This article presents an econometric analysis of the many data on the sealed-bid auction that sells mussels in Yerseke town, the Netherlands. The goals of this analysis are obtaining insight into the important factors that determine the price of these mussels, and quantifying the performance of...

This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC)...

Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

We used advances in data envelopment analysis (DEA) techniques to examine efficiency scores and investigate the issue of convergence and divergence in a cross-country analysis. Specifically, we used bootstrapping techniques to examine a data set of 52 developed and developing countries. We found...

Exploiting the fact that most arrival processes exhibit cyclic behaviour, we propose a simple procedure for estimating the intensity of a non-homogeneous Poisson process. The estimator is the super-resolution analogue to Shao 2010 and Shao & Lii 2011, which is a sum of p sinusoids where p and...

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

This study investigates the relationship between institutional ownership and dividend payout behavior of the firm in Germany. Using a propensity scoring method estimator to control for endogeneity problems, we find evidence that neither institutional ownership nor bank control is statistically...

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...