Autoren-Abstract: This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only differ in the parameters to be estimated. We assume that only limited information is used to construct estimators....

Okun's Law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). Empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by...

In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the...

Aufbauend auf einem klassischen Finanzmarktmodell behandeln wir drei Modellvarianten, die jeweils einen anderen Ansatz der (heterogenen) Erwartungsbildung von Investoren über künftige Wertpapierpreise in den Vordergrund der Betrachtungen rücken: das Konzept der konsistenten Erwartungen, das...

This article investigates the impacts of asymmetric information within a Lucas (1978) asset pricing economy. Asymmetry enters via the assumption that one group of agents is equipped with superior information about the dividend process.(...)