Dennis Umlandt

University of Innsbruck - Department of Banking and Finance

Innsbruck

Austria

SCHOLARLY PAPERS

7

DOWNLOADS

1,257

TOTAL CITATIONS

0

Scholarly Papers (7)

1.

Common Factors in Currency Characteristics

Number of pages: 40 Posted: 24 Feb 2025 Last Revised: 25 Feb 2025
Moritz Dauber and Dennis Umlandt
University of Innsbruck - Department of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 322 (200,837)

Abstract:

Loading...

Foreign Exchange, Carry Trade, Currency Pricing, Tensor Factor Models, Tucker Decomposition F31

2.

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 251 (260,351)

Abstract:

Loading...

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

3.

Time-Varying Factor Risk Premia: A GMM-Based Filtering Approach

Number of pages: 40 Posted: 25 Mar 2024 Last Revised: 17 Mar 2025
Dennis Umlandt
University of Innsbruck - Department of Banking and Finance
Downloads 198 (326,864)

Abstract:

Loading...

Dynamic Asset Pricing, Generalized Method of Moments, Time-Varying Risk Premia, Factor Models

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

Number of pages: 51 Posted: 16 Feb 2022 Last Revised: 27 Nov 2024
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 135 (455,403)

Abstract:

Loading...

Dynamic Mixture Models; Generalized Autoregressive Score Models; Macro-Financial Linkages; Nonlinear Vector Autoregressions; Stock and Bond Return Dynamics

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 54 (822,569)

Abstract:

Loading...

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

5.

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 156 (404,001)

Abstract:

Loading...

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

(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 60 (779,527)

Abstract:

Loading...

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

(Almost) Recursive Shock Identification with Economic Parameter Restrictions

Number of pages: 31 Posted: 10 Jan 2023 Last Revised: 15 May 2024
University of Trier - Faculty of Economics, University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 51 (853,991)

Abstract:

Loading...

Non-Linear Optimization, Recursive Identification, Rotation, Sign Restrictions

(Almost) Recursive Shock Identification with Economic Parameter Restrictions

Number of pages: 29 Posted: 05 Jan 2024
University of Trier - Faculty of Economics, University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 19 (1,193,527)

Abstract:

Loading...

Non-Linear Optimization, Recursive Identification, Rotation, Sign Restrictions

(Almost) Recursive Shock Identification with Economic Parameter Restrictions

Number of pages: 30 Posted: 18 Oct 2024
University of Trier - Faculty of Economics, University of Trier - Faculty of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 11 (1,299,004)

Abstract:

Loading...

Non-Linear Optimization, Recursive Identification, Rotation, Sign Restrictions