Michael Stein

University of Duisburg-Essen

Universitätsst. 12

Duisburg, 45117

Germany

http://www.fmoek.wiwi.uni-due.de/

SCHOLARLY PAPERS

18

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Top 33,121

in Total Papers Downloads

1,328

CITATIONS

4

Scholarly Papers (18)

1.

The Value of True Liquidity

Number of pages: 73 Posted: 02 Mar 2017
Robin Borcherding and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 365 (79,907)

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Liquidity, asset pricing

2.

Financial Crises, Price Discovery, and Information Transmission: A High-Frequency Perspective

EBS Business School Research Paper Series, Working Paper, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 02 Dec 2011 Last Revised: 10 Feb 2017
Roland Füss, Ferdinand Mager, Michael Stein and Lu Zhao
University of St. Gallen - School of Finance, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Duisburg-Essen and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 274 (109,738)
Citation 1

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Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data

3.

Something in the Air: Information Density, News Surprises, and Price Jumps

University of St. Gallen, School of Finance Research Paper No. 2015/17
Number of pages: 87 Posted: 04 Sep 2015 Last Revised: 27 Sep 2016
University of St. Gallen - School of Finance, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and University of Duisburg-Essen
Downloads 150 (193,093)

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Information density, jump identification, macroeconomic announcements, noisy information, price discovery process

4.

Modelling Smooth Transition (Auto)Regression in Rental Prices of U.K. Real Estate Sectors

Number of pages: 45 Posted: 22 Feb 2009
Roland Füss and Michael Stein
University of St. Gallen - School of Finance and University of Duisburg-Essen
Downloads 111 (243,579)

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Smooth transition (auto) regression (STAR) models, non-linear estimation technique, (time-varying) rental adjustment process, rental cycle, UK real estate market

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

Number of pages: 37 Posted: 06 Jul 2014
Tobias Rühl and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 73 (321,245)

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Macroeconomic Announcement Effects, European Stock Market, Market Microstructure, Intraday Analysis, Bid-Ask Spreads

Discovering and Disentangling the Effects of US Macro-Announcements for European Stocks

Number of pages: 32 Posted: 07 Feb 2015 Last Revised: 16 Nov 2015
Tobias Rühl and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 33 (458,509)

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Macroeconomic announcement effects; European stock market; market microstructure; intraday analysis; bid-ask spreads

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Number of pages: 34 Posted: 20 Nov 2013
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Stony Brook University
Downloads 47 (400,713)
Citation 1

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Real Estate Return Distributions, Stable Distributions, Tail Dependence

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Ruhr Economic Paper No. 465
Number of pages: 38 Posted: 11 Apr 2014
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Stony Brook University
Downloads 11 (591,694)

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Real Estate return distributions; stable distributions, tail dependence

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Journal of Real Estate Research, Vol. 37, No. 2, 2015, 245 - 279
Posted: 28 Nov 2015
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Stony Brook University

Abstract:

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Real Estate Return Distributions, Stable Distributions, Tail Dependence

7.

Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets

ECB Working Paper No. 1746
Number of pages: 39 Posted: 15 Dec 2014
Roberto A. De Santis and Michael Stein
European Central Bank (ECB) - Directorate General Economics and University of Duisburg-Essen
Downloads 54 (370,570)
Citation 1

Abstract:

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correlation breakdowns, monetary policy, regime changes, government bonds, multivariate GARCH

8.

Correlation Changes between the Risk-Free Rate and Sovereign Yields of Euro Area Countries

ECB Working Paper No. 1979
Number of pages: 45 Posted: 03 Feb 2017
Roberto A. De Santis and Michael Stein
European Central Bank (ECB) - Directorate General Economics and University of Duisburg-Essen
Downloads 52 (376,850)

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monetary policy, government bonds, smooth transition models, euro area

German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability

Ruhr Economic Paper No. 454
Number of pages: 35 Posted: 24 Jan 2014
Michael Stein
University of Duisburg-Essen
Downloads 33 (458,509)

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German real estate funds; return distributions; portfolio building; secondary market

German Real Estate Funds: Changes in Return Distributions and Portfolio Favourability

Number of pages: 31 Posted: 21 Nov 2013
Michael Stein
University of Duisburg-Essen
Downloads 15 (564,955)

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German Real Estate Funds, Liquidity, Return Distributions, Secondary Market, Net Asset Value, Asset Allocation

10.

Discovering and Disentangling Effects of US Macro-Announcements for European Stocks

28th Australasian Finance and Banking Conference
Number of pages: 32 Posted: 21 Aug 2015
Tobias Rühl and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 40 (419,056)

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Macroeconomic Announcement Effects, European Stock Market, Market Microstructure, Intraday Analysis, Bid-Ask Spreads

11.

The Role of Heterogeneous Agents: Speculators in Oil Markets

EWL Working Paper No. 05/2015
Number of pages: 29 Posted: 19 Aug 2015 Last Revised: 19 Aug 2016
Andreas Fritz, Michael Stein and Christoph Weber
Lehrstuhl für Energiewirtschaft, University of Duisburg-Essen and University of Duisburg-Essen
Downloads 27 (476,237)

Abstract:

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Energy

12.

The Cost of New Information – ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips

Number of pages: 49 Posted: 31 Jul 2014
Tobias Rühl and Michael Stein
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 24 (492,428)
Citation 1

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Market microstructure; transaction costs; bid-ask spreads; ECB; announcement effects

13.

Identifying Time Variability in Stock and Interest Rate Dependence

Bundesbank Discussion Paper No. 24/2012
Number of pages: 52 Posted: 21 Jun 2016
Michael Stein, Mevlud Islami and Jens Lindemann
University of Duisburg-Essen, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 18 (526,732)

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time-varying correlation, regime transition, multivariate GARCH, smooth transition, cross-asset correlation, non-linear estimation

14.

A Regime‐Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors

Real Estate Economics, Vol. 40, Issue 2, pp. 317-350, 2012
Posted: 23 May 2012
Roland Füss, Michael Stein and Joachim Zietz
University of St. Gallen - School of Finance, University of Duisburg-Essen and EBS University, EBS Business School
Downloads 1 (643,529)
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15.

Limits to Diversification: Tail Risks in Real Estate Portfolios

Posted: 30 May 2015 Last Revised: 22 May 2019
Michael Stein
University of Duisburg-Essen
Downloads 0 (661,710)

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Real Estate Return Distributions, Stable Distributions, Tail Dependence, Portfolio, Diversification

16.

Dilution of Sector Exposures: When Does Unintended Indexing Happen?

Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Michael Stein and Svetlozar Rachev
University of Duisburg-Essen and Texas Tech University

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Unintended indexing, portfolio deadweight, diversification, exchange-traded funds, sectors, fund portfolios

17.

A Regime Switching Approach to Modeling Rental Prices of UK Real Estate Sectors

Real Estate Economics, Vol. 40, No. 1, 317-350.
Posted: 21 Dec 2009 Last Revised: 12 Oct 2013
Roland Füss, Michael Stein and Joachim Zietz
University of St. Gallen - School of Finance, University of Duisburg-Essen and EBS University, EBS Business School

Abstract:

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Regime-switching, non-linear estimation, time-varying rental adjustment process, rental cycle, UK real estate market

18.

Fixed Income Portfolio Allocation Including Hedge Fund Strategies: A Copula Opinion Pooling Approach

Journal of Fixed Income, Vol. 18, No. 4, 78-91.
Posted: 21 Aug 2008 Last Revised: 29 May 2013
Michael Stein, Roland Füss and Wolfgang Drobetz
University of Duisburg-Essen, University of St. Gallen - School of Finance and Hamburg University

Abstract:

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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