The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...

The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory...

With the celebrated model of Black and Scholes in 1973 the development of modern option pricing models started. One of the assumptions of the Black and Scholes model is that the risky asset evolves according to a geometric Brownian motion which implies normally distributed log-returns. As...

On the basis of real data sets it is shown that splitting a questionnaire survey according to technical rather than qualitative criteria can reduce costs and respondent burden remarkably. Household interview surveys about media and consuming behavior are analyzed and splitted into components....

Der Marktanteil stellt eine wichtige Größe für die Stärke von Marken im Konsumgüterbereich dar. Der Erfolg eines Produktmanagers wird unter anderem daran gemessen. Marktanteilsmodelle haben in der Marktforschung eine lange Tradition. Diese Arbeit zieht das Multinomiale Logit Modell zur...

This paper investigates the intraday volatility pattern of the E-mini SP500, quoted at the Chicago Mercantile Exchange, one of the most traded American Stock Index futures. The data set consists of round-the-clock hourly returns. The squared (and absolute) returns are characterized by long...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...