Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize...

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric...

In standard rational choice modelling decisions are made according to given information and preferences. In the model presented here the 'information technology' of individual decision makers as well as their preferences evolve in a dynamic process. In this process decisions are made rationally...

In this experimental study of tax evasion and its determinants participants earn their income in a complex stochastic intertemporal environment including the possibility to invest into a risky asset. The earned income has to be declared in four tax returns which are randomly verified. If tax...