Lars Winkelmann

Free University of Berlin (FUB)

Van't-Hoff-Str. 8

Berlin, Berlin 14195

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

84

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates

ECB Working Paper No. 1674
Number of pages: 35 Posted: 04 Jul 2014
Lars Winkelmann, Markus Bibinger and Tobias Linzert
Free University of Berlin (FUB), University of Mannheim and European Central Bank (ECB)
Downloads 42 (502,883)
Citation 1

Abstract:

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central bank communication, yield curve, spectral cojump estimator, non-synchronous and noisy high frequency tick-data

2.

Estimation of the Discontinuous Leverage Effect: Evidence from the NASDAQ Order Book

FRB St. Louis Working Paper No. 2017-12
Number of pages: 42 Posted: 28 Apr 2017 Last Revised: 05 Jan 2019
Markus Bibinger, Christopher J. Neely and Lars Winkelmann
University of Mannheim, Federal Reserve Bank of St. Louis - Research Division and Free University of Berlin (FUB)
Downloads 26 (587,901)
Citation 1

Abstract:

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High-frequency data, market microstructure, news impact, market-wide jumps, price jump, volatility jump.

3.

Cojump Anchoring

Number of pages: 32 Posted: 08 Jan 2021
Lars Winkelmann and Wenying Yao
Free University of Berlin (FUB) and Deakin University - Department of Economics
Downloads 16 (656,344)

Abstract:

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High-frequency statistics, pre-averaging, jump test, break-even inflation, anchoring of inflation expectations