In this paper we head for a fully Bayesian analysis of the latent class model with a priori unknown number of classes. Estimation is carried out by means of Markov Chain Monte Carlo (MCMC) methods. We deal explicitely with the consequences the unidentifiability of this type of model has on MCMC...

This paper shows the infinite time ruin probability for an insurance company in the classical Cramér-Lundberg model with finite exponential moments.

The behavior of boundedly rational agents in two interacting markets is investigated. A discrete-time model of coupled financial and consumer markets is described. The integrated model is then used to investigate feedback effects between the coupled markets. In particular, the influence of the...

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d...

This paper presents a dynamic asset pricing model based on a heterogenous class of traders.

We study an agency model, in which the principal has only incomplete information about the agent's preferences, in a dynamic setting. Through repeated interaction with the agent, the principal learns about the agent's preferences and can thus adjust the inventive system. In a dynamic...

The ACM-Artificial Consumer Market is part of the integrated simulation endeavor named the Ar-tificial Economy. Complementing and extending the concepts developed in the SIMSEG simulation environment of Working Paper No. 60 this report proceeds in two steps...

Binary survey data from the Austrian National Guest Survey conducted in the summer season of 1997 were used to identify behavioral market segments on the basis of vacation activity information.(...) [Sara Dolnicar, Friedrich Leisch]<p>Dieses Arbeitspapier ist ebenfalls als Aufsatz erschienen in:...</p>

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes.(...)

...Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long...