Universitätsst. 12
Duisburg, 45117
Germany
http://www.fmoek.wiwi.uni-due.de/
University of Duisburg-Essen
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Liquidity, asset pricing
Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data
Information density, jump identification, macroeconomic announcements, noisy information, price discovery process
Smooth transition (auto) regression (STAR) models, non-linear estimation technique, (time-varying) rental adjustment process, rental cycle, UK real estate market
Macroeconomic Announcement Effects, European Stock Market, Market Microstructure, Intraday Analysis, Bid-Ask Spreads
Macroeconomic announcement effects; European stock market; market microstructure; intraday analysis; bid-ask spreads
monetary policy, government bonds, smooth transition models, euro area
correlation breakdowns, monetary policy, regime changes, government bonds, multivariate GARCH
Real Estate Return Distributions, Stable Distributions, Tail Dependence
Real Estate return distributions; stable distributions, tail dependence
German real estate funds; return distributions; portfolio building; secondary market
German Real Estate Funds, Liquidity, Return Distributions, Secondary Market, Net Asset Value, Asset Allocation
Energy
Market microstructure; transaction costs; bid-ask spreads; ECB; announcement effects
time-varying correlation, regime transition, multivariate GARCH, smooth transition, cross-asset correlation, non-linear estimation
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Real Estate Return Distributions, Stable Distributions, Tail Dependence, Portfolio, Diversification
Unintended indexing, portfolio deadweight, diversification, exchange-traded funds, sectors, fund portfolios
Regime-switching, non-linear estimation, time-varying rental adjustment process, rental cycle, UK real estate market
Fixed income portfolios, copula opinion pooling (COP) methodology, portfolio optimization, Monte Carlo simulations, hedge funds, robust Bayesian methods, non-normal return distributions, co-dependent markets, prior and posterior allocation
