Innstrasse 27
Passau, 94030
Germany
Passau University
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portfolio selection, multiattribute utility, regret, benchmark portfolio, index tracking
CDS pricing, Hull-White model
private equity, venture capital, buyout, fund life cycle, equilibrium fund values, illiquidity and expected returns, time-varying systematic risk
financial crisis, government intervention, bailout, risk management, credit risk, credit derivatives, securitization
trading volume, return-volume dependence, mixture of distribution hypothesis, extreme returns, bivariate extremal dependence, market crashes
Executive pay, free float, corporate control
implied volatility, volatility indices, volatility spillover, market stress, public news releases
Asset Pricing, Performance Measurement, Abnormal Return, Systematic Risk
market volatility, asymmetric volatility, leverage effect, volatility feedback, market stress, financial stability, systemic risk, extreme volatility, aggregate asset prices;
market volatility, asymmetric volatility, leverage effect, volatility feedback, VIX, market stress, systemic market risk
asset pricing anomalies, risk factors, mutual fund performance, idiosyncratic risk, liquidity
affine term structure models, nonlinear dependence, copula functions, tail dependence, value-at-risk
CDS pricing, spreads, structural models, tree models
Credit spreads, bond ratings, spread prediction
Announcement Returns, BRICS Countries, Emerging Markets, Event Study, Mergers and Acquisitions
Private equity, venture capital, buyout funds, fund manager compensation, risk-taking incentives
credit risk, factor model, time-varying risk, extreme dependence
multiple-period value-at-risk, volatility scaling, long memory, GARCH, Hurst exponent, square-root-of-time rule
credit risk, sovereign yield spreads, monetary policy, European sovereign debt crisis, unobservable factors, time-varying heterogeneity, liquidity, systematic risk premium
abnormal returns, idiosyncratic risk, aftermarket stock returns
aggregate credit risk, credit default swaps, credit and stock markets, extreme spread changes, financial crisis, systemic risk, iTraxx
ARCH, trading volume, return volume dependence, asymmetric
Fat-tails, tail index of stationary marginal distributions, Hill estimator, minimal AMSE
credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK
Stress testing, aggregate bank risk, bank balance sheets, financial stability, systemic risk, economic capital
fat tails, tail index, stationary marginal distribution, GARCH, Hill estimator, foreign exchange
Coal; Commodities; Energy Risk; Financial Market Integration; Gas, International Asset Pricing; Market Risk; Oil; Regime Switching Model
Asymmetric Volatility, International Stock Markets, Oil Market Liquidity, Oil Market Volatility, OVX
market risk, tail risk, downside risk, value-at-risk, intraday returns, overnight risk, stock markets, extreme returns, tail index
European-style option pricing, volatility smile, risk model
asset pricing; cross-market dependence; Granger causality; financial cycles; time-varying risk premium; commodity markets; gold; oil; market volatility
Commodities, Financial Market Integration, International Asset Pricing, Systematic Risk, Market Risk
Tail index, Pareto-model, autoregressive conditional tail, extreme financial risk, spread risk
Coal, Commodities, Financial Market Integration, Gas International Asset Pricing, Oil, Systematic Risk, Market Risk
individual investors, market participation, noise trading, overconfidence, personality traits, Big Five model, Agreeableness, Extraversion, Openness
Structural credit risk model, jump-diffusion, first-passage time, sovereign default risk, credit contagion
collectibles; alternative investments; Big Five model; personality traits; Agreeableness; Openness
sovereign bonds, sovereign spreads, sovereign credit cycle, structural models of credit risk, Eurobonds, regime switching, sovereign debt crises
market liquidity, market illiquidity, time-varying expected market returns, illiquidity measures, exchange traded funds
share repurchases, uncertainty, monetary policy uncertainty, funding liquidity
EMU Sovereign Debt, Forecast Evaluation, Market Liquidity, Mean Difference Test, Out-of-Sample Prediction, Predictability of Yield Spread Changes
Commodities, COP21, Financial Market Integration, International Asset Pricing, Market Risk, WTI Oil, Risk of Climate Change, Systematic Risk
Conditional value-at-risk, Tail estimation, Frechet distribution, Time-varying Pareto-tail, Quantile prediction
Gross Domestic Product (GDP); Economic Growth; Energy Prices; Coal Prices; Consumer Prices; Foreign Direct Investment (FDI); Exchange Rates; Cointegration; Multivariate Granger Causality; Nonlinear Granger Causality
Certainty equivalent return, Equity premium prediction, Historical average, Liquidity, Out-of-sample forecasts, Uncertainty
Banks, Financial institutions, GSIB, Implied volatility, Pandemics, Value-at-risk, War
COVID-19, Swine Flu (H1N1), Zika virus, GFC, DCC-GARCH, Europe, Global systemically important banks, Implied volatility
Beta-hedge, Brent oil, Commodities, Economic policy uncertainty (EPU), Hedge ratio, International asset pricing, Market risk, Systemic risk, WTI oil, VIX
Announcement Returns, Economic Policy Uncertainty, Financial Uncertainty, Liquidity Risk, Share Repurchases, Uncertainty
Covariance Risk, Dynamic Hedging, Equity Premium, Fear-of-Missing-Out (FOMO), Flight-to-Quality (FTQ)
Portfolio Optimization, Index Tracking, Efficient Baskets, Stepwise Regression
Approximate equity index replication, linear regression, robust estimation, non-linear estimation, tracking error
