The paper uses micro cross-section data from the GfK consumer panel for econometric demand analysis of private households in Germany. Contrary to most research which considered "average" behavior we extend this approach to consumer behavior for different "intensities" of consumption. Our...

In this paper, we empirically show how wavelet decomposition can provide an easy vehicle to study the systematic risk properties of return series to serve as protocol for different traders who view the market with different time resolutions. By using the separate catalogue of Large Cap, Mid Cap...

The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...

The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...

It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...

It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...

This study applies wavelet coherency analysis to examine the relationship between the U.S. per capita real GDP and six income inequality measures over the period 1917 to 2012. Wavelet analysis allows the simultaneous examination of correlation and causality between the two series in both the...

We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...

The volume of work on productivity effects of research and development (R&D) investment has expanded significantly following the contributions of Zvi Griliches and others to microeconometric work in late 1970s and early 1980s. This study aims to meta-analyse the research findings based on OECD...

According to a statement made in the BP Energy Outlook report in 2017, most of the world's liquid fuel (petroleum) is being consumed by the transportation industry. The mechanisms used to stimulate changes in the energy markets are affected by government policies that act in more ambitious ways...