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economic theory suggests to solve the decision problem. But since real decision makers can hardly be expected to behave … according to the theoretical solution in the problem at hand, I describe several heuristics or rules of thumb and investigate …
Persistent link: https://www.econbiz.de/10009581111
these changes. Households therefore often rely on simple heuristics when deciding what to consume, e.g. in the form of a … commodities as food items. Using utility functions we can measure the welfare loss, caused by such heuristics, and to what extent …
Persistent link: https://www.econbiz.de/10009612561
performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …
Persistent link: https://www.econbiz.de/10009624843
selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the …
Persistent link: https://www.econbiz.de/10009630541
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...
Persistent link: https://www.econbiz.de/10009574877
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885
Rational bargaining behavior depends crucially on the rules of bargaining, especially on whether parties decide sequentially or independently. Whereas in ultimatum bargaining the proposer can exploit the responder, independent commitments result in more balanced payoffs. To limit the scope of...
Persistent link: https://www.econbiz.de/10009574886
Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) ≥ g(x)}. We consider applications where it is appropriate to assume that the region G has a smooth boundary. In particular, this assumption makes sense if...
Persistent link: https://www.econbiz.de/10009574887
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...
Persistent link: https://www.econbiz.de/10009576212