We consider 1927 borrowers from 54 countries who had a credit rating by both Moody’s and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings (...)
This note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms of all strictly proper scoring (...)
The paper considers tests against autocorrelation among the disturbances in linear regression models that can be expressed as ratios of quadratic forms. It shows that such tests are in general not (...)
In der Arbeit "Induktive Eigenschaften von Streuungsmaßen für nominale Merkmale" werden zwei Streuungsmaße für nominale Merkmale (wie beispielsweise der Familienstand oder der Beruf oder die Art (...)
In der Arbeit "Induktive Eigenschaften von Streuungsmaßen für ordinale Merkmale" werden, ausgehend von der Definition additiver Streuungsmaße, Maximum-Likelihood-Schätz-funktionen für additive (...)
We investigate the effect of the 20 largest – in terms of insured losses – man-made or natural disasters on the insurance industry. We show via an event study that insurance markets worldwide are (...)
The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not (...)
Vom Geburtshelfer zum Bremser der Erkenntins in den Sozialwissenschaften
Die beschreibende und die schließende Statistik tragen unterschiedlich zur Erkenntnis in den Sozialwissenschaften bei. Während in der statistischen Lehre und Forschung die indkutiven, (...)
It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression disturbances. In particular, the true size of the test (...)
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We (...)
