Dennis Umlandt

University of Trier

15, Universitaetsring

Trier, 54286

Germany

http://risk.uni-trier.de

SCHOLARLY PAPERS

2

DOWNLOADS

189

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

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

Number of pages: 49 Posted: 16 Sep 2020 Last Revised: 07 Jan 2021
Dennis Umlandt
University of Trier
Downloads 116 (297,310)

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: 20 Dec 2019
Stefan Reitz and Dennis Umlandt
University of Kiel and University of Trier
Downloads 73 (398,235)

Abstract:

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