IDEAS home Printed from https://ideas.repec.org/d/ifkcfde.html

Publications

by members of

Center for Financial Studies

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 | Chapters | Software components |

Working papers

2026

  1. Joshua Goldstein & Christos Koulovatianos & Jian Li & Carsten Schröder, 2026, "Combining a Survey Experiment with Lifecycle Models to Evaluate Pronatalist Policies," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2171.

2025

  1. Yuan Chen & Nikolaus Hautsch & Jérémy Leymarie & Melanie Schienle, 2025, "Multivariate Inference for Dynamic Systemic Risk Measures," Working Papers, HAL, number halshs-05036934, Apr.

2024

  1. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024, "Jump detection in high-frequency order prices," Papers, arXiv.org, number 2403.00819, Feb, revised Aug 2025.
  2. Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya, 2024, "Consistent Estimation of the High-Dimensional Efficient Frontier," Papers, arXiv.org, number 2409.15103, Sep.
  3. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  4. Bonetti, Pietro & Leuz, Christian & Michelon, Giovanna, 2024, "Internalizing externalities through public pressure: Transparency regulation for fracking, drilling activity and water quality," CFS Working Paper Series, Center for Financial Studies (CFS), number 722.

2023

  1. Pietro Bonetti & Christian Leuz & Giovanna Michelon, 2023, "Internalizing Externalities through Public Pressure: Transparency Regulation for Fracking and Water Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 30842, Jan.
  2. Christian Leuz & Anup Malani & Maximilian Muhn & Laszlo Jakab, 2023, "Do Conflict of Interests Disclosures Work? Evidence from Citations in Medical Journals," NBER Working Papers, National Bureau of Economic Research, Inc, number 30927, Feb.
  3. Leuz, Christian, 2023, "Towards a design-based approach to accounting research," CFS Working Paper Series, Center for Financial Studies (CFS), number 703, DOI: 10.2139/ssrn.4365155.

2022

  1. Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch, 2022, "HARNet: A Convolutional Neural Network for Realized Volatility Forecasting," Papers, arXiv.org, number 2205.07719, May.
  2. Christos Koulovatianos & Carsten Schröder, 2022, "Income-Dependent Equivalence Scales and Choice Theory: Implications for Poverty Measurement," SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP), number 1157.
  3. Rainer Haselmann & Christian Leuz & Sebastian Schreiber, 2022, "Conflicts of Interest in Banks: Evidence from Proprietary Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 30521, Sep.
  4. Haselmann, Rainer & Leuz, Christian & Schreiber, Sebastian, 2022, "Know your customer: Informed trading by banks," CFS Working Paper Series, Center for Financial Studies (CFS), number 705, DOI: 10.2139/ssrn.4365175.
  5. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers, arXiv.org, number 2206.02854, Jun.
  6. Jason R. Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "Hedonic Models of Real Estate Prices: GAM and Environmental Factors," Papers, arXiv.org, number 2210.14266, Oct.

2021

  1. Gipper, Brandon & Hail, Luzi & Leuz, Christian, 2021, "Determinants and career consequences of early audit partner rotations," CFS Working Paper Series, Center for Financial Studies (CFS), number 676.
  2. Haselmann, Rainer & Leuz, Christian & Schreiber, Sebastian, 2021, "Know Your Customer: Relationship Lending and Bank Trading," LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin), number 22, DOI: 10.2139/ssrn.3903968.
  3. Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021, "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers, arXiv.org, number 2109.15051, Sep, revised Aug 2023.

2020

  1. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020, "The role of labor-income risk in household risk-taking?," CFS Working Paper Series, Center for Financial Studies (CFS), number 640.
  2. Langenbucher, Katja & Leuz, Christian & Krahnen, Jan Pieter & Pelizzon, Loriana, 2020, "What are the wider supervisory implications of the Wirecard case?," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 74, DOI: 10.2861/936827.
  3. Bischof, Jannis & Laux, Christian & Leuz, Christian, 2020, "Accounting for financial stability: Lessons from the financial crisis and future challenges," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 283.
  4. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020, "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers, arXiv.org, number 2009.11367, Sep, revised Feb 2023.

2019

  1. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019, "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series, Center for Financial Studies (CFS), number 625.
  2. Hakobyana, Zaruhi & Koulovatianos, Christos, 2019, "Populism and polarization in social media without fake news: The vicious circle of biases, beliefs and network homophily," CFS Working Paper Series, Center for Financial Studies (CFS), number 626.
  3. Hakobyan, Zaruhi & Koulovatianos, Christos, 2019, "Symmetric Markovian games of commons with potentially sustainable endogenous growth," CFS Working Paper Series, Center for Financial Studies (CFS), number 638.
  4. Brühl, Volker & Krahnen, Jan Pieter, 2019, "Eine Open Banking Plattform für Deutschland: Eine zukunftsorientierte Alternative zu einer Fusion Deutsche Bank/Commerzbank," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 72.
  5. Haselmann, Rainer & Krahnen, Jan Pieter & Wahrenburg, Mark, 2019, "Evaluierung gesamt- und finanzwirtschaftlicher Effekte der Reformen europäischer Finanzmarktregulierung im deutschen Finanzsektor seit der Finanzkrise: Zusammenfassung der wichtigsten Ergebnisse," SAFE Policy Reports, Leibniz Institute for Financial Research SAFE, number 2.
  6. Krahnen, Jan Pieter, 2019, "Target balances and financial crises," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 71.
  7. Brühl, Volker & Krahnen, Jan Pieter, 2019, "An open banking platform for Germany: A future-oriented alternative to a merger of Deutsche Bank/Commerzbank," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 73.
  8. Hans B. Christensen & Luzi Hail & Christian Leuz, 2019, "Mandatory CSR and Sustainability Reporting: Economic Analysis and Literature Review," NBER Working Papers, National Bureau of Economic Research, Inc, number 26169, Aug.
  9. Matthias Breuer & Christian Leuz & Steven Vanhaverbeke, 2019, "Reporting Regulation and Corporate Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 26291, Sep.
  10. Stefan Mittnik & Willi Semmler & Alexander Haider, 2019, "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers, International Monetary Fund, number 2019/145, Jul.

2018

  1. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018, "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers, arXiv.org, number 1812.00595, Dec, revised Oct 2023.
  2. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018, "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series, Center for Financial Studies (CFS), number 616.
  3. Rajnish Mehra & Christos Koulovatianos & John Donaldson, 2018, "Demographics and FDI: Lessons from China’s One-Child Policy," Working Papers, eSocialSciences, number id:12759, May.
  4. Christos Koulovatianos & Carsten Schroeder & Ulrich Schmidt, 2018, "Do Demographics Prevent Consumption Aggregates From Refflecting Micro-Level Preferences?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 18-12.
  5. John B. Donaldson & Christos Koulovatianos & Jian Li & Rajnish Mehra, 2018, "Demographics and FDI: Lessons from China's One-Child Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 24256, Jan.
  6. Koulovatianos, Christos & Mavridis, Dimitris, 2018, "Increasing taxes after a financial crisis: Not a bad idea after all ..," CFS Working Paper Series, Center for Financial Studies (CFS), number 614.
  7. Krahnen, Jan-Pieter & Wilde, Christian, 2018, "Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options," CEPR Discussion Papers, Centre for Economic Policy Research, number 12619, Jan.
  8. Krahnen, Jan Pieter, 2018, "Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten. Eine finanzökonomische Überprüfung," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 56.
  9. Christian Leuz, 2018, "Evidence-Based Policymaking: Promise, Challenges and Opportunities for Accounting and Financial Markets Research," NBER Working Papers, National Bureau of Economic Research, Inc, number 24535, Apr.
  10. João Granja & Christian Leuz & Raghuram Rajan, 2018, "Going the Extra Mile: Distant Lending and Credit Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 25196, Oct.

2017

  1. Nikolaus Hautsch & Stefan Voigt, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers, arXiv.org, number 1709.06296, Sep, revised Jun 2018.
  2. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2017, "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Papers, arXiv.org, number 1709.08238, Sep, revised Jan 2021.
  3. Cebirogly, Gökhan & Hautsch, Nikolaus & Horst, Ulrich, 2017, "Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 28, Apr.
  4. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017, "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series, Center for Financial Studies (CFS), number 569.
  5. Hautsch, Nikolaus & Horvath, Akos, 2017, "How effective are trading pauses?," CFS Working Paper Series, Center for Financial Studies (CFS), number 571.
  6. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017, "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series, Center for Financial Studies (CFS), number 580.
  7. Gould, Martin D. & Hautsch, Nikolaus & Howison, Sam D. & Porter, Mason A., 2017, "Counterparty credit limits: An effective tool for mitigating counterparty risk?," CFS Working Paper Series, Center for Financial Studies (CFS), number 581.
  8. Hautsch, Nikolaus & Voigt, Stefan, 2017, "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking, Verein für Socialpolitik / German Economic Association, number 168222.
  9. Goldstein, Joshua R. & Koulovatianos, Christos & Li, Jian & Schröder, Carsten, 2017, "Evaluating how child allowances and daycare subsidies affect fertility," CFS Working Paper Series, Center for Financial Studies (CFS), number 568.
  10. Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2017, "Market fragility and the paradox of the recent stock-bond dissonance," CFS Working Paper Series, Center for Financial Studies (CFS), number 589.
  11. Franke, Günter & Krahnen, Jan Pieter, 2017, "SME funding without banks? On the interplay of banks and markets," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 44.
  12. Allen, Franklin & Krahnen, Jan Pieter & Rey, Hélène, 2017, "Financial resilience revisited: Why consistency in regulation is now paramount - across sectors and regions, and over time," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 55.
  13. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017, "Five years after the Liikanen Report: What have we learned?," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 50.
  14. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017, "Taking bail-in seriously: The looming risks for banking policy in the rescue of Monte Paschi di Siena," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 54.
  15. Gipper, Brandon & Hail, Luzi & Leuz, Christian, 2017, "On the Economics of Audit Partner Tenure and Rotation: Evidence from PCAOB Data," Research Papers, Stanford University, Graduate School of Business, number repec:ecl:stabus:3588, Aug.
  16. Christian Leuz & Steffen Meyer & Maximilian Muhn & Eugene Soltes & Andreas Hackethal, 2017, "Who Falls Prey to the Wolf of Wall Street? Investor Participation in Market Manipulation," NBER Working Papers, National Bureau of Economic Research, Inc, number 24083, Nov.
  17. João Granja & Christian Leuz, 2017, "The Death of a Regulator: Strict Supervision, Bank Lending, and Business Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 24168, Dec.
  18. Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani, 2017, "Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach," Papers, arXiv.org, number 1710.03211, Oct, revised Feb 2020.
  19. Tan, Zekuang, 2017, "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper, University Library of Munich, Germany, number 83669, Dec.

