Dennis Umlandt

University of Innsbruck - Department of Banking and Finance

Innsbruck

Austria

SCHOLARLY PAPERS

7

DOWNLOADS

896

TOTAL CITATIONS

0

Scholarly Papers (7)

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 249 (254,930)

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

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 127 (461,853)

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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 53 (791,078)

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

3.

Moment Conditions and Time-Varying Risk Premia

Number of pages: 40 Posted: 25 Mar 2024 Last Revised: 31 Dec 2024
Dennis Umlandt
University of Innsbruck - Department of Banking and Finance
Downloads 170 (362,381)

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

4.

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 154 (394,493)

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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 57 (763,904)

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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 48 (827,624)

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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 18 (1,135,500)

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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 10 (1,246,125)

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

7.

Common Factors in Currency Characteristics

Number of pages: 40
Moritz Dauber and Dennis Umlandt
University of Innsbruck - Department of Economics and University of Innsbruck - Department of Banking and Finance
Downloads 10

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