Dennis Umlandt

University of Innsbruck - Department of Banking and Finance

Innsbruck

Austria

  • University of Innsbruck - Department of Banking and Finance

SCHOLARLY PAPERS

4

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486

SSRN CITATIONS

0

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Scholarly Papers (4)

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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)

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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

3.

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

Downloads 98 (443,465)

Dynamic Mixture Vector Autoregressions with Score-Driven Weights

Number of pages: 37 Posted: 16 Feb 2022
Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt
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
Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt
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

4.

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

Downloads 41 (692,350)

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

CESifo Working Paper No. 10219
Number of pages: 31 Posted: 26 Jan 2023
Jan Pablo Burgard, Matthias Neuenkirch and Dennis Umlandt
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
Jan Pablo Burgard, Matthias Neuenkirch and Dennis Umlandt
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