Essays on nonlinearity in economic time series [Elektronische Ressource] / Florian Heinen

Essays on nonlinearity in economic time seriesVon der Wirtschaftswissenschaftlichen Fakult¨at derGottfried Wilhelm Leibniz Universit¨at Hannoverzur Erlangung des akademischen GradesDoktor der Wirtschaftswissenschaften– Doctor rerum politicarum –genehmigte Dissertationvon¨Diplom - Okonom Florian Heinengeboren am 29. Oktober 1981 in Bielefeld2011Referent: Prof. Dr. Philipp Sibbertsen, Leibniz Universitat Hannover¨Koreferent: Prof. Dr. Lukas Menkhoff, Leibniz Universita¨t HannoverTag der Promotion: 16.08.2011We have not succeeded in answering all our problems. Theanswers we have found only serve to raise a whole set of newquestions. In some ways we feel we are as confused as ever,but we believe we are confused on a higher level and aboutmore important things.– Posted outside the mathematics reading room,Tromsø University; cited from Øksendahl (2003).IIIAcknowledgementsSeveral people contributed to this thesis in different ways.First and foremost I am greatly indebted to my advisor and co-author Prof. Dr. Philipp Sib-bertsen. He gave me a lot of liberties and constant encouragement while working on this thesis.I benefited greatly from his insight and experience.I am also thankful to Prof. Dr. Lukas Menkhoff for agreeing to be the second examiner of thisthesis and to Prof. Dr. Olaf Hubler for chairing my examination board.¨¨ ¨My other co-authors Dr. Stefanie Michael, Dipl.-Ok. Hendrik Kaufmann and Dipl.-Ok.