Publications

by members of

Zentrum für Finanzen und Ökonometrie
Fachbereich Wirtschaftswissenschaften
Universität Konstanz
Konstanz, Germany

(Center for Finance and Econometrics, Department of Economics, )

Working papers

2008

1. Bertram Düring & Giuseppe Toscani, 2008. "International and Domestic Trading and Wealth Distribution," CoFE Discussion Paper 08-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Bertram Düring & Daniel Matthes & Giuseppe Toscani, 2008. "Kinetic Equations modelling Wealth Redistribution: A comparison of Approaches," CoFE Discussion Paper 08-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Bertram Düring & Daniel Matthes & Giuseppe Toscani, 2008. "A Boltzmann-type Approach to the Formation of Wealth Distribution Curves," CoFE Discussion Paper 08-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Bertram Düring, 2008. "Asset Pricing Under Information with Stochastic Volatility," CoFE Discussion Paper 08-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2007

1. Günter Franke & Markus Herrmann & Thomas Weber, 2007. "Information asymmetries and securitization design," CoFE Discussion Paper 07-10, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Günter Franke & James Huang & Richard Stapleton, 2007. "Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options," CoFE Discussion Paper 07-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Günter Franke & Julia Hein, 2007. "Securitisation of Mezzanine Capital in Germany," CoFE Discussion Paper 07-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Günter Franke & Harris Schlesinger & Richard Stapleton, 2007. "Non-Market Wealth, Background Risk and Portfolio Choice," CoFE Discussion Paper 07-11, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2007. "An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask Quote Dynamics," CoFE Discussion Paper 07-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
6. B. Düring & G. Toscani, 2007. "Hydrodynamics from kinetic models of conservative economies," CoFE Discussion Paper 07-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2006

1. Günter Franke & Erik Lüders, 2006. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤," CoFE Discussion Paper 06-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Günter Franke, 2006. "Anforderungen in Zeiten eines beschleunigten „industriellen“ Strukturwandels: Integrierte Finanzwertschöpfung," CoFE Discussion Paper 06-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Günter Franke & Thomas Weber, 2006. "Wieweit tragen rationale Modelle in der Finanzmarktforschung?," CoFE Discussion Paper 06-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Günter Franke & Thomas Weber, 2006. "Wie werden Collateralized Debt Obligation-Transaktionen gestaltet?," CoFE Discussion Paper 06-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics," CoFE Discussion Paper 06-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
6. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
7. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating liquidity using information on the multivariate trading process," Working Papers 10, Department of Applied Econometrics, Warsaw School of Economics. [Downloadable!]
8. Bertram Düring & Ansgar Jüngel & S. Volkwein, 2006. "A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing," CoFE Discussion Paper 06-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2005

1. Guenter Franke & Jan Pieter Krahnen, 2005. "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers 11741, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Günter Franke & Christian Hopp, 2005. "M&A Transaktionen: Fluch und Segen der Realoptionstheorie," CoFE Discussion Paper 05-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Günter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 2005. "Incremental Risk Vulnerability," CoFE Discussion Paper 05-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Günter Franke, 2005. "What Can We Expect From the New Trade of C02-Allowances?," CoFE Discussion Paper 05-11, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Guenter Franke & Christian Hopp, 2005. "M&A-Transaktionen - Fluch oder Segen der Realoptionstheorie? ," TWI Research Paper Series 10, Thurgauer Wirtschaftsinstitut, Universität Konstanz. [Downloadable!]
6. Guenter Franke, 2005. "Transformation nicht-gehandelter in handelbare Kreditrisiken ," TWI Research Paper Series 7, Thurgauer Wirtschaftsinstitut, Universität Konstanz. [Downloadable!]
7. Günter Franke & Jan Pieter Krahnen, 2005. "Default risk sharing between banks and markets: the contribution of collateralized debt obligations," CoFE Discussion Paper 05-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2004

1. Günter Franke, 2004. "Transformation nicht-gehandelter in handelbare Kreditrisiken," CoFE Discussion Paper 04-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Günter Franke, 2004. "Präferenzfreie Strategien zum Absichern von Wechselkursrisiken," CoFE Discussion Paper 04-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Pohlmeier, Winfried & Pfeiffer, Friedhelm & Maier, Michael, 2004. "Returns to Education and Individual Heterogeneity," ZEW Discussion Papers 04-34, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
4. Markus Jochmann & Winfried Pohlmeier, 2004. "The Causal Effect of Schooling : empirical Evidence from Germany," Working Papers of the Research Group Heterogenous Labor 04-05, Research Group Heterogeneous Labor, University of Konstanz/ZEW Mannheim. [Downloadable!]
5. Markus Jochmann & Winfried Pohlmeier, 2004. "The Causal Effect of Overqualification on Earnings : Evidence from a Bayesian Approach," Working Papers of the Research Group Heterogenous Labor 04-06, Research Group Heterogeneous Labor, University of Konstanz/ZEW Mannheim. [Downloadable!]
6. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2004. "Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation," CoFE Discussion Paper 04-02, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
7. Bertram Düring & Ansgar Jüngel, 2004. "A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient modeling Incomplete Financial Markets," CoFE Discussion Paper 04-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2003

1. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2003. "Multiplicative Background Risk," CoFE Discussion Paper 03-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Günter Franke, 2003. "Kapitalmarktverfassung, Managerentlohnung und Bilanzpolitik," CoFE Discussion Paper 03-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Franke, Günter & Weber, Martin, 2003. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers 3832, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
4. Winfried Pohlmeier & Sandra Lechner, 2003. "Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten," CoFE Discussion Paper 03-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
5. Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper 03-03, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
6. Michael Maier & Friedhelm Pfeiffer & Winfried Pohlmeier, 2003. "Overeducation and Individual Heterogeneity," Working Papers of the Research Group Heterogenous Labor 03-01, Research Group Heterogeneous Labor, University of Konstanz/ZEW Mannheim. [Downloadable!]

2001

1. Günter Franke & Martin Weber, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Paper 01-08, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
3. Bertram Düring & Michel Fournié & Ansgar Jüngel, 2001. "High order compact finite difference schemes for a nonlinear Black-Scholes equation," CoFE Discussion Paper 01-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

2000

1. Günter Franke, 2000. "Gefahren kurzsichtigen Risikomanagements durch Value At Risk," CoFE Discussion Paper 00-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Ulrich Kaiser & Winfried Pohlmeier, 2000. "Efficient Bargaining and the Skill-Structure of Wages and Employment," CoFE Discussion Paper 00-24, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

1999

1. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
2. Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-. [Downloadable!]
3. Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," CoFE Discussion Paper 99-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
4. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, EconWPA. [Downloadable!]

1998

1. Frank Gerhard & Winfried Pohlmeier, 1998. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Paper 98-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

1997

1. Wolfgang Franz & Joachim Inkmann & Winfried Pohlmeier & Volker Zimmermann, 1997. "Young and Out in Germany: On the Youths' Chances of Labor Market Entrance in Germany," NBER Working Papers 6212, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

Undated

1. Laisney, Francois & Lechner, Michael & Pohlmeier, Winfried, . "Process Innovation and Unobserved Heterogeneity: New Evidence for West Germany 1984-1988," IVS discussion paper series 453, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim.
2. Pohlmeier, Winfried & Ulrich, Volker, . "Gesundheitszustandsmessung bei partieller Information - Measurement of Health on the Basis of Partial Information," IVS discussion paper series 418, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim.
3. Entorf, Horst & König, Heinz & Pohlmeier, Winfried, . "Labour Utilisation and Non-Wage Labour Costs in a Disequilibrium Macro Framework," IVS discussion paper series 417, Institut für Volkswirtschaft und Statistik (IVS), University of Mannheim.

Journal articles

2009

1. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July. [Downloadable!] (restricted)

2008

1. Günter Franke & Julia Hein, 2008. "Securitization of mezzanine capital in Germany," Financial Markets and Portfolio Management, Springer, vol. 22(3), pages 219-240, September. [Downloadable!] (restricted)

2007

1. Nolte, Ingmar & Pohlmeier, Winfried, 2007. "Using forecasts of forecasters to forecast," International Journal of Forecasting, Elsevier, vol. 23(1), pages 15-28. [Downloadable!] (restricted)

2006

1. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
2. Roman Liesenfeld & Ingmar Nolte & Winfried Pohlmeier, 2006. "Modelling financial transaction price movements: a dynamic integer count data model," Empirical Economics, Springer, vol. 30(4), pages 795-825, January. [Downloadable!] (restricted)
3. Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, vol. 30(4), pages 791-794, January. [Downloadable!] (restricted)
4. Anton L. Flossmann & Winfried Pohlmeier, 2006. "Casual Returns to Education: A Survey on Empirical Evidence for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 226(1), pages 6-23, January. [Downloadable!] (restricted)

2005

1. Sandra Lechner & Winfried Pohlmeier, 2005. "Data Masking by Noise Addition and the Estimation of Nonparametric Regression Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(5), pages 517-528, September. [Downloadable!] (restricted)
2. Bertram Düring & Erik Lüders, 2005. "Option Prices Under Generalized Pricing Kernels," Review of Derivatives Research, Springer, vol. 8(2), pages 97-123, August. [Downloadable!] (restricted)

2004

1. Guenter Franke & Richard Stapleton & Marti Subrahmanyam, 2004. "Background risk and the demand for state-contingent claims," Economic Theory, Springer, vol. 23(2), pages 321-335, January. [Downloadable!] (restricted)

2000

1. Franke, Gunter & Hess, Dieter, 2000. "Information diffusion in electronic and floor trading," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 455-478, December. [Downloadable!] (restricted)
2. Günter Franke, 2000. "Geschäfts- und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?," Perspektiven der Wirtschaftspolitik, Blackwell Publishing, vol. 1(3), pages 301-318, 08. [Downloadable!] (restricted)

1998

1. Günter Franke, 1998. "Transformation of Banks and Bank Services," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 154(1), pages 109-, March.
2. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September. [Downloadable!] (restricted)

1995

1. Günter Franke, 1995. "Comment on "A Limit-Risk Capital Adequacy Rule: An Alternative Approach to Capital Adequacy Regulation for Banks with an Empirical Application to Switzerland"," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 131(IV), pages 807-810, December. [Downloadable!]

1994

1. Winfried Pohlmeier, 1994. "Panelökonometrische Modelle für Zähldaten: Einige neuere Schätzverfahren," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 553-574, September. [Downloadable!]

1992

1. Pohlmeier, Winfried, 1992. "On the Simultaneity of Innovations and Market Structure," Empirical Economics, Springer, vol. 17(2), pages 253-72.
2. Laisney, Francois & Lechner, Michael & Pohlmeier, Winfried, 1992. "Innovation activity and firm heterogeneity: Empirical evidence from West Germany," Structural Change and Economic Dynamics, Elsevier, vol. 3(2), pages 301-320, December. [Downloadable!] (restricted)
3. Entorf, Horst & Konig, Heinz & Pohlmeier, Winfried, 1992. " Labor Utilization and Nonwage Labor Costs in a Disequilibrium Macro Framework," Scandinavian Journal of Economics, Blackwell Publishing, vol. 94(1), pages 71-83.

1991

1. Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June. [Downloadable!] (restricted)

1988

1. Konig, Heinz & Pohlmeier, Winfried, 1988. "Employment, Labour Utilization and Procyclical Labour Productivity," Kyklos, Blackwell Publishing, vol. 41(4), pages 551-72.

Chapters

2000

1. Wolfgang Franz & Joachim Inkmann & Winfried Pohlmeier & Volker Zimmermann, 2000. "Young and Out in Germany (On Youths? Chances of Labor Market Entrance in Germany)," NBER Chapters, in: Youth Employment and Joblessness in Advanced Countries, pages 381-426 National Bureau of Economic Research, Inc. [Downloadable!]

This page was last updated on 2009-12-2.