Robert Ferstl

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Panel Vector Autoregression in R with the Package Panelvar

Quarterly Review of Economics and Finance, 2019
Number of pages: 49 Posted: 19 Jan 2018 Last Revised: 21 Feb 2019
Michael Sigmund and Robert Ferstl
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 2,618 (4,587)
Citation 7

Abstract:

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Panel vector autoregression model, generalized method of moments, first difference and system GMM

2.

Cash Management Using Multi-Stage Stochastic Programming

Quantitative Finance, 2010, 10(2), 209-219
Number of pages: 20 Posted: 06 Sep 2007 Last Revised: 01 Jul 2017
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 627 (41,413)

Abstract:

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Dynamic stochastic programming, Cash management, Market price of risk, Change of measure, Scenario generation

3.

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

BuR Business Research Journal, Vol. 5, No. 1, pp. 25-41, May 2012
Number of pages: 17 Posted: 22 May 2012 Last Revised: 24 May 2012
Robert Ferstl, Sebastian Utz and Maximilian Wimmer
Oesterreichische Nationalbank (OeNB), University of St. Gallen - School of Finance and University of Regensburg
Downloads 365 (81,039)

Abstract:

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Fama-French model, Fukushima-Daiichi, bootstrap, event study, nuclear accidents

4.

Asset-Liability Management Under Time-Varying Investment Opportunities

Journal of Banking and Finance, 2011, 35(1), 182-192
Number of pages: 33 Posted: 08 May 2009 Last Revised: 01 Jul 2017
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 346 (86,186)

Abstract:

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asset-liability management, predictability, stochastic programming, scenario generation, VAR process

5.

Back Testing Short-term Treasury Management Strategies Based on Multi-Stage Stochastic Programming

Journal of Asset Management, 2010, 11, 94-112
Number of pages: 22 Posted: 04 Jan 2009 Last Revised: 29 Dec 2018
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 199 (152,603)

Abstract:

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Dynamic stochastic optimisation, Treasury management, Market price of risk, Change of measure, Scenario generation

6.

The Investment Effects of Price Caps under Imperfect Competition: A Note

University of St. Gallen, Department of Economics, Discussion Paper No. 2008-17
Number of pages: 11 Posted: 05 Sep 2008
Stefan Buehler, Anton Burger and Robert Ferstl
University of St. Gallen - SEPS: Economics and Political Sciences, Vienna University of Economics and Business and Oesterreichische Nationalbank (OeNB)
Downloads 96 (272,437)

Abstract:

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capacity, investment, Cournot competition, price cap

7.

Zero Coupon Yield Curve Estimation with the Package Termstrc

Journal of Statistical Software, Forthcoming
Posted: 26 Nov 2008 Last Revised: 08 Aug 2010
Robert Ferstl and Josef Hayden
Oesterreichische Nationalbank (OeNB) and affiliation not provided to SSRN

Abstract:

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fixed income, term structure estimation, global optimization, R