The contribution of this dissertation is threefold. First, econometric procedures to test for the occurence of asset price bubbles ex post and in real time are proposed. Real time monitoring procedures represent an additional ...

Chapter 1 proposes simple and robust diagnostic tests for spatial dependence, specifically for spatial error autocorrelation and spatial lag dependence. The idea of our tests is to reformulate the testing problem such that ...

Recently, the availability of high-frequency financial data has opened new research directions for modeling the volatility of asset returns. In particular, building on the theory of quadratic variation, the high-frequency ...

The standard panel data literature is moving from micro panels, where the cross-section dimension is large and the intertemporal sample size is small, to large panels, where both, the cross-section and the time dimension, ......

This thesis consists of three self-contained essays in econometrics and statistics. It discusses methodological topics in semiparametric statistics as well as dynamic panel data models. In chapters 1 and 2 the smooth minimum ...

This thesis consists of three self-contained chapters in applied and theoretical econometrics. The first chapter presents a Lagrange Multiplier test for detecting shock triggered asymmetries in time series and investigates ...

This thesis consists of three self-contained essays in econometrics and statistics. In these essays, I am interested in the nonparametric regression models and in developing new methods for testing various qualitative ...

This thesis consists of three self-contained essays in econometrics and statistics. It discusses methodological topics in semi- and nonparametric statistics as well as empirical questions in financial econometrics. My ...