This paper proves that in smaller market it is optimal to invest the initial endowment into the bond.

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 evaluate reference price models with regard to their ability to explain brand choices of individual households. Reference price models are of the adaptive expectations and extrapolative expectations types. Brand choice is analyzed by means of multinomial logit (MNL) models....

This paper discusses pricing and risk management of static hedges.

This paper analyzes the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model.

Autoren-Abstract: This paper introduces ideas and methods for testing for structural change in linear regression models and presents how these have been realized in an R package called strucchange. It features tests from the generalized fluctuation test framework as well as from the F test (Chow...

In der vorliegenden empirischen Untersuchung erreichen Marktanteilsmodelle mit semi-parametrischen additiven Markenattraktionen bessere Anpassungsmaße sowohl nach einem Informationskriterium wie AIC, das ein Modell für die Anzahl verbrauchter Freiheitsgrade bestraft, als auch nach mittels...

One of the central goals in finance is to find better models for pricing and hedging financial derivatives such as call and put options. We present a semi-nonparametric approach to risk-neutral density extraction from option prices which is based on an extension of the concept of mixture density...

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the...

In the present paper a modeling framework for generation of market data is suggested. First models of consumers perceptual/preferential positions are discussed. Second a model linking brand perceptions to consumers is suggested where the degree of perceptual competition between brands is...