2016

  1. Carolina Achury & Christos Koulovatianos & John Tsoukalas, 2016, "Political Economics of Fiscal Consolidations and External Sovereign Accidents," Working Papers, Business School - Economics, University of Glasgow, number 2016_12, May.
  2. Bluhm, Marcel & Georg, Co-Pierre & Krahnen, Jan-Pieter, 2016, "Interbank intermediation," Discussion Papers, Deutsche Bundesbank, number 16/2016.
  3. Krahnen, Jan Pieter & Noth, Felix & Schüwer, Ulrich, 2016, "Structural reforms in banking: The role of trading," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 33.
  4. Krahnen, Jan Pieter & Pelizzon, Loriana, 2016, ""Predatory" margins and the regulation and supervision of central counterparty clearing houses (CCPs)," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 41.
  5. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016, "Pricing Derivatives in Hermite Markets," Papers, arXiv.org, number 1612.07016, Dec, revised Dec 2016.
  6. Tan, Zekuang, 2016, "Application of Discounted Cash Flow Model Valuation – Wal-Mart," MPRA Paper, University Library of Munich, Germany, number 83903, Dec.

2015

  1. Hautsch, Nikolaus & Herrera, Rodrigo, 2015, "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series, Center for Financial Studies (CFS), number 516.
  2. Fratzscher, Marcel & Gropp, Reint E. & Kotz, Hans-Helmut & Krahnen, Jan Pieter & Odendahl, Christian & di Mauro, Beatrice Weder & Wolff, Guntram B., 2015, "Mere criticism of the ECB is no solution," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 51.
  3. Götz, Martin R. & Haselmann, Rainer & Krahnen, Jan Pieter & Steffen, Sascha, 2015, "Waren die ELA-Notkredite der EZB für griechische Banken eine Konkursverschleppung?," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 47.
  4. Krahnen, Jan Pieter, 2015, "Drei Thesen zur Griechenlandkrise," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 41.
  5. Götz, Martin R. & Haselmann, Rainer & Krahnen, Jan Pieter & Steffen, Sascha, 2015, "Did emergency liquidity assistance (ELA) of the ECB delay the bankruptcy of Greek banks?," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 46.
  6. Brühl, Volker & Gründl, Helmut & Hackethal, Andreas & Kotz, Hans-Helmut & Krahnen, Jan Pieter & Tröger, Tobias, 2015, "Comments on the EU Commission's capital markets union project," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 27.
  7. Krahnen, Jan Pieter, 2015, "Three theses on the Greek crisis," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 42.
  8. Matthew J. Bloomfield & Ulf Brüggemann & Hans B. Christensen & Christian Leuz, 2015, "The Effect of Regulatory Harmonization on Cross-border Labor Migration: Evidence from the Accounting Profession," CESifo Working Paper Series, CESifo, number 5661.
  9. Brandon Gipper & Christian Leuz & Mark Maffett, 2015, "Public Audit Oversight and Reporting Credibility: Evidence from the PCAOB Inspection Regime," NBER Working Papers, National Bureau of Economic Research, Inc, number 21530, Sep.

2014

  1. Franke, Günter & Krahnen, Jan Pieter & von Lüpke, Thomas, 2014, "Effective resolution of banks: Problems and solutions," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 19.
  2. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.
  3. Nikolaus Hautsch & Fuyu Yang, 2014, "Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK., number 056, Jan.
  4. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2014, "Efficient iterative maximum likelihood estimation of high-parameterized time series models," CFS Working Paper Series, Center for Financial Studies (CFS), number 450.
  5. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2014, "Systemic risk spillovers in the European banking and sovereign network," CFS Working Paper Series, Center for Financial Studies (CFS), number 467.
  6. Christos Koulovatianos, 2014, "Strategic Exploitation of a Common-Property Resource Under Rational Learning About its Reproduction," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 14-06.
  7. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2014, "Do demographics prevent consumer aggregates from reflecting micro-level preferences?," CFS Working Paper Series, Center for Financial Studies (CFS), number 484.
  8. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2014, "Fitting parsimonious household- portfolio models to data," CFS Working Paper Series, Center for Financial Studies (CFS), number 489.
  9. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014, "Endogenous banks' networks, cascades and systemic risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 12, revised 2014, DOI: 10.2139/ssrn.2235520.
  10. Bluhm, Marcel & Krahnen, Jan Pieter, 2014, "Systemic risk in an interconnected banking system with endogenous asset markets," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 48, DOI: 10.2139/ssrn.2421265.
  11. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014, "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 46, DOI: 10.2139/ssrn.2417219.
  12. Krahnen, Jan Pieter & Ockenfels, Peter & Wilde, Christian, 2014, "Measuring ambiguity aversion: A systematic experimental approach," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 55, DOI: 10.2139/ssrn.2457026.
  13. Krahnen, Jan Pieter, 2014, "Finanzmärkte: Mut zu radikaler Ordnungspolitik," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 17.
  14. Issing, Otmar & Krahnen, Jan Pieter, 2014, "Transcript of a hearing before members of the House of Lords (UK) in Frankfurt on genuine economic and monetary union and its implication for the UK," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 21.
  15. Krahnen, Jan Pieter, 2014, "Keine Institutionenkonkurrenz auf nationaler Ebene schaffen: Das "doppelte AIDA"-Modell," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 30.
  16. Krahnen, Jan Pieter, 2014, "Bail-In jetzt richtig umsetzen," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 34.
  17. Krahnen, Jan Pieter, 2014, "Implementing bail-in properly," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 35.
  18. Mittnik, Stefan & Semmler, Willi, 2014, "Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 14-110.

2013

  1. Guenter Franke & Harris Schlesinger & Richard C. Stapleton, 2013, "Risk-Taking-Neutral Background Risk," CESifo Working Paper Series, CESifo, number 4070.
  2. Bodnar, Taras & Hautsch, Nikolaus, 2013, "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/19.
  3. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013, "Financial network systemic risk contributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/20.
  4. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013, "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-008.
  5. Hautsch, Nikolaus & Kyj, Lada. M. & Malec, Peter, 2013, "Do high-frequency data improve high-dimensional portfolio allocations?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-014.
  6. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013, "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-017.
  7. Sylwia Hubar & Christos Koulovatianos & Jian Li, 2013, "Analytical Guidance for Fitting Parsimonious Household-Portfolio Models to Data," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-16.
  8. Carolina Achury & Christos Koulovatianos & John Tsoukalas, 2013, "Political Economics of External Sovereign Defaults," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-23.
  9. Krahnen, Jan Pieter, 2013, "Rettung durch Regulierung? Eckpunkte des Liikanen-Berichts," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 8.
  10. Krahnen, Jan Pieter, 2013, "Rescue by regulation? Key points of the Liikanen report," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 9.
  11. Krahnen, Jan Pieter & Rocholl, Jörg, 2013, "Designing the funding side of the Single Resolution Mechanism (SRM): A proposal for a layered scheme with limited joint liability," SAFE White Paper Series, Leibniz Institute for Financial Research SAFE, number 10.
  12. Krahnen, Jan Pieter, 2013, "A big bang for banking in Europe," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 16.
  13. Hackethal, Andreas & Krahnen, Jan Pieter, 2013, "Kommentierung des "Entwurf eines Gesetzes zur Abschirmung von Risiken und zur Planung der Sanierung and Abwicklung von Kreditinstituten und Finanzgruppen" vom 6. Februar 2013," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 3.
  14. Krahnen, Jan Pieter & Weimer, Theodor, 2013, "Gesprächsreihe zu Strukturreformen im europäischen Bankensektor: Die Auswirkungen von Regulierung auf Bankverhalten und Wettbewerb," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 12.
  15. Krahnen, Jan Pieter & Kemmer, Michael, 2013, "Gesprächsreihe zu Strukturreformen im europäischen Bankensektor: Zukunft der Universalbanken," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 9.
  16. Krahnen, Jan Pieter, 2013, "Deposit insurance suitable for Europe: Proposal for a three-stage deposit guarantee scheme with limited European liability," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 8.
  17. Krahnen, Jan Pieter & Mayer, Thomas, 2013, "Gesprächsreihe zu Strukturreformen im Europäischen Bankensektor: Managementvergütung im Bankensektor," SAFE Policy Letters, Leibniz Institute for Financial Research SAFE, number 4.
  18. Bruggemann, Ulf & Kaul, Aditya & Leuz, Christian & Werner, Ingrid M., 2013, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2013-09, Aug.
  19. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series, CESifo, number 4421.
  20. Mittnik, Stefan, 2013, "VaR-implied tail-correlation matrices," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/05.
  21. Mittnik, Stefan & Semmler, Willi, 2013, "The real consequences of financial stress," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-011.

2012

  1. Hautsch, Nikolaus & Huang, Ruihong, 2012, "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/04.
  2. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Local adaptive multiplicative error models for high-frequency forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-031.
  3. Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012, "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-054.
  4. Willi Semmler & Stefan Mittnik, 2012, "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012, EcoMod, number 4122, Jul.

2011

  1. Günter Franke & Markus Herrmann & Thomas Weber, 2011, "Loss Allocation in Securitization Transactions," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-22, Apr.
  2. Günter Franke & Ferdinand Graf, 2011, "Does Portfolio Optimization Pay?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-19, May.
  3. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2011, "Risk Taking with Additive and Multiplicative Background Risks," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-25, Jun.
  4. Günter Franke & Thomas Weber, 2011, "Tranching and Pricing in CDO-Transactions," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-21, Feb.
  5. Günter Franke, 2011, "Hostages, Free Lunches and Institutional Gaps: The Case of the European Currency Union," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2011-47, Nov.
  6. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/24.
  7. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011, "Predicting bid-ask spreads using long memory autoregressive conditional poisson models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-044.
  8. Hautsch, Nikolaus & Huang, Ruihong, 2011, "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-056.
  9. Carolina Achury & Christos Koulovatianos & John D. Tsoukalas, 2011, "External Sovereign Debt in a Monetary Union: Bailouts and the Role of Corruption," CESifo Working Paper Series, CESifo, number 3532.
  10. Christos Koulovatianos, 2011, "A Paradox of Environmental Awareness Campaigns," Levine's Working Paper Archive, David K. Levine, number 786969000000000041, Mar.
  11. Wieland, Volker & Koulovatianos, Christos, 2011, "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers, Centre for Economic Policy Research, number 8514, Aug.
  12. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2011, "Investment in a Monopoly with Bayesian Learning," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 11-05, May.
  13. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011, "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices, Review of Economic Dynamics, number 10-11, Jan.
  14. Gropp, Reint E. & Hirsch, Christian & Krahnen, Jan Pieter, 2011, "Is rated debt arm's length? Evidence from mergers and acquisitions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/10.
  15. Bluhm, Marcel & Krahnen, Jan Pieter, 2011, "Default risk in an interconnected banking system with endogeneous asset markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/19.
  16. Hilgert, Heinz & Krahnen, Jan Pieter & Merl, Günther & Siekmann, Helmut, 2011, "Streitschrift für eine grundlegende Neuordnung des Sparkassen- und Landesbankensektors in Deutschland," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 42.
  17. Hilgert, Heinz & Krahnen, Jan Pieter & Merl, Günther & Siekmann, Helmut, 2011, "On a fundamental reorganisation of the Landesbanks and savings banks sector in Germany," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 44.
  18. Hans B. Christensen & Luzi Hail & Christian Leuz, 2011, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," NBER Working Papers, National Bureau of Economic Research, Inc, number 16737, Jan.
  19. Stefan Mittnik & Willi Semmler, 2011, "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade, number c016_080, Sep.
  20. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011, "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 070, Aug.

2010

  1. Günter Franke & Ferdinand Graf, 2010, "Portfolio Choice for HARA Investors: When Does 1/γ (not) Work?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2010-11, Nov.
  2. Nikolaus Hautsch & Mark Podolskij, 2010, "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-29, Jul.
  3. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010, "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2010-004, Jan.
  4. Hautsch, Nikolaus & Malec, Peter & Schienle, Melanie, 2010, "Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/19.
  5. Hautsch, Nikolaus & Yang, Fuyu, 2010, "Bayesian inference in a stochastic volatility Nelson-Siegel Model," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2010-004.
  6. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2010, "Confronting the Representative Consumer with Household-Size Heterogeneity," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1056.
  7. Carsten Schröder & Polina Minkovski & Christos Koulovatianos, 2010, "Per Capita Income Versus Household-Need Adjusted Income: A Cross-Country Comparison," LIS Working papers, LIS Cross-National Data Center in Luxembourg, number 528, Jan.
  8. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2010, "Saving Rates and Portfolio Choice with Subsistence Consumption," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 10/01, Jan.
  9. Brunner, Antje & Krahnen, Jan Pieter, 2010, "Hold-up in multiple banking: Evidence from SME lending," CFS Working Paper Series, Center for Financial Studies (CFS), number 2010/07.
  10. Krahnen, Jan Pieter & Siekmann, Helmut, 2010, "Rettungsstrategie ohne Moral Hazard: Versuch eines Gesamtkonzepts zur Bankkrisenvermeidung," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 38.
  11. Christensen, Hans B. & Hail, Luzi & Leuz, Christian, 2010, "Capital-Market Effects of Securities Regulation: The Role of Implementation and Enforcement," Working Papers, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State, number 241.

2009

  1. Franke, Günter & Krahnen, Jan Pieter, 2009, "Instabile Finanzmärkte," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/13.
  2. Hautsch, Nikolaus & Ou, Yangguoyi, 2009, "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/03.
  3. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
  4. Hautsch, Nikolaus & Kyj, Lada M. & Hautsch, Nikolaus, 2009, "A blocking and regularization approach to high dimensional realized covariance estimation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/20.
  5. Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/23.
  6. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/31.
  7. Jan Pieter Krahnen & Christian Wilde, 2009, "CDOs and Systematic Risk: Why bond ratings are inadequate," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 203, Jun.
  8. Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2009, "Information Asymmetry, Information Precision, and the Cost of Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 14881, Apr.
  9. Christian Leuz & Catherine Schrand, 2009, "Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock," NBER Working Papers, National Bureau of Economic Research, Inc, number 14897, Apr.
  10. Christian Laux & Christian Leuz, 2009, "Did Fair-Value Accounting Contribute to the Financial Crisis?," NBER Working Papers, National Bureau of Economic Research, Inc, number 15515, Nov.
  11. Laux, Christian & Leuz, Christian, 2009, "The crisis of fair value accounting: Making sense of the recent debate," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/09.
  12. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009, "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0016, Mar.
  13. Teresa Ghilarducci & Edward Nell & Stefan Mittnik & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Memorandum on a new financial architecture and new regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-7, Jan.
  14. Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Financial market meltdown and a need for new financial regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-8, Jan.

2008

  1. Franke, Günter & Krahnen, Jan Pieter, 2008, "The future of securitization," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/31.
  2. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008, "Price Adjustment to News with Uncertain Precision," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2008/01, Jun.
  3. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008, "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-045.
  4. Hautsch, Nikolaus & Jeleskovic, Vahidin, 2008, "Modelling high-frequency volatility and liquidity using multiplicative error models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-047.
  5. Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Yield curve factors, term structure volatility, and bond risk premia," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-053.
  6. Hautsch, Nikolaus & Ou, Yangguoyi, 2008, "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-063.
  7. Hautsch, Nikolaus, 2008, "Testing multiplicative error models using conditional moment tests," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2008-067.
  8. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2008, "Confronting the Robinson Crusoe paradigm with household-size heterogeneity," Levine's Working Paper Archive, David K. Levine, number 122247000000002324, Aug.
  9. Michaelides, Alexander & Grant, Charles & Padula, Mario & Koulovatianos, Christos, 2008, "Evidence on the Insurance Effect of Marginal Income Taxes," CEPR Discussion Papers, Centre for Economic Policy Research, number 6710, Feb.
  10. Carsten SCHRÖDER & Christos KOULOVATIANOS & Ulrich SCHMIDT, 2008, "Family-type Subistence Incomes," EcoMod2008, EcoMod, number 23800128, Jul.
  11. Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2008, "Evidence on the Insurance Effect of Redistributive Taxation," Discussion Papers, University of Exeter, Department of Economics, number 0809.
  12. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2008, "Nonmarket Household Time and the Cost of Children," Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM), number 08/07, Jul.
  13. Koulovatianos, Christos & Schmidt, Ulrich & Schröder, Carsten, 2008, "Arbeitslosengeld II: Arbeitsanreize und Verteilungsgerechtigkeit," Open Access Publications from Kiel Institute for the World Economy, Kiel Institute for the World Economy, number 28707, DOI: 10.1007/s10273-008-0819-1.
  14. Jan Pieter Krahnen & Christian Wilde, 2008, "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 187, Apr.
  15. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008, "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/07.
  16. Haas, Markus & Mittnik, Stefan, 2008, "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/08.
  17. Mittnik, Stefan & Yener, Tina, 2008, "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series, Center for Financial Studies (CFS), number 2008/14.

2007

  1. Hautsch, Nikolaus, 2007, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2007/25.
  2. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2007, "Optimal Growth and Uncertainty: Learning," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 07-05, Jun, revised Feb 2008.
  3. Christos Koulovatianos & Elena Antoniadou & Leonard J.Mirman, 2007, "Strategic Exploitation of a Common-Property Resource under Uncertainty," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0703, Jun.
  4. Uri Ben-Zion & Jan Pieter Krahnen & TAL SHAVIT, 2007, "Subjective Evaluation Of Delayed Risky Outcomes: An Experimental Approach," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 0709.
  5. Leuz, Christian & Lins, Karl V. & Warnock, Francis E., 2007, "Do Foreigners Invest Less in Poorly Governed Firms?," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 07-2, Apr.

2006

  1. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006, "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006080, Sep.
  2. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006, "Stochastic conditional intensity processes," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1937, Jan, DOI: 10.1093/jjfinec/nbj013.
  3. Frank Gerhard & Nikolaus Hautsch, 2006, "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/05, Oct.
  4. Nikolaus Hautsch, 2006, "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2006/06, Dec.
  5. Krahnen, Jan-Pieter & Wilde, Christian, 2006, "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers, Centre for Economic Policy Research, number 5618, Apr.
  6. Jan Pieter Krahnen, 2006, "Die Stabilität von Finanzmärkten: Wie kann die Wirtschaftspolitik Vertrauen schaffen?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 164.
  7. Krahnen, Jan Pieter & Wilde, Christian, 2006, "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/04.
  8. Krahnen, Jan P. & Schmid, Frank A. & Theissen, Erik, 2006, "Investment performance and market share: A study of the German mutual fund industry," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 06-06.
  9. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006, "Multivariate normal mixture GARCH," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/09.
  10. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006, "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/23.
  11. Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series, Center for Financial Studies (CFS), number 2006/24.

2005

  1. Guenter Franke & Jan Pieter Krahnen, 2005, "Default Risk Sharing Between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Working Papers, National Bureau of Economic Research, Inc, number 11741, Nov.
  2. Guenter Franke, 2005, "Transformation nicht-gehandelter in handelbare Kreditrisiken�," TWI Research Paper Series, Thurgauer Wirtschaftsinstitut, Universität Konstanz, number 7.
  3. Guenter Franke & Christian Hopp, 2005, "M&A-Transaktionen - Fluch oder Segen der Realoptionstheorie?�," TWI Research Paper Series, Thurgauer Wirtschaftsinstitut, Universität Konstanz, number 10.
  4. Nikolaus Hautsch, 2005, "The latent factor VAR model: Testing for a common component in the intraday trading process," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/03, Mar.
  5. Christos Koulovatianos & Leonard J. Mirman, 2005, "The Effects of Market Structure on Industry Growth: Rivalrous Non-excludable Capital," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0501, Jan.
  6. Christos Koulovatianos & Leonard J. Mirman, 2005, "Endogenous Public Policy and Long-Run Growth: Some Simple Analytics," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0502, Jan.
  7. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2005, "Properties of Equivalence Scales in Different Countries," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0503, Feb.
  8. Christos Koulovatianos, 2005, "Preferences and the Dynamic Representative Consumer," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0505, May.
  9. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2005, "Non-Market Time and Household Well-Being," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0507, Jun.
  10. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2005, "Welfare-Dependent Household Economies of Scale: Further Evidence," Discussion Papers, Free University Berlin, School of Business & Economics, number 2005/2.
  11. Jan Pieter Krahnen, 2005, "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 152.
  12. Hail, Luzi & Leuz, Christian, 2005, "Cost of Capital and Cash Flow Effects of U.S. Cross Listings," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 05-2, Apr.
  13. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2005, "Modeling and predicting market risk with Laplace-Gaussian mixture distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/11.
  14. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005, "The volatility of realized volatility," CFS Working Paper Series, Center for Financial Studies (CFS), number 2005/33.

2004

  1. Anthony D. Hall & Nikolaus Hautsch, 2004, "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers, University of Copenhagen. Department of Economics, number 04-07, Mar.
  2. Nikolaus Hautsch & Dieter Hess, 2004, "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers, University of Copenhagen. Department of Economics, number 04-17, Sep.
  3. Anthony D. Hall & Nikolaus Hautsch, 2004, "Order Aggressiveness and Order Book Dynamics," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit, number 2005/04, Dec.
  4. Christos Koulovatianos & Leonard J. Mirman, 2004, "The Effects of Market Structure on Industry Growth," 2004 Meeting Papers, Society for Economic Dynamics, number 639.
  5. Christos Koulovatianos & Carsten Schroder & Ulrich Schmidt, 2004, "On the Income Dependence of Equivalence Scales," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 1-2004, Feb.
  6. Christos Koulovatianos & Leonard J. Mirman, 2004, "Endogenous Public Policy and Long-Run Growth," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 2-2004, Feb.
  7. Krahnen, Jan-Pieter & Brunner, Antje, 2004, "Multiple Lenders and Corporate Distress: Evidence on Debt Restructuring," CEPR Discussion Papers, Centre for Economic Policy Research, number 4287, Mar.
  8. Stefan Mittnik & Peter A. Zadrozny, 2004, "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data," CESifo Working Paper Series, CESifo, number 1203.
  9. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004, "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers, Rutgers University, Department of Economics, number 200424, Oct.

2003

  1. Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, Centre for Economic Policy Research, number 3832, Mar.
  2. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003, "Dynamic latent factor models for intensity processes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003103, Dec.
  3. Charles GRANT & Christos KOULOVATIANOS & Alexander MICHAELIDES & Mario PADULA, 2003, "Redistributive Policies through Taxation: Theory and Evidence," Economics Working Papers, European University Institute, number ECO2003/13.
  4. Christos Koulovatianos & Leonard J. Mirman, 2003, "R&D Investment, Market Structure, and Industry Growth," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 8-2003, Nov.
  5. Elsas, Ralf & Krahnen, Jan Pieter, 2003, "Universal Banks and Relationships with Firms," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/20.
  6. Christian Leuz & Felix Oberholzer-Gee, 2003, "Political Relationships, Global Financing and Corporate Transparency," CREMA Working Paper Series, Center for Research in Economics, Management and the Arts (CREMA), number 2003-03, Aug.
  7. Brian J. Bushee & Christian Leuz, 2003, "Economic Consequences of SEC Disclosure Regulation," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-24, Feb.
  8. Leuz, Christian & Wüstemann, Jens, 2003, "The role of accounting in the German financial system," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/16.
  9. Mittnik, Stefan & Paolella, Marc S., 2003, "Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions," CFS Working Paper Series, Center for Financial Studies (CFS), number 2003/04.

2002

  1. Franke, Günter & Schlesinger, Harris & Stapleton, Richard C., 2002, "Multiplicative background risk," Discussion Papers, various Research Units, WZB Berlin Social Science Center, number FS IV 02-06.
  2. Hautsch, Nikolaus, 2002, "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/05.
  3. Hautsch, Nikolaus & Hess, Dieter, 2002, "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/06.
  4. Elsas, Ralf & Krahnen, Jan Pieter, 2002, "Collateral, relationship lending and financial distress: An empirical study on financial contracting," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/17.
  5. Claessen, Holger & Mittnik, Stefan, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/04.
  6. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002, "Mixed normal conditional heteroskedasticity," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/10.

2001

  1. Hautsch, Nikolaus & Klotz, Stefan, 2001, "Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/04.
  2. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001, "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/05.
  3. Hautsch, Nikolaus & Lehmann, Erik & Warning, Susanne & Frick, Bernd, 2001, "Shirking or mismatch? Coach-team separation in German professional soccer," Discussion Papers, Series I, University of Konstanz, Department of Economics, number 313.
  4. Hautsch, Nikolaus & Hess, Dieter E., 2001, "A mean variance king? Creation and resolution of uncertainty under the employment report's reign," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 01-60.
  5. Krahnen, Jan-Pieter & Brunner, Antje, 2001, "Corporate Debt Restructuring: Evidence on Lending Coordination in Financial Distress," CEPR Discussion Papers, Centre for Economic Policy Research, number 3030, Oct.
  6. Jan Pieter Krahnen & Martin Weber, 2001, "Marketmaking in the Laboratory: Does Competition Matter?," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 4.

2000

  1. Frank Gerhard & Nikolaus Hautsch, 2000, "Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1082, Aug.
  2. Gerhard, Frank & Hautsch, Nikolaus, 2000, "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/20.
  3. Krahnen, Jan-Pieter, 2000, "Collateral, Default Risk, and Relationship Lending: An Empirical Study on Financial Contracting," CEPR Discussion Papers, Centre for Economic Policy Research, number 2540, Aug.
  4. Krahnen, Jan Pieter & Weber, Martin, 2000, "Generally accepted rating principles: A primer," CFS Working Paper Series, Center for Financial Studies (CFS), number 2000/02.
  5. Christian Leuz, 2000, "IAS versus US GAAP: A "New Market" Based Comparison," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 48, Jan.

1999

  1. 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, New York University, Leonard N. Stern School of Business-, number 99-003, Dec.
  2. Nikolaus Hautsch, 1999, "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance, University Library of Munich, Germany, number 9904002, Apr.
  3. Gerhard, Frank & Hautsch, Nikolaus, 1999, "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/19.
  4. Jan Pieter Krahnen & Christian Rieck & Erik Theissen, 1999, "Insider Trading and Portfolio Structure in Experimental Asset Markets with a Long Lived Asset," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 1, Mar.
  5. Christian Leuz, 1999, "The Development of Voluntary Cash Flow Statements in Germany and the Influence of International Reporting Standards," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 40, Jul.
  6. Robert E. Verrecchia & Christian Leuz, 1999, "The Economic Consequences of Increased Disclosure," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 41, Jul.

1998

  1. Weber, Martin & Krahnen, Jan Pieter & Voßmann, Frank, 1998, "Risikomessung im Kreditgeschäft: Eine empirische Analyse bankinterner Ratingverfahren," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 98-45, Oct.
  2. Jan Pieter Krahnen, 1998, "Finanzierungstheorie: Ein selektiver Überblick," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 15, Apr.
  3. Elsas, Ralf & Krahnen, Jan Pieter, 1998, "Is relationship lending special? Evidence from credit-file data in Germany," CFS Working Paper Series, Center for Financial Studies (CFS), number 1998/05.
  4. Krahnen, Jan Pieter, 1998, "Where do we stand in the theory of finance? A selective overview with reference to Erich Gutenberg," CFS Working Paper Series, Center for Financial Studies (CFS), number 1998/09.
  5. Christian Leuz, 1998, "Voluntary Disclosure of Cash Flow Statements and Segment Data in Germany," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 21, Sep.

1997

  1. Franke, Günter & Weber, Martin, 1997, "Risk-value efficient portfolios and asset pricing," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 354.
  2. Krahnen, Jan Pieter & Schmid, Frank A. & Theissen, Erik, 1997, "Performance and market share: Evidence from the German mutual fund industry," CFS Working Paper Series, Center for Financial Studies (CFS), number 1997/01.
  3. Krahnen, Jan Pieter & Rieck, Christian & Theissen, Erik, 1997, "Messung individueller Risikoeinstellungen," CFS Working Paper Series, Center for Financial Studies (CFS), number 1997/03.

1996

  1. Franke, Günter, 1996, "Kritik an der Kritik der Publikumsgesellschaft," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 326.

1995

  1. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1995, "Who buys and who sells options: The role and pricing of options in an economy with background risk," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 253.
  2. Franke, Günter & Hess, Dieter, 1995, "Anonymous electronic trading versus floor trading," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 285.
  3. Krahnen JP. & Schmidt RH., 1995, "On the theory of credit cooperatives: equity and onlending in a multi- tier system: a concept paper," ILO Working Papers, International Labour Organization, number 993121643402676.

1993

  1. Franke, Günter & Herrmann, Markus, 1993, "Vermögensmaximierung durch Stiftungen als Unternehmensträger? Eine Analyse der Steuerwirkungen," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 203.

1992

  1. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1992, "Idiosyncratic risk, sharing rules, and the theory of risk bearing," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 181.
  2. Franke, Günter & Menichetti, Marco J., 1992, "Die Bilanzierung von Terminkontrakten und Optionen bei Einsatz im Risikomanagement," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 197.

1990

  1. Franke, Günter, 1990, "Avenues for the reduction of LDC-debt: An institutional analysis," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 100.

1989

  1. Franke, Günter, 1989, "Inside information in bank lending and the European insider directive," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 97.
  2. Franke, Günter & Benninga, Simon, 1989, ""Closet dollars" and taxes," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 77.

1988

  1. Franke, Günter, 1988, "Institutionelle Gestaltungsmöglichkeiten zur Erleichterung des LDC-Portefeuille-Managements der Gläubigerbanken," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 74.
  2. Franke, Günter, 1988, "Betriebliche Investitionsentscheidungen bei Risiko," Discussion Papers, Series I, University of Konstanz, Department of Economics, number 238.
  3. Franke, Günter, 1988, "Currency choice for credit contracts and exchange rate regime," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 62.

1987

  1. Franke, Günter, 1987, "Economic analysis of debt-equity-swaps," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 23.

1986

  1. Franke, Günter, 1986, "Exchange rate volatility and international trade: The option approach," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 12.

1985

  1. Franke, Günter, 1985, "Zur Festlegung von Abstimmungsregeln im Insolvenzverfahren," Discussion Papers, Series C, University of Konstanz, Department of Economics, number 6.
  2. Franke, Günter, 1985, "Basic conditions for costless signalling in financial markets," Discussion Papers, Series C, University of Konstanz, Department of Economics, number 7.

1983

  1. Franke, Günter, 1983, "Zur rechtzeitigen Auslösung von Sanierungsverfahren," Discussion Papers, Series C, University of Konstanz, Department of Economics, number 4.

Undated

  1. Frank Gerhard & Nikolaus Hautsch, undated, "Semiparametric autoregressive conditional proportional hazard models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2002-W2.

Journal articles

2026

  1. Bibinger, Markus & Hautsch, Nikolaus & Ristig, Alexander, 2026, "Jump detection in high-frequency order prices," Journal of Econometrics, Elsevier, volume 253, issue C, DOI: 10.1016/j.jeconom.2025.106133.
  2. Taras Bodnar & Nikolaus Hautsch & Yarema Okhrin & Nestor Parolya, 2026, "Consistent estimation of the high-dimensional efficient frontier," The European Journal of Finance, Taylor & Francis Journals, volume 32, issue 4-6, pages 482-509, April, DOI: 10.1080/1351847X.2025.2505043.

2025

  1. Breuer, Matthias & Leuz, Christian & Vanhaverbeke, Steven, 2025, "Reporting regulation and corporate innovation," Journal of Accounting and Economics, Elsevier, volume 80, issue 1, DOI: 10.1016/j.jacceco.2025.101769.

2024

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  2. Nikolaus Hautsch & Christoph Scheu & Stefan Voigt, 2024, "Building trust takes time: limits to arbitrage for blockchain-based assets," Review of Finance, European Finance Association, volume 28, issue 4, pages 1345-1381.
  3. Christos Koulovatianos, 2024, "Rational Noncooperative Strategic Exploitation of Species in a Predator–Prey Ecosystem with Random Disturbances," Dynamic Games and Applications, Springer, volume 14, issue 1, pages 57-77, March, DOI: 10.1007/s13235-023-00527-6.
  4. Granja, João & Leuz, Christian, 2024, "The death of a regulator: Strict supervision, bank lending, and business activity," Journal of Financial Economics, Elsevier, volume 158, issue C, DOI: 10.1016/j.jfineco.2024.103871.

2023

  1. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2023, "Maximum-Likelihood Estimation Using the Zig-Zag Algorithm," Journal of Financial Econometrics, Oxford University Press, volume 21, issue 4, pages 1346-1375.

2022

  1. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022, "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 510-534, DOI: 10.1016/j.jeconom.2021.06.006.
  2. João Granja & Christian Leuz & Raghuram G. Rajan, 2022, "Going the Extra Mile: Distant Lending and Credit Cycles," Journal of Finance, American Finance Association, volume 77, issue 2, pages 1259-1324, April, DOI: 10.1111/jofi.13114.
  3. Leuz, Christian, 2022, "Towards a design-based approach to accounting research," Journal of Accounting and Economics, Elsevier, volume 74, issue 2, DOI: 10.1016/j.jacceco.2022.101550.
  4. Stefan Mittnik & Willi Semmler, 2022, "Die Substitution fossiler Energieträger – die Analyse wirtschaftlicher Kurz- und Langfristwirkungen," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 91, issue 3, pages 11-44, DOI: 10.3790/vjh.91.3.11.
  5. Jason Robert Bailey & Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022, "Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors," JRFM, MDPI, volume 15, issue 12, pages 1-11, December.
  6. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022, "Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation," JRFM, MDPI, volume 15, issue 5, pages 1-23, May.

2021

  1. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021, "A Descriptive Study of High-Frequency Trade and Quote Option Data
    [Stealth Trading in Options Markets]    ," Journal of Financial Econometrics, Oxford University Press, volume 19, issue 1, pages 128-177.
  2. Zaruhi Hakobyan & Christos Koulovatianos, 2021, "Symmetric Markovian Games of Commons with Potentially Sustainable Endogenous Growth," Dynamic Games and Applications, Springer, volume 11, issue 1, pages 54-83, March, DOI: 10.1007/s13235-020-00349-w.
  3. Bischof, Jannis & Laux, Christian & Leuz, Christian, 2021, "Accounting for financial stability: Bank disclosure and loss recognition in the financial crisis," Journal of Financial Economics, Elsevier, volume 141, issue 3, pages 1188-1217, DOI: 10.1016/j.jfineco.2021.05.016.
  4. Hans B. Christensen & Luzi Hail & Christian Leuz, 2021, "Mandatory CSR and sustainability reporting: economic analysis and literature review," Review of Accounting Studies, Springer, volume 26, issue 3, pages 1176-1248, September, DOI: 10.1007/s11142-021-09609-5.
  5. Holger Fink & Stefan Mittnik, 2021, "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, volume 14, issue 3, pages 1-27, March.

2020

  1. Martin D. Gould & Nikolaus Hautsch & Sam D. Howison & Mason A. Porter, 2020, "Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading," Applied Mathematical Finance, Taylor & Francis Journals, volume 27, issue 6, pages 520-548, November, DOI: 10.1080/1350486X.2021.1893770.
  2. Nikolaus Hautsch & Rodrigo Herrera, 2020, "Multivariate dynamic intensity peaks‐over‐threshold models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 35, issue 2, pages 248-272, March, DOI: 10.1002/jae.2741.
  3. Li, Jian & Koulovatianos, Christos, 2020, "The long shadows of war in China: Battle shocks in early life and health/wealth accumulation," China Economic Review, Elsevier, volume 60, issue C, DOI: 10.1016/j.chieco.2019.101394.
  4. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020, "The role of labor-income risk in household risk-taking," European Economic Review, Elsevier, volume 129, issue C, DOI: 10.1016/j.euroecorev.2020.103522.
  5. Luzi Hail & Mark Lang & Christian Leuz, 2020, "Reproducibility in Accounting Research: Views of the Research Community," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 58, issue 2, pages 519-543, May, DOI: 10.1111/1475-679X.12305.
  6. Brandon Gipper & Christian Leuz & Mark Maffett, 2020, "Public Oversight and Reporting Credibility: Evidence from the PCAOB Audit Inspection Regime," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 10, pages 4532-4579.
  7. Stefan Mittnik & Willi Semmler & Alexander Haider, 2020, "Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model," Econometrics, MDPI, volume 8, issue 3, pages 1-27, August.

2019

  1. Hautsch, Nikolaus & Voigt, Stefan, 2019, "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 221-240, DOI: 10.1016/j.jeconom.2019.04.028.
  2. Hautsch, Nikolaus & Horvath, Akos, 2019, "How effective are trading pauses?," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 378-403, DOI: 10.1016/j.jfineco.2017.12.011.
  3. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019, "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 3, pages 419-435, July, DOI: 10.1080/07350015.2017.1356728.
  4. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2019, "Do demographics prevent consumption aggregates from reflecting micro-level preferences?," European Economic Review, Elsevier, volume 111, issue C, pages 166-190, DOI: 10.1016/j.euroecorev.2018.04.006.
  5. Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2019, "Pricing Derivatives In Hermite Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 06, pages 1-27, September, DOI: 10.1142/S0219024919500316.

2018

  1. Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018, "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, volume 162, issue C, pages 162-166, DOI: 10.1016/j.econlet.2017.11.022.
  2. Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2018, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 898-942.
  3. Christian Leuz, 2018, "Evidence-based policymaking: promise, challenges and opportunities for accounting and financial markets research," Accounting and Business Research, Taylor & Francis Journals, volume 48, issue 5, pages 582-608, July, DOI: 10.1080/00014788.2018.1470151.
  4. Mittnik, Stefan & Semmler, Willi, 2018, "Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence," Macroeconomic Dynamics, Cambridge University Press, volume 22, issue 1, pages 4-32, January.

2017

  1. Eva Sierminska & Christos Koulovatianos & Carsten Schröder, 2017, "Editorial to the Special Issue “The role of administrative data in empirical inequality research”," Journal of Income Distribution, Ad libros publications inc., volume 25, issue 1, pages 1-3, March.
  2. Krahnen Jan Pieter & Götz Martin R. & Tröger Tobias H., 2017, "Fünf Jahre nach dem Liikanen-Bericht: Was haben wir gelernt?," Perspektiven der Wirtschaftspolitik, De Gruyter, volume 18, issue 3, pages 205-225, October, DOI: 10.1515/pwp-2017-0018.
  3. Jan-Pieter Krahnen & Felix Noth & Ulrich Schüwer, 2017, "Structural Reforms in Banking: The Role of Trading," Journal of Financial Regulation, Oxford University Press, volume 3, issue 1, pages 66-88.
  4. Matthew J. Bloomfield & Ulf Brüggemann & Hans B. Christensen & Christian Leuz, 2017, "The Effect of Regulatory Harmonization on Cross‐Border Labor Migration: Evidence from the Accounting Profession," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 55, issue 1, pages 35-78, March, DOI: 10.1111/1475-679X.12155.

2016

  1. Bodnar, Taras & Hautsch, Nikolaus, 2016, "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 41-67, DOI: 10.1016/j.jempfin.2015.12.002.
  2. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016, "Systemic risk spillovers in the European banking and sovereign network," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 206-224, DOI: 10.1016/j.jfs.2015.10.006.
  3. Christian Leuz & Peter D. Wysocki, 2016, "The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 54, issue 2, pages 525-622, May, DOI: 10.1111/1475-679X.12115.
  4. Hans B. Christensen & Luzi Hail & Christian Leuz, 2016, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 11, pages 2885-2924.
  5. Ekkehard Ernst & Stefan Mittnik & Willi Semmler, 2016, "Interaction of Labour and Credit Market in Growth Regimes: A Theoretical and Empirical Analysis," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 45, issue 3, pages 393-422, November.

2015

  1. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015, "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, volume 19, issue 2, pages 685-738.
  2. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015, "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 263-290, March.
  3. Wolfgang K. Härdle & Nikolaus Hautsch & Andrija Mihoci, 2015, "Local Adaptive Multiplicative Error Models for High‐Frequency Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 529-550, June.
  4. Christos Koulovatianos, 2015, "Strategic Exploitation of a Common-Property Resource Under Rational Learning About its Reproduction," Dynamic Games and Applications, Springer, volume 5, issue 1, pages 94-119, March, DOI: 10.1007/s13235-014-0113-3.
  5. Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015, "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 512-520, DOI: 10.1016/j.jeconom.2015.02.035.
  6. Mittnik, Stefan & Robinzonov, Nikolay & Spindler, Martin, 2015, "Stock market volatility: Identifying major drivers and the nature of their impact," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 1-14, DOI: 10.1016/j.jbankfin.2015.04.003.

2014

  1. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014, "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, volume 30, issue 3, pages 781-794, DOI: 10.1016/j.ijforecast.2013.09.004.
  2. Bluhm, Marcel & Krahnen, Jan Pieter, 2014, "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, volume 13, issue C, pages 75-94, DOI: 10.1016/j.jfs.2014.04.002.
  3. Mittnik, Stefan, 2014, "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, volume 122, issue 1, pages 69-73, DOI: 10.1016/j.econlet.2013.10.025.

2013

  1. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013, "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 89-121, December.
  2. Nikolaus Hautsch & Mark Podolskij, 2013, "Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 31, issue 2, pages 165-183, April, DOI: 10.1080/07350015.2012.754313.
  3. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013, "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 8, pages 724-742, December.
  4. Antoniadou, Elena & Koulovatianos, Christos & Mirman, Leonard J., 2013, "Strategic exploitation of a common-property resource under uncertainty," Journal of Environmental Economics and Management, Elsevier, volume 65, issue 1, pages 28-39, DOI: 10.1016/j.jeem.2012.05.005.
  5. Jan Pieter Krahnen, 2013, "Rettung durch Regulierung? Eckpunkte des Liikanen-Berichts," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 14, issue 3-4, pages 167-185, August.
  6. Antje Brunner & Jan Pieter Krahnen, 2013, "Hold-up in multiple banking: evidence from SME lending," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 5, issue 1/2, pages 78-101.
  7. Holger Daske & Luzi Hail & Christian Leuz & Rodrigo Verdi, 2013, "Adopting a Label: Heterogeneity in the Economic Consequences Around IAS/IFRS Adoptions," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 51, issue 3, pages 495-547, June, DOI: 10.1111/1475-679X.12005.
  8. Christensen, Hans B. & Hail, Luzi & Leuz, Christian, 2013, "Mandatory IFRS reporting and changes in enforcement," Journal of Accounting and Economics, Elsevier, volume 56, issue 2, pages 147-177, DOI: 10.1016/j.jacceco.2013.10.007.
  9. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013, "Was bewegt den DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 66, issue 23, pages 32-36, December.
  10. Mittnik, Stefan & Semmler, Willi, 2013, "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 8, pages 1479-1499, DOI: 10.1016/j.jedc.2013.04.014.

2012

  1. Günter Franke, 2012, "Hostages, free lunches and institutional gaps: the case of the European Currency Union," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 26, issue 1, pages 61-85, March, DOI: 10.1007/s11408-011-0176-8.
  2. Franke, Günter & Herrmann, Markus & Weber, Thomas, 2012, "Loss Allocation in Securitization Transactions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 5, pages 1125-1153, October.
  3. Hautsch, Nikolaus & Yang, Fuyu, 2012, "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3774-3792, DOI: 10.1016/j.csda.2010.07.003.
  4. Hautsch, Nikolaus & Huang, Ruihong, 2012, "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 501-522, DOI: 10.1016/j.jedc.2011.09.012.
  5. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
  6. Hautsch, Nikolaus & Ou, Yangguoyi, 2012, "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2988-3007, DOI: 10.1016/j.jbankfin.2012.06.020.
  7. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012, "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 337-355, DOI: 10.1016/j.jimonfin.2011.11.013.
  8. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012, "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 625-645, June.
  9. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012, "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 1, pages 108-126, January, DOI: 10.1016/j.red.2011.01.002.
  10. Franke Günter & Krahnen Jan Pieter, 2012, "Marktkräfte und Finanzstabilität: Desiderata und Anreizwirkungen eines institutionellen Rahmens für Bankenrestrukturierung," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, volume 24, issue 5, pages 399-412, October, DOI: 10.15375/zbb-2012-0518.
  11. Mittnik, Stefan & Semmler, Willi, 2012, "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 502-522, DOI: 10.1016/j.jebo.2012.02.005.

2011

  1. Franke, Guenter & Schlesinger, Harris & Stapleton, Richard C., 2011, "Risk taking with additive and multiplicative background risks," Journal of Economic Theory, Elsevier, volume 146, issue 4, pages 1547-1568, July.
  2. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011, "When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions," Journal of Empirical Finance, Elsevier, volume 18, issue 2, pages 321-340, March.
  3. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011, "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, volume 35, issue 10, pages 2733-2746, October.
  4. Uri Benzion & Jan Krahnen & Tal Shavit, 2011, "Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach," Annals of Finance, Springer, volume 7, issue 2, pages 247-265, May, DOI: 10.1007/s10436-010-0172-4.
  5. Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2011, "Information Asymmetry, Information Precision, and the Cost of Capital," Review of Finance, European Finance Association, volume 16, issue 1, pages 1-29.

2010

  1. Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2010, "Evidence on the Insurance Effect of Redistributive Taxation," The Review of Economics and Statistics, MIT Press, volume 92, issue 4, pages 965-973, November.
  2. Christian Laux & Christian Leuz, 2010, "Did Fair-Value Accounting Contribute to the Financial Crisis?," Journal of Economic Perspectives, American Economic Association, volume 24, issue 1, pages 93-118, Winter.
  3. Christian Leuz, 2010, "Different approaches to corporate reporting regulation: How jurisdictions differ and why," Accounting and Business Research, Taylor & Francis Journals, volume 40, issue 3, pages 229-256, DOI: 10.1080/00014788.2010.9663398.
  4. Stefan Mittnik & Irina Starobinskaya, 2010, "Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks," Methodology and Computing in Applied Probability, Springer, volume 12, issue 3, pages 379-390, September, DOI: 10.1007/s11009-007-9066-y.

2009

  1. Günter Franke & Jan P. Krahnen, 2009, "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 10, issue 4, pages 335-366, November, DOI: 10.1111/j.1468-2516.2009.00313.x.
  2. Koulovatianos, Christos & Schrder, Carsten & Schmidt, Ulrich, 2009, "Nonmarket Household Time and the Cost of Children," Journal of Business & Economic Statistics, American Statistical Association, volume 27, pages 42-51.
  3. Koulovatianos, Christos & Mirman, Leonard J. & Santugini, Marc, 2009, "Optimal growth and uncertainty: Learning," Journal of Economic Theory, Elsevier, volume 144, issue 1, pages 280-295, January.
  4. Christos Koulovatianos & Polina Minkovski & Carsten Schröder, 2009, "Per-capita income versus household-need adjusted income: a cross-country comparison," Journal of Income Distribution, Ad libros publications inc., volume 18, issue 3-4, pages 11-23, September.
  5. Laux, Christian & Leuz, Christian, 2009, "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, volume 34, issue 6-7, pages 826-834, August.
  6. Hail, Luzi & Leuz, Christian, 2009, "Cost of capital effects and changes in growth expectations around U.S. cross-listings," Journal of Financial Economics, Elsevier, volume 93, issue 3, pages 428-454, September.
  7. Christian Leuz & Karl V. Lins & Francis E. Warnock, 2009, "Do Foreigners Invest Less in Poorly Governed Firms?," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 8, pages 3245-3285, August.
  8. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009, "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2129-2154, April.
  9. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009, "Differential evolution and combinatorial search for constrained index-tracking," Annals of Operations Research, Springer, volume 172, issue 1, pages 153-176, November, DOI: 10.1007/s10479-009-0552-1.

2008

  1. Günter Franke & Julia Hein, 2008, "Securitization of mezzanine capital in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 22, issue 3, pages 219-240, September, DOI: 10.1007/s11408-008-0082-x.
  2. Hautsch, Nikolaus, 2008, "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 12, pages 3978-4015, December.
  3. Christos Koulovatianos & Ulrich Schmidt & Carsten Schröder, 2008, "Arbeitslosengeld II: Arbeitsanreize und Verteilungsgerechtigkeit," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 88, issue 7, pages 461-466, July, DOI: 10.1007/s10273-008-0819-1.
  4. Antje Brunner & Jan Pieter Krahnen, 2008, "Multiple Lenders and Corporate Distress: Evidence on Debt Restructuring," The Review of Economic Studies, Review of Economic Studies Ltd, volume 75, issue 2, pages 415-442.
  5. Holger Daske & Luzi Hail & Christian Leuz & Rodrigo Verdi, 2008, "Mandatory IFRS Reporting around the World: Early Evidence on the Economic Consequences," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 46, issue 5, pages 1085-1142, December, DOI: 10.1111/j.1475-679X.2008.00306.x.
  6. Leuz, Christian & Triantis, Alexander & Yue Wang, Tracy, 2008, "Why do firms go dark? Causes and economic consequences of voluntary SEC deregistrations," Journal of Accounting and Economics, Elsevier, volume 45, issue 2-3, pages 181-208, August.
  7. Fulvio Corsi & Stefan Mittnik & Christian Pigorsch & Uta Pigorsch, 2008, "The Volatility of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, volume 27, issue 1-3, pages 46-78, DOI: 10.1080/07474930701853616.

2007

  1. Gerhard Frank & Hautsch Nikolaus, 2007, "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 11, issue 2, pages 1-42, May, DOI: 10.2202/1558-3708.1377.
  2. Hautsch, Nikolaus & Hess, Dieter, 2007, "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 42, issue 1, pages 189-208, March.
  3. Hall, Anthony D. & Hautsch, Nikolaus, 2007, "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, volume 10, issue 3, pages 249-286, August.
  4. Koulovatianos, Christos & Mirman, Leonard J., 2007, "The effects of market structure on industry growth: Rivalrous non-excludable capital," Journal of Economic Theory, Elsevier, volume 133, issue 1, pages 199-218, March.
  5. Richard Lambert & Christian Leuz & Robert E. Verrecchia, 2007, "Accounting Information, Disclosure, and the Cost of Capital," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 45, issue 2, pages 385-420, May, DOI: 10.1111/j.1475-679X.2007.00238.x.
  6. Leuz, Christian, 2007, "Was the Sarbanes-Oxley Act of 2002 really this costly? A discussion of evidence from event returns and going-private decisions," Journal of Accounting and Economics, Elsevier, volume 44, issue 1-2, pages 146-165, September.
  7. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007, "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 333-354, May, DOI: 10.1007/s10614-006-9071-1.

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, volume 9, issue 3, pages 213-237, November, DOI: 10.1007/s11147-007-9009-3.
  2. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2006, "Multiplicative Background Risk," Management Science, INFORMS, volume 52, issue 1, pages 146-153, January, DOI: 10.1287/mnsc.1050.0450.
  3. Luc Bauwens & Nikolaus Hautsch, 2006, "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 3, pages 450-493.
  4. Anthony Hall & Nikolaus Hautsch, 2006, "Order aggressiveness and order book dynamics," Empirical Economics, Springer, volume 30, issue 4, pages 973-1005, January, DOI: 10.1007/s00181-005-0008-7.
  5. Theurl Theresia & Krahnen Jan Pieter & Gehrig Thomas P., 2006, "Die Stabilität von Finanzmärkten:Wie kann die Wirtschaftspolitik Vertrauen schaffen?," Zeitschrift für Wirtschaftspolitik, De Gruyter, volume 55, issue 1, pages 45-69, April, DOI: 10.1515/zfwp-2006-0104.
  6. Luzi Hail & Christian Leuz, 2006, "International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 44, issue 3, pages 485-531, June, DOI: 10.1111/j.1475-679X.2006.00209.x.
  7. Leuz, Christian, 2006, "Cross listing, bonding and firms' reporting incentives: A discussion of Lang, Raedy and Wilson (2006)," Journal of Accounting and Economics, Elsevier, volume 42, issue 1-2, pages 285-299, October.
  8. Leuz, Christian & Oberholzer-Gee, Felix, 2006, "Political relationships, global financing, and corporate transparency: Evidence from Indonesia," Journal of Financial Economics, Elsevier, volume 81, issue 2, pages 411-439, August.
  9. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006, "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 4, pages 2295-2312, December.
  10. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006, "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, volume 2, issue 1, pages 28-54, April.
  11. Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006, "Value-at-Risk Prediction: A Comparison of Alternative Strategies," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 1, pages 53-89.
  12. Markus Haas & Stefan Mittnik & Marc Paolella, 2006, "Modelling and predicting market risk with Laplace-Gaussian mixture distributions," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 15, pages 1145-1162, DOI: 10.1080/09603100500438817.

2005

  1. Koulovatianos, Christos & Schroder, Carsten & Schmidt, Ulrich, 2005, "On the income dependence of equivalence scales," Journal of Public Economics, Elsevier, volume 89, issue 5-6, pages 967-996, June.
  2. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2005, "Properties of Equivalence Scales in Different Countries," Journal of Economics, Springer, volume 86, issue 1, pages 19-27, October, DOI: 10.1007/s00712-005-0141-y.
  3. Jan Pieter Krahnen, 2005, "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 6, issue 4, pages 499-519, November, DOI: 10.1111/j.1465-6493.2005.00193.x.
  4. Stijn Claessens & Jan Krahnen & William Lang, 2005, "The Basel II Reform and Retail Credit Markets," Journal of Financial Services Research, Springer;Western Finance Association, volume 28, issue 1, pages 5-13, October, DOI: 10.1007/s10693-005-4354-6.
  5. Bushee, Brian J. & Leuz, Christian, 2005, "Economic consequences of SEC disclosure regulation: evidence from the OTC bulletin board," Journal of Accounting and Economics, Elsevier, volume 39, issue 2, pages 233-264, June.

2004

  1. Guenter Franke & Richard Stapleton & Marti Subrahmanyam, 2004, "Background risk and the demand for state-contingent claims," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 23, issue 2, pages 321-335, January, DOI: 10.1007/s00199-003-0368-1.

2003

  1. Hautsch, Nikolaus & Klotz, Stefan, 2003, "Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions," Journal of Economic Behavior & Organization, Elsevier, volume 52, issue 1, pages 97-113, September.
  2. Nikolaus Hautsch, 2003, "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 2, pages 189-215.
  3. Nikolaus Hautsch & Joachim Inkmann, 2003, "Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations," Journal of Asset Management, Palgrave Macmillan, volume 4, issue 3, pages 173-198, September, DOI: 10.1057/palgrave.jam.2240102.
  4. Christian Leuz, 2003, "Discussion of ADRs, Analysts, and Accuracy: Does Cross‐Listing in the United States Improve a Firm's Information Environment and Increase Market Value?," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 41, issue 2, pages 347-362, May, DOI: 10.1111/1475-679X.00107.
  5. Christian Leuz, 2003, "IAS Versus U.S. GAAP: Information Asymmetry–Based Evidence from Germany's New Market," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 41, issue 3, pages 445-472, June, DOI: 10.1111/1475-679X.00112.
  6. Leuz, Christian & Nanda, Dhananjay & Wysocki, Peter D., 2003, "Earnings management and investor protection: an international comparison," Journal of Financial Economics, Elsevier, volume 69, issue 3, pages 505-527, September.
  7. Stefan Mittnik & Thorsten Neumann, 2003, "Time-Series Evidence on the Nonlinearity Hypothesis for Public Spending," Economic Inquiry, Western Economic Association International, volume 41, issue 4, pages 565-573, October.

2002

  1. Markus Herrmann & Günter Franke, 2002, "Performance and Policy of Foundation‐owned Firms in Germany," European Financial Management, European Financial Management Association, volume 8, issue 3, pages 261-279, September, DOI: 10.1111/1468-036X.00189.
  2. Gerhard, Frank & Hautsch, Nikolaus, 2002, "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, volume 9, issue 1, pages 57-89, January.
  3. Nikolaus Hautsch & Dieter Hess, 2002, "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, volume 6, issue 2, pages 133-161.
  4. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002, "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 1, pages 1-39, April, DOI: 10.2202/1558-3708.1001.
  5. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002, "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, volume 106, issue 1, pages 97-107, January.
  6. Holger Claessen & Stefan Mittnik, 2002, "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, volume 8, issue 3, pages 302-321, DOI: 10.1080/13518470110074828.

2001

  1. Krahnen, Jan Pieter & Weber, Martin, 2001, "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, volume 25, issue 1, pages 3-23, January.
  2. Kehr, Carl-Heinrich & Krahnen, Jan P. & Theissen, Erik, 2001, "The Anatomy of a Call Market," Journal of Financial Intermediation, Elsevier, volume 10, issue 3-4, pages 249-270, July.
  3. Jan Krahnen & Martin Weber, 2001, "Marketmaking in the Laboratory: Does Competition Matter?," Experimental Economics, Springer;Economic Science Association, volume 4, issue 1, pages 55-85, June, DOI: 10.1023/A:1011493421952.
  4. Franklin Allen & Hans Gersbach & Jan-Pieter Krahnen & Anthony M. Santomero, 2001, "Competition Among Banks: Introduction and Conference Overview," Review of Finance, European Finance Association, volume 5, issue 1-2, pages 1-11.
  5. Stefan Mittnik & Thorsten Neumann, 2001, "Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries," Empirical Economics, Springer, volume 26, issue 2, pages 429-446.

2000

  1. Franke, Gunter & Hess, Dieter, 2000, "Information diffusion in electronic and floor trading," Journal of Empirical Finance, Elsevier, volume 7, issue 5, pages 455-478, December.
  2. Günter Franke, 2000, "Geschäfts‐ und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, volume 1, issue 3, pages 301-318, August, DOI: 10.1111/1468-2516.00019.
  3. Leuz, C & Verrecchia, RE, 2000, "The economic consequences of increased disclosure," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 91-124, DOI: http://hdl.handle.net/10.2307/26729.
  4. Christian Leuz, 2000, "The Development Of Voluntary Cash Flow Statements In Germany And The Influence Of International Reporting Standards," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 52, issue 2, pages 182-207, April.
  5. Christian Leuz & Dieter Pfaff, 2000, "Tribute to Dieter Ordelheide," European Accounting Review, Taylor & Francis Journals, volume 9, issue 3, pages 345-347, DOI: 10.1080/09638180020017104.
  6. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000, "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, volume 7, issue 3-4, pages 389-416, November.
  7. Stefan Mittnik & Sascha Rieken, 2000, "Lower‐boundary violations and market efficiency: Evidence from the German DAX‐index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 20, issue 5, pages 405-424, May.

1999

  1. J. P. Krahnen & C. Rieck & E. Theissen, 1999, "Insider trading and portfolio structure in experimental asset markets with a long-lived asset," The European Journal of Finance, Taylor & Francis Journals, volume 5, issue 1, pages 29-50, DOI: 10.1080/135184799337172.

1998

  1. Günter Franke, 1998, "Transformation of Banks and Bank Services," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, volume 154, issue 1, pages 109-109, 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, volume 82, issue 1, pages 89-109, September.
  3. Elsas, Ralf & Krahnen, Jan Pieter, 1998, "Is relationship lending special? Evidence from credit-file data in Germany," Journal of Banking & Finance, Elsevier, volume 22, issue 10-11, pages 1283-1316, October.
  4. Christian Leuz, 1998, "The role of accrual accounting in restricting dividends to shareholders," European Accounting Review, Taylor & Francis Journals, volume 7, issue 4, pages 579-604, DOI: 10.1080/096381898336204.
  5. Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol, 1998, "Chi-Square-Type Distributions For Heavy-Tailed Variates," Econometric Theory, Cambridge University Press, volume 14, issue 3, pages 339-354, June.
  6. Hansen, Gerd & Kim, Jeong-Ryeol & Mittnik, Stefan, 1998, "Testing cointegrating coefficients in vector autoregressive error correction models," Economics Letters, Elsevier, volume 58, issue 1, pages 1-5, January.
  7. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998, "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 5, issue 2, pages 99-128, May, DOI: 10.1023/A:1010016831481.

1997

  1. Krahnen, Jan Pieter & Rieck, Christian & Theissen, Erik, 1997, "Inferring risk attitudes from certainty equivalents: Some lessons from an experimental study," Journal of Economic Psychology, Elsevier, volume 18, issue 5, pages 469-486, September.
  2. Guth, Werner & Krahnen, Jan P. & Rieck, Christian, 1997, "Financial markets with asymmetric information: A pilot study focusing on insider advantages," Journal of Economic Psychology, Elsevier, volume 18, issue 2-3, pages 235-257, April.
  3. Christian Leuz & Dominic Deller & Michael Stubenrath, 1997, "An International Comparison of Accounting-Based Payout Restrictions in the United States, United Kingdom and Germany," Accounting and Business Research, Taylor & Francis Journals, volume 28, issue 2, pages 111-129, July, DOI: 10.1080/00014788.1998.9728903.

1996

  1. Günter Franke, 1996, "Some Remarks on Modeling the Term Structure of Interest Rates," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 21, issue 1, pages 29-33, June.
  2. Kim Jeong-Ryeol & Mittnik Stefan & Rachev Svetlozar T., 1996, "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 1, issue 3, pages 1-15, October, DOI: 10.2202/1558-3708.1017.

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), volume 131, issue 4, pages 807-810, December.

1993

  1. Mittnik, Stefan & Zadrozny, Peter A, 1993, "Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models," Econometrica, Econometric Society, volume 61, issue 4, pages 857-870, July.
  2. Braun, Phillip A. & Mittnik, Stefan, 1993, "Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions," Journal of Econometrics, Elsevier, volume 59, issue 3, pages 319-341, October.

1991

  1. Franke, Gunter, 1991, "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, volume 10, issue 2, pages 292-307, June.
  2. Mittnik, Stefan, 1991, "Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models," Journal of Economic Dynamics and Control, Elsevier, volume 15, issue 4, pages 731-740, October.

1990

  1. Mittnik, Stefan, 1990, "Macroeconomic Forecasting Using Pooled International Data," Journal of Business & Economic Statistics, American Statistical Association, volume 8, issue 2, pages 205-208, April.
  2. Mittnik, Stefan, 1990, "Macroeconomic forecasting experience with balanced state space models," International Journal of Forecasting, Elsevier, volume 6, issue 3, pages 337-348, October.

1987

  1. Mittnik, Stefan, 1987, "The determination of the state covariance matrix of moving-average processes without computation," Economics Letters, Elsevier, volume 23, issue 2, pages 177-179.
  2. Mittnik, Stefan, 1987, "Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes," Economics Letters, Elsevier, volume 23, issue 3, pages 279-284.
  3. Mittnik, Stefan, 1987, "Macroeconomic dynamics and econometric modelling," European Journal of Operational Research, Elsevier, volume 30, issue 3, pages 258-261, June.

1986

  1. Mittnik Stefan, 1986, "Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and its Pitfalls," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 201, issue 5, pages 518-526, May, DOI: 10.1515/jbnst-1986-0507.

1977

  1. Franke, Gunter, 1977, "An Inter-Temporal Approach to the Optimization of Dividend Policy with Pre-Determined Investment: Reply," Journal of Finance, American Finance Association, volume 32, issue 4, pages 1362-1362, September.

1974

  1. Franke, Gunter, 1974, "Optimization of Dividend Policy and Capital Structure with Predetermined Investments: Comment," Journal of Finance, American Finance Association, volume 29, issue 1, pages 260-263, March.

Books

2012

  1. Nikolaus Hautsch, 2012, "Econometrics of Financial High-Frequency Data," Springer Books, Springer, number 978-3-642-21925-2, ISBN: ARRAY(0x71cd8c68), DOI: 10.1007/978-3-642-21925-2.

2011

  1. Allen, Franklin & Carletti, Elena & Krahnen, Jan Pieter & Tyrell, Marcel (ed.), 2011, "Liquidity and Crises," OUP Catalogue, Oxford University Press, number 9780195390711, ISBN: ARRAY(0x83044cf8).
  2. Allen, Franklin & Carletti, Elena & Krahnen, Jan Pieter & Tyrell, Marcel (ed.), 2011