Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a conditional normal distribution is compa-red with SV...

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on fmancial markets. In this class of models price changes and volume follow a mixture of bivariate distributions with the unobservable number of price relevant information...

This paper investigates the Information content of daily trading volume with respect to the long-run or high persistent and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models. For this purpose, the Standard bivariate mixture...

According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986,1987) the daily price changes and the correspond-ing trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events...

This dissertation consists of three empirical chapters. The first chapter examines the extent to which real-world agents are rational in making quantitative expectations, an issue over which there is much debate. In this chapter dynamic models for new plant-level survey data are estimated in...

In the economic literature there are divergences on a number ofissues between the results obtained with macro- and micro-basedmodels. Habit formation in consumption is one example of suchdisagreement. Another example is the discrepancy between thetheoretical prediction that all investors should...

Models of dynastic households have been traditionally used to analyze persistence in earnings and wealth across generations, more recently to study patterns of wealth and fertility, transfers to children and education choices. However most of those models have looked at the theoretical outcomes...