An investor faces a sequence of high-risk investment opportunities. The investor ranks the corresponding projects seen so far and must decide whether and how much to invest into the currently observed opportunity. Returns are realized at the end of the investment horizon, where only a small...

We investigate the sources of time-variation in the stock-oil correlation over the period 1983-2019. We first derive a novel oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stocks and oil, we split unexpected returns into cash flow...

We estimate new indices measuring financial and economic uncertainty in the euro area, Germany, France, the United Kingdom and Austria, following the approach of Jurado, Ludvigson and Ng (2015), which measures uncertainty by the degree of predictability. We perform an impulse response analysis...

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. Therefore, parameters are not estimated consistently. More...

This article presents an econometric analysis of the maintenance costs for the Austrian railway system. The data contain observations of track maintenance costs from 1998 to 2000. Our analysis identifies the cost driving factors in order to determine estimates of marginal costs, as required by...

Affine term structure models describe the term structure of interest rates by means of a small number of latent factors. Quasi-unit root behaviour for these latent factors arises from the high degree of serial correlation in interest rate data. In this paper we perform Bayesian parameter...