Traditional choice models assume that observable behavior results from an unspecified evaluation process of the observed individual. When it comes to the revelation of this process mere choice models rapidly meet their boundaries, as psychological factors (e.g., consumers' perception or...

In klassischen Wahlmodellen wird davon ausgegangen, dass sich ein beobachtetes Verhalten durch einen nicht näher spezifizierbaren Evaluationsprozess des beobachteten Individuums ergibt. Ist die Aufdeckung dieses Prozesses von Interesse, stoßen reine Wahlmodelle schnell an ihre methodischen...

Empirical studies on the earnings effects of tobacco use have found significant wage penalties attached to smoking. We produce evidence that suggests that these estimates are significantly upward biased. The bias arises from a general failure in the literature to control for the past smoking...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests...

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...