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Publications

by members of

Universität Liechtenstein → Institut für Finanzdienstleistungen

University of Liechtenstein → Institute for Financial Services

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books |

Working papers

2025

  1. Antonello Cirulli & Gianluca De Nard & Joshua Traut & Patrick Walker, 2025, "Low risk, high variability: practical guide for portfolio construction," ECON - Working Papers, Department of Economics - University of Zurich, number 463, Jan, revised Nov 2025.
  2. Gianluca De Nard & Damjan Kostovic, 2025, "Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios," ECON - Working Papers, Department of Economics - University of Zurich, number 470, May, revised Nov 2025.

2023

  1. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023, "Factor mimicking portfolios for climate risk," ECON - Working Papers, Department of Economics - University of Zurich, number 429, Mar, revised Mar 2024.
  2. Elliot Beck & Gianluca De Nard & Michael Wolf, 2023, "Improved inference in financial factor models," ECON - Working Papers, Department of Economics - University of Zurich, number 430, Mar.

2020

  1. Gianluca De Nard & Robert F. Engle & Olivier Ledoit & Michael Wolf, 2020, "Large dynamic covariance matrices: enhancements based on intraday data," ECON - Working Papers, Department of Economics - University of Zurich, number 356, Jul, revised Jan 2022.

2018

  1. Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018, "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers, Department of Economics - University of Zurich, number 290, Jun, revised Dec 2018.

2008

  1. Kirn, Tanja & Khokrishvili, Elguja, 2008, "Will an asymmetrical system of fiscal decentralisation resolve the conflicts in the republic of Georgia?," Finanzwissenschaftliche Diskussionsbeiträge : Special series. G, Arbeitspapiere des Deutsch-Georgischen Arbeitskreises für Finanz- und Sozialpolitik, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät, number G-9, Jan.

Journal articles

2024

  1. Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2024, "Factor-Mimicking Portfolios for Climate Risk," Financial Analysts Journal, Taylor & Francis Journals, volume 80, issue 3, pages 37-58, July, DOI: 10.1080/0015198X.2024.2332164.

2023

  1. De Nard, Gianluca & Zhao, Zhao, 2023, "Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices," Journal of Empirical Finance, Elsevier, volume 72, issue C, pages 23-35, DOI: 10.1016/j.jempfin.2023.02.003.
  2. Beck, Elliot & De Nard, Gianluca & Wolf, Michael, 2023, "Improved inference in financial factor models," International Review of Economics & Finance, Elsevier, volume 86, issue C, pages 364-379, DOI: 10.1016/j.iref.2023.03.009.
  3. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023, "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 159, issue 1, pages 1-18, December, DOI: 10.1186/s41937-023-00107-w.

2022

  1. De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022, "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, volume 138, issue C, DOI: 10.1016/j.jbankfin.2022.106426.
  2. De Nard, Gianluca & Zhao, Zhao, 2022, "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 654-676, DOI: 10.1016/j.iref.2022.02.049.
  3. Gianluca De Nard, 2022, "Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
    [Eigenvalue Ratio Test for the Number of Factors]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 569-611.
  4. Gianluca De Nard & Simon Hediger & Markus Leippold, 2022, "Subsampled factor models for asset pricing: The rise of Vasa," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 6, pages 1217-1247, September, DOI: 10.1002/for.2859.
  5. Hanke, Michael & Stöckl, Sebastian & Weissensteiner, Alex, 2022, "Recovering election winner probabilities from stock prices," Finance Research Letters, Elsevier, volume 45, issue C, DOI: 10.1016/j.frl.2021.102122.

2021

  1. Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2021, "Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
    [Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 2, pages 236-257.
  2. Stöckl, Sebastian & Rode, Martin, 2021, "The price of populism: Financial market outcomes of populist electoral success," Journal of Economic Behavior & Organization, Elsevier, volume 189, issue C, pages 51-83, DOI: 10.1016/j.jebo.2021.06.037.
  3. Sebastian Stöckl & Lars Kaiser, 2021, "Higher moments matter! Cross‐sectional (higher) moments and the predictability of stock returns," Review of Financial Economics, John Wiley & Sons, volume 39, issue 4, pages 455-481, October, DOI: 10.1002/rfe.1121.

2020

  1. Kaiser, Lars & Stöckl, Sebastian, 2020, "Cryptocurrencies: Herding and the transfer currency," Finance Research Letters, Elsevier, volume 33, issue C, DOI: 10.1016/j.frl.2019.06.012.
  2. Hanke, Michael & Stöckl, Sebastian & Weissensteiner, Alex, 2020, "Political event portfolios," Journal of Banking & Finance, Elsevier, volume 118, issue C, DOI: 10.1016/j.jbankfin.2020.105883.
  3. Gächter, Martin & Geiger, Martin & Stöckl, Sebastian, 2020, "Credit intermediation and the transmission of macro-financial uncertainty: International evidence," Journal of International Money and Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jimonfin.2020.102152.

2019

  1. M. Angerer & M. Dünser & L. Kaiser & G. Peter & S. Stöckl & A. Veress, 2019, "What drives our Beer Consumption?---In Search of Nutrition Habits and Demographic Patterns," Applied Economics, Taylor & Francis Journals, volume 51, issue 41, pages 4539-4550, September, DOI: 10.1080/00036846.2019.1593938.

2018

  1. Martin Angerer & Georg Peter & Sebastian Stoeckl & Thomas Wachter & Matthias Bank & Marco Menichetti, 2018, "Bid-Ask Spread Patterns and the Optimal Timing for Discretionary Liquidity Traders on Xetra," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 70, issue 3, pages 209-230, July, DOI: 10.1007/s41464-018-0049-z.

2017

  1. Sebastian Stöckl & Michael Hanke & Martin Angerer, 2017, "PRIX – A risk index for global private investors," Journal of Risk Finance, Emerald Group Publishing Limited, volume 18, issue 2, pages 214-231, March, DOI: 10.1108/JRF-09-2016-0118.

2016

  1. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016, "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), volume 58, issue 6, pages 381-396, December, DOI: 10.1007/s12599-016-0423-7.

2014

  1. Sebastian Stockl & Michael Hanke, 2014, "Financial Applications of the Mahalanobis Distance," Applied Economics and Finance, Redfame publishing, volume 1, issue 2, pages 78-84, November.

2008

  1. Heike Belitz & Tanja Kirn, 2008, "Deutlicher Zusammenhang zwischen Innovationsfähigkeit und Einstellungen zu Wissenschaft und Technik im internationalen Vergleich," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 77, issue 2, pages 47-64, DOI: 10.3790/vjh.77.2.47.

2007

  1. Heike Belitz & Marius Clemens & Tanja Kirn & Jens Schmidt-Ehmcke & Stephanie Schneider & Axel Werwatz, 2007, "Innovationsfähigkeit: Deutschland weiterhin nur im Mittelfeld," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 74, issue 48, pages 729-736.
  2. Heike Belitz & Marius Clemens & Tanja Kirn & Jens Schmidt-Ehmcke & Stephanie Schneider & Axel Werwatz, 2007, "Deutschland im Langzeittrend: langsames Aufholen, aber Absturz bei der Bildung," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 74, issue 48, pages 737-743.

2006

  1. Heike Belitz & Tanja Kirn & Axel Werwatz, 2006, "Innovationsfähigkeit: Deutschland braucht mehr Schwung," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 73, issue 45, pages 633-641.
  2. Heike Belitz & Tanja Kirn & Axel Werwatz, 2006, "Zu wenig Frauen in Forschung und Innovation," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 73, issue 45, pages 643-648.
  3. Heike Belitz & Tanja Kirn & Axel Werwatz, 2006, "Verhaltensweisen und Einstellungen der Bevölkerung hemmen die Innovationsfähigkeit in Deutschland," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 73, issue 8, pages 89-98.

Books

2007

  1. Axel Werwatz & Heike Belitz & Marius Clemens & Tanja Kirn & Jens Schmidt-Ehmcke & Stephanie Schneider, 2007, "Innovationsindikator Deutschland 2007: Forschungsprojekt im Auftrag der Deutsche Telekom Stiftung und des Bundesverbandes der Deutschen Industrie," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, number pbk33, ISBN: ARRAY(0x8ace8be0).

2006

  1. Axel Werwatz & Heike Belitz & Tanja Kirn & Jens Schmidt-Ehmcke, 2006, "Innovationsindikator Deutschland 2006," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, number pbk22, ISBN: ARRAY(0x8b5af220).

2005

  1. Axel Werwatz (Projektltg.) & Heike Belitz & Tanja Kirn & Jens Schmidt-Ehmcke & Rainer Voßkamp, 2005, "Innovationsindikator Deutschland: Bericht 2005 ; Forschungsprojekt im Auftrag der Deutsche Telekom Stiftung und des Bundesverbandes der Deutschen Industrie," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, number pbk11, ISBN: ARRAY(0x8a7980c0).

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