We propose a consistent utility-based framework to jointly explain a household's decisions on purchase incidence, brand choice and purchase quantity. The approach differs from other approaches, currently available in the literature, as it is able to take into account consumption dynamics. In the...

It is conceivable that the "whether to buy" and "how much to buy" decisions in the purchasing process of households are influenced by the inventory process. In this paper we therefore put forward a model for consumption, where we rely on established economic theory. We incorporate this model in...

Forecasts from various experts are often used in macroeconomic forecasting models. Usually the focus is on the mean or median of the survey data. In the present study we adopt a different perspective on the survey data as we examine the predictive power of disagreement amongst forecasters. The...

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity...

Anytime an individual makes a cash payment, s/he needs to think about the amount to be paid, the coins and notes which are available, and the amount of change. For central banks and retail stores, for example, it is of interest to un- derstand how this individual choice process works. The...

We examine recursive out-of-sample forecasting of monthly postwar U.S. core inflation and log price levels. We use the autoregressive fractionally integrated moving average model with explanatory variables (ARFIMAX). Our analysis suggests a significant explanatory power of leading indicators...