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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …
Persistent link: https://www.econbiz.de/10009579173
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Reappraising medfly longevity : a quantile regression survival analysis
Koenker, Roger; Geling, Olga - 1999
Chaudhuri, Doksum and Samarov (1997) have recently stressed the usefulness of the quantile regression formulation for survival analysis and for transformation models, more generally. In this paper, we explore the use of quantile regression in survival analysis by reanalysing a large experimental...
Persistent link: https://www.econbiz.de/10009580464
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Experimental "beauty contests" with homogeneous and heterogeneous players and with interior and boundary equilibria
Güth, Werner; Kocher, Martin; Sutter, Matthias - 2001
We study behavior in experimental beauty contests with, first, boundary and interior equilibria, and, second, homogeneous and heterogenous types of players. We find quicker and better convergence to the game-theoretic equilibrium with interior equilibria and homogeneous players. -- beauty...
Persistent link: https://www.econbiz.de/10009614296
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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605
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Using private job agencies : optimal screening or cream skimming?
Kübler, Dorothea - 1997
In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and an efficient private agency may lead to optimal screening with first best...
Persistent link: https://www.econbiz.de/10009658470
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Private information, risk aversion, and the evolution of market research
Güth, Sandra; Güth, Werner; Müller, Wieland - 2000
On a homogeneous oligopoly market informed sellers are fully aware of market demand whereas uninformed sellers only know the distribution. We first derive the market results when sellers are risk averse, similarly to Ponssard (1979) who assumed risk neutrality throughout. With the help of these...
Persistent link: https://www.econbiz.de/10009612010
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Why the rich are nastier than the poor : a note on optimal punishment
Huck, Steffen; Müller, Wieland - 1998
Studying evolutionarily successful behavior we show in a general framework that when individuals maximizing payoff differentials invest resources in punishing others. Interestingly, these investments are increasing in individuals, own wealth and decreasing in the wealth of others.
Persistent link: https://www.econbiz.de/10009574881
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The influence of inventory effects and reference points on the rate of consumption
Bell, David R.; Boztuğ, Yasemin - 2001 - Rev.
The authors develop and test a model to study the influence of inventory-on-hand and price-based reference points on the consumption rate of consumers. The model is motivated by recent theoretical and empirical research which suggests inventory pressure can cause consumers to increase...
Persistent link: https://www.econbiz.de/10009615422
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Arrow-Debreu equilibria with asymptotically heterogeneous expectations exist
Riedel, Frank - 2001
In infinite horizon economies only local equivalence of beliefs is needed to ensure the existence of an Arrow-Debreu equilibrium. In fact, agents can even disagree completely in the long run in the sense that asymptotically, their beliefs are singular. -- Heterogeneous expectations ;...
Persistent link: https://www.econbiz.de/10009613607
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Framing effects on asset markets : an experimental analysis
Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - 2001
In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be … explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and …) found little correspondence between different experimental risk elicitation methods. -- Prospect Theory ; Framing …
Persistent link: https://www.econbiz.de/10009613618