Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
European Central Bank (ECB)
Cross section of expected returns, factor models, downside risk, granular betas, risk premium functions G11, G12, C58
Cross-sectional return variation; downside risk; semicovariances; semibetas
Common risks, realized covariances, forecasting, asset allocation, portfolio construction
High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting
Factor Models, Risk Management, Term Structure
conditional moment inequality, forecast evaluation, inflation, intersection bounds, machine learning, volatility
Bootstrap, Grouped Ranking, Risk Measures, Uncertainty
High-Frequency Data, Realized Volatility, Realized Correlation, Semivariance, Asymmetric Dependence
Cholesky decomposition, Integrated covariance, Positive semidefinite
Forecasting, Long-Horizon, Superior Predictive Ability, Multiple Testing
euro area, external finance premium, financial accelerator, loan pricing