This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The obser...

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an i...

The purpose of this paper is to describe prediction efficiencies of various suboptimal predictors relative to the efficient (kriging) minimum mean square error predictor in spatial models containing spatial lags in both the dependent variable and the error term. Suboptimal predictors have been suggested in the literature. One reason is that they are suggested on an intuitive level; another is t...

Recognition of the limitations of traditional hedonic models to account for spatial effects has led in recent years to the development and use of spatial econometric and statistical techniques in real estate applications. It seems appropriate, as the number of applications grows, to evaluate the relative ability of some newer approaches in terms of producing accurate spatial predictions. This a...