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
Real Estate Return Distributions, Stable Distributions, Tail Dependence
Real Estate return distributions; stable distributions, tail dependence
correlation breakdowns, monetary policy, regime changes, government bonds, multivariate GARCH
monetary policy, government bonds, smooth transition models, euro area
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
