The focus of this paper is on the microeconometric analysis of spatial choice in a cross section. Nested multinomial logit models are used to analyze the determi-nants of individual choice among destinations and vacation activities. Cramer and Ridder's likelihood ratio test for pooled...

According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986,1987) the daily price changes and the correspond-ing trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events...

Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a conditional normal distribution is compa-red with SV...

In this paper we follow a different approach by taking a first step towards an option valuation model which does not explicitly make use of unobservable State variables. Instead of using a stochastic variance variable directly, we assume that the variance of stock returns is determined by the...

Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen...

In this paper we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. We use a mean reverting square-root prooess to simulate the...

This paper investigates the Information content of daily trading volume with respect to the long-run or high persistent and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models. For this purpose, the Standard bivariate mixture...