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Modelling consumer behaviour in a profile design using a three equation generalised Tobit model (1997)

Joachim Grammig Reinhard Hujer

We propose the application of a three equation generalised Tobit to model different aspects of consumer behaviour in a full profile study design. The model takes into account that consumer behaviour can be measured by preference scores, purchase probability and purchase volume. We aim to avoid the drawbacks of traditional conjoint analysis where the latter two aspects are disregarded. Starting from a full profile design, we develop the appropriate questionnaire layout, the econometric model, the likelihood function and tests. The model is applied in a market entry study for an innovative medicament after a reform of Germany´s public health system in 1993-1994. JEL Classification: C35,M31,L65

Strange quark matter within the Nambu-Jona-Lasinio model (2000)

Igor N. Mishustin Leonid M. Satarov Horst Stöcker Walter Greiner

Equation of state of baryon rich quark matter is studied within the SU(3) Nambu Jona-Lasinio model with flavour mixing interaction. Possible bound states (strangelets) and chiral phase transitions in this matter are investigated at various values of strangeness fraction rs. The model predictions are very sensitive to the ratio of vector and scalar coupling constants, ¾ = GV /GS. At ¾ = 0.5 and zero temperature the maximum binding energy (about 15 MeV per baryon) takes place at rs C 0.4. Such strangelets are negatively charged and have typical life times < 10 7 s. The calculations are carried out also at finite temperatures. They show that bound states exist up to temperatures of about 15 MeV. The model predicts a first order chiral phase transition at finite baryon densities. The parameters of this phase transition are calculated as a function of rs.

Statistical coalescence model with exact charm conservation (2001)

Mark I. Gorenstein Andriy P. Kostyuk Horst Stöcker Walter Greiner

The statistical coalescence model for the production of open and hidden charm is considered within the canonical ensemble formulation. The data for the J/psi multiplicity in Pb+Pb collisions at 158 A·GeV are used for the model prediction of the open charm yield which has not yet been measured in these reactions.

Time varying trade intensities and the Deutsche Telekom IPO (2000)

Reinhard Hujer Joachim Grammig Stefan Kokot

Comparison of MSACD models (2003)

Reinhard Hujer Stefan Kokot Sandra Vuletić

We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition, the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C22, C25, C41, G14

Econometric analysis of financial trade processes by discrete mixture duration models (2004)

Reinhard Hujer Sandra Vuletić

We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.

The use of the comprehensive family of distributions for the regime switching ACD framework (2005)

Reinhard Hujer Sandra Vuletić

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14.

Econometric analysis of financial trade processes by discrete mixture duration models (2005)

Reinhard Hujer Sandra Vuletić

We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.

The use of the comprehensive family of distributions for the regime switching ACD framework (2004)

Reinhard Hujer Sandra Vuletić

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14

Modeling the trading process on financial markets using the MSACD model (2003)

Reinhard Hujer Stefan Kokot Sandra Vuletić

We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G14

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