Dennis Umlandt

University of Innsbruck - Department of Banking and Finance

Innsbruck

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

486

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia based on Cross-Sectional Model Performance

Journal of Econometrics, Forthcoming
Number of pages: 63 Posted: 16 Sep 2020 Last Revised: 21 Jul 2023
Dennis Umlandt
University of Innsbruck - Department of Banking and Finance
Downloads 217 (233,929)

Abstract:

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Dynamic Asset Pricing, Generalized Auto-Regressive Score Models, Time- Varying Risk Premia, Return Predictability

2.

Foreign Exchange Dealer Asset Pricing

Deutsche Bundesbank Discussion Paper No. 39/2019
Number of pages: 33 Posted: 11 Nov 2019 Last Revised: 18 Nov 2021
Stefan Reitz and Dennis Umlandt
University of Kiel and University of Innsbruck - Department of Banking and Finance
Downloads 130 (361,755)

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Carry Trades, FX Dealers, Currency Risk, Intermediary Asset Pricing

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

Number of pages: 37 Posted: 16 Feb 2022
University of Kiel - Institute for Quantitative Business and Economic Research (QBER), University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 80 (508,479)

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Dynamic Mixture Models, Generalized Autoregressive Score Models, Macro-Financial Linkages, Nonlinear VAR

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

CESifo Working Paper No. 10366
Number of pages: 40 Posted: 13 Apr 2023
University of Kiel - Institute for Quantitative Business and Economic Research (QBER), University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 18 (901,904)

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dynamic mixture models, generalized autoregressive score models, macro-finance linkages, nonlinear VAR

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

CESifo Working Paper No. 10219
Number of pages: 31 Posted: 26 Jan 2023
University of Trier - Faculty of Economics, University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 21 (872,535)

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monetary policy transmission, non-linear optimization, price puzzle, recursive identification, rotation, sign restrictions

(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions

Number of pages: 30 Posted: 10 Jan 2023
University of Trier - Faculty of Economics, University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 20 (882,190)

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Monetary Policy Transmission, Non-Linear Optimization, Price Puzzle, Recursive Identification, Rotation, Sign Restrictions