This paper analyzes and compares range-based and return-based variance/covariance estimates. We provide new results on the relative efficiency of the range. We show that the use of the range is compatible with time varying volatilities and we extend the range to a multivariate setup. A new...

The successful investment policy is an integral part of successful activity of the insurance company. The return to the shareholders of the insurance company usually thought of as comprising the underwriting result and investment income. The investment income is very important even for an...

Economic agents are aware to incur in a loss basing their decisions on their own extrapolations instead of sound statistical data, but the loss could be smaller than the one related to waiting for the dissemination of final data. A broad guidance in deciding when statistical offices should...

The Hodrick-Prescott filter is a convenient and therefore widely and routinely applied detrending method in macroeconomics working with empirical data. However, James Hamilton has recently gained attention with his vigorous advice against it and a proposal of a better alternative. Before...

The effects of slight changes in the parameters on the characteristic roots of a model (sensitivity analysis) has great potential in econometrics.The author, after suggesting a criterion for giving empirical contents to the notion of "slight", shows how the application of sensitivity analysis to...

This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the Allais paradox or the fourfold pattern of risk attitudes....

This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, we implement a frequently used nonlinear probit model in the style of Hey...

This paper explores the potential of an approach suggested by Manski of obtaining nonparametric bounds for treatment effects in evaluation studies without knowledge of the participation process. The practical concern is the effects of continuous vocational training in East Germany. The empirical...

When applied to time series processes containing occasional level shifts, the logperiodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and I derive an...

We study the estimation of dynamic economic models for which some of the state variables are observed only occasionally by the econometrician—a common problem in many fields, ranging from industrial organization to marketing to finance. If such occasional state observations are serially...