolio selection with probabilistic constraints for safety first investors caring about the financial and the sustainability consequences of their investments. The discussion of these chance-constrained programming problems for stochastic and...

    Provided By Universitat Regensburg

  • White Papers // Dec 2010

    Non-Stationary Interest Rate Differentials And The Role Of Monetary Policy

    The present work deals with a frequently detected failure of the Uncovered Interest rate Parity (UIP) - the absence of bivariate co-integration between domestic and foreign interest rates. The authors explain non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels...

    Provided By Universitat Regensburg

  • White Papers // Oct 2010

    Single-Name Credit Risk, Portfolio Risk, And Credit Rationing

    This paper introduces non-diversifiable risk in the Stiglitz-Weiss adverse selection model, so that an increase in the average riskiness of the borrower pool causes higher portfolio risk. This opens up the possibility of equilibrium credit rationing. Comparative statics analysis shows that an increase in risk aversion turns two-price equilibrium into...

    Provided By Universitat Regensburg

  • White Papers // Jul 2010

    Foreign And Domestic Growth Drivers In Eastern Europe

    This paper analyses the growth effects of capital formation, exports and FDI as major drivers of economic development in Eastern Europe. The fundamental innovations are identified by empirically and theoretically motivated short- and long-run restrictions in structural cointegrated vector autoregressions. Impulse responses and variance decompositions reveal quite different growth effects...

    Provided By Universitat Regensburg

  • White Papers // Mar 2010

    On The Sources Of U.S. Stock Market Comovement

    This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of the latent idiosyncratic and common shocks as ARCH-type...

    Provided By Universitat Regensburg

  • White Papers // Nov 2009

    Visualizing Past Personal Data Disclosures

    Off late rich service offer in the World Wide Web increasingly requires the disclosure of personal user data. Service providers' appetite for personal user data, however, is accompanied by growing privacy implications for Internet users. Addressing this rising threat, privacy-enhancing technologies aim at aiding users in protecting their personal data....

    Provided By Universitat Regensburg

  • White Papers // Oct 2009

    The US Term Structure And Central Bank Policy

    The Expectations Hypothesis of the Term structure (EHT) implies co-integration between interest rates of different maturities and predicts certain values for adjustment speed. The authors estimate reduced-form vector error correction models of the US term structure. These are derived from a structural model combining the EHT, auto correlated risk premia,...

    Provided By Universitat Regensburg

  • White Papers // Apr 2008

    Extending the Compatibility Notion for Abstract WS-BPEL Processes

    WS-BPEL defines a standard for executable processes. Executable processes are business processes which can be automated through an IT infrastructure. The WS-BPEL specification also introduces the concept of abstract processes: In contrast to their executable siblings, abstract processes are not executable and can have parts where business logic is disguised....

    Provided By Universitat Regensburg

  • White Papers // Mar 2008

    Fully-automatic Translation of Open Workflow Net Models into Simple Abstract BPEL Processes

    On the one hand, Petri net models have a successful history in the modeling, simulation, and verification of workflows and business processes. On the other hand, BPEL is the de facto standard for describing and implementing Web service-based business processes. With abstract BPEL processes, BPEL can also be used as...

    Provided By Universitat Regensburg

  • White Papers // Dec 2010

    Non-Stationary Interest Rate Differentials And The Role Of Monetary Policy

    The present work deals with a frequently detected failure of the Uncovered Interest rate Parity (UIP) - the absence of bivariate co-integration between domestic and foreign interest rates. The authors explain non-stationarity of the interest differential via central bank reactions to exchange rate variations. Thereby, the exchange rate in levels...

    Provided By Universitat Regensburg

  • White Papers // Mar 2010

    On The Sources Of U.S. Stock Market Comovement

    This paper disentangles direct spillovers and common factors as sources of correlations in simultaneous heteroscedastic systems. While these different components are not identifiable by standard means without restrictions, it is shown that they can be pinned down by specifying the variances of the latent idiosyncratic and common shocks as ARCH-type...

    Provided By Universitat Regensburg

  • White Papers // Jul 2010

    Foreign And Domestic Growth Drivers In Eastern Europe

    This paper analyses the growth effects of capital formation, exports and FDI as major drivers of economic development in Eastern Europe. The fundamental innovations are identified by empirically and theoretically motivated short- and long-run restrictions in structural cointegrated vector autoregressions. Impulse responses and variance decompositions reveal quite different growth effects...

    Provided By Universitat Regensburg

  • White Papers // Nov 2009

    Visualizing Past Personal Data Disclosures

    Off late rich service offer in the World Wide Web increasingly requires the disclosure of personal user data. Service providers' appetite for personal user data, however, is accompanied by growing privacy implications for Internet users. Addressing this rising threat, privacy-enhancing technologies aim at aiding users in protecting their personal data....

    Provided By Universitat Regensburg

  • White Papers // Oct 2009

    The US Term Structure And Central Bank Policy

    The Expectations Hypothesis of the Term structure (EHT) implies co-integration between interest rates of different maturities and predicts certain values for adjustment speed. The authors estimate reduced-form vector error correction models of the US term structure. These are derived from a structural model combining the EHT, auto correlated risk premia,...

    Provided By Universitat Regensburg

  • White Papers // Jan 2011

    Safety First Portfolio Choice Based On Financial And Sustainability Returns

    This paper lays the mathematical foundations of the notion of an investment's sustainability return and investigates three different models of portfolio selection with probabilistic constraints for safety first investors caring about the financial and the sustainability consequences of their investments. The discussion of these chance-constrained programming problems for stochastic and...

    Provided By Universitat Regensburg

  • White Papers // Jan 2011

    Bigger Fish In Small Pond: The Interaction Between Foreigners Trading And Emerging Stock Market Returns Under The Microscope

    This paper provides the first study of foreign investors' trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the Structural Conditional Correlation (SCC) methodology to identify the contemporaneous interaction between foreign flows and returns. The...

    Provided By Universitat Regensburg

  • White Papers // Oct 2010

    Single-Name Credit Risk, Portfolio Risk, And Credit Rationing

    This paper introduces non-diversifiable risk in the Stiglitz-Weiss adverse selection model, so that an increase in the average riskiness of the borrower pool causes higher portfolio risk. This opens up the possibility of equilibrium credit rationing. Comparative statics analysis shows that an increase in risk aversion turns two-price equilibrium into...

    Provided By Universitat Regensburg

  • White Papers // Apr 2008

    Extending the Compatibility Notion for Abstract WS-BPEL Processes

    WS-BPEL defines a standard for executable processes. Executable processes are business processes which can be automated through an IT infrastructure. The WS-BPEL specification also introduces the concept of abstract processes: In contrast to their executable siblings, abstract processes are not executable and can have parts where business logic is disguised....

    Provided By Universitat Regensburg

  • White Papers // Mar 2008

    Fully-automatic Translation of Open Workflow Net Models into Simple Abstract BPEL Processes

    On the one hand, Petri net models have a successful history in the modeling, simulation, and verification of workflows and business processes. On the other hand, BPEL is the de facto standard for describing and implementing Web service-based business processes. With abstract BPEL processes, BPEL can also be used as...

    Provided By Universitat Regensburg

  • White Papers // Jan 2011

    Compact Representations and Efficient Algorithms for Operating Guidelines

    Operating guidelines characterize correct interaction (e. g., deadlock freedom) with a service. They can be stored in a service registry. They are typically represented as an annotated transition system where the annotations are Boolean formulae attached to the states. The core result of this paper is to propose an alternative...

    Provided By Universitat Regensburg