Matthias Muck

University of Bamberg

Chair of Banking and Financial Control

Kärntenstr. 7

Bamberg, 96052

Germany

  • University of Bamberg

    • Email
    • Tel: +49-(0)951-860-2091
SCHOLARLY PAPERS

9

DOWNLOADS

559

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (9)

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1.

The Confusion of Taste and Consumption: Evidence from a Stated-Choice Experiment

Number of pages: 50 Posted: 07 Jun 2022 Last Revised: 09 Nov 2022
Philipp Kleffel and Matthias Muck
University of Bamberg and University of Bamberg
Downloads 228 (214,009)

Abstract:

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Sustainable investing, Stated choice experiments, Materiality, Salience, Sustainability reporting, Investor behavior

2.

Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

Number of pages: 34 Posted: 17 Jul 2009
Jan Marckhoff and Matthias Muck
University of Bamberg and University of Bamberg
Downloads 116 (377,070)
Citation 2

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Electricity, Physical Transmission Right, Risk Premium, MCMC

3.

Estimation of Rare Disaster Concerns From Option Prices – An Arbitrage-Free RND-Based Smile Construction Approach

Number of pages: 31 Posted: 16 May 2022
Pascal Albert, Michael Herold and Matthias Muck
University of Bamberg, University of Bamberg and University of Bamberg
Downloads 113 (384,194)

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option-implied risk measures, rare disaster concerns, volatility smile construction, numerical errors, microstructure noise

4.

Should Investors Consider the Sentiment of Online Discussions? An Analysis of the Link between Fundamental Information, Social Media Sentiment and the Stock Market

Number of pages: 39 Posted: 08 Jul 2021
Brigitte Eierle, Sebastian Klamer and Matthias Muck
University of Bamberg, University of Bamberg and University of Bamberg
Downloads 102 (413,043)

Abstract:

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Return Predictability, Fundamental Information, Wisdom of Crowds, Investor Sentiment, Social Media

5.

Do Opinion Polls Move Stock Prices? Evidence from the US Presidential Election in 2016

Quarterly Review of Economics and Finance, Volume 80, May 2021, Pages 665-690
Posted: 29 Jun 2020 Last Revised: 29 Apr 2022
Michael Herold, Andreas Kanz and Matthias Muck
University of Bamberg, affiliation not provided to SSRN and University of Bamberg

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Presidential election uncertainty, Pre-election information, Opinion polls, Industry returns, GARCH-M, Market efficiency

6.

Correlation Risk and International Portfolio Choice

Posted: 08 Apr 2016 Last Revised: 16 Jun 2018
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Münster - Finance Center Muenster, University of Bamberg and Talanx AG - HDI Global SE

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International asset allocation, stochastic correlation, Wishart process, intertemporal hedging demand, diversification benefits

7.

The Benefit of Life Insurance Contracts with Capped Index Participation When Stock Prices are Subject to Jump Risk

Posted: 30 Sep 2015 Last Revised: 06 Mar 2017
Antje Brigitte Mahayni and Matthias Muck
Mercator School of Management and University of Bamberg

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Derivatives, Life Insurance, Capped Index Participation, Monthly Summed Cap, Select Products

8.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
Nicole Branger, Matthias Muck, Frank Thomas Seifried and Stefan Weisheit
University of Münster - Finance Center Muenster, University of Bamberg, University of Trier and Talanx AG - HDI Global SE

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps

9.

International Stochastic Discount Factors and Covariance Risk

Journal of Banking and Finance, Volume 123, February 2021, 106018
Posted: 23 Sep 2014 Last Revised: 29 Apr 2022
Nicole Branger, Michael Herold and Matthias Muck
University of Münster - Finance Center Muenster, University of Bamberg and University of Bamberg

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Stochastic discount factors, International model, Stochastic covariance, Stochastic risk premium, Wishart process, Currency options, Foreign exchange, Unscented Kalman filter