In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a...

Let W denote a family of probability distributions with parameter space t, and WG be a subfamily of W depending on a mapping G : O -- t. Extremum estimations of the parameter vector v e O are considered. Some sufficient conditions are presented to ensure the uniqueness with probability one. As...

We use spline interpolation to approximate the subjective cumulative distribution function ofan economic agent over the future realization of a continuous (possibly censored) randomvariable. The method proposed exploits information collected using a small number ofprobability questions on...

This paper uses matched employer-employee panel data to show that individual jobsatisfaction is higher when other workers in the same establishment are better-paid. Thisruns contrary to a large literature which has found evidence of income comparisons insubjective well-being...

Recent literature has questioned the existence of a learning foundationfor the partially cursed equilibrium. This paper closes the gap by showingthat a partially cursed equilibrium corresponds to a particular analogy-based expectation equilibrium.

The Nash Bargaining problem in the context of a random utility modelyields a stochastic demand for each player, conditional on his or her beliefs re-garding the other player's behavior. We derive a symmetric logit equilibriumunder naive expectations that converges to the Nash axiomatic solution...

This paper finds that fund managers do not expect mean reverting returns, as suggested by theory andempirical evidence, but mean averting returns.[...]

Das Capital Asset Pricing Model (CAPM) ist auch heute noch – mehr als vierzig Jahrenach seiner Veröffentlichung durch Sharpe (1964), Lintner (1965) und Mossin (1966) –eines der wichtigsten Modelle der Finanzmarktökonomen. Es liefert Aussagen über dieerwarteten Renditen risikobehafteter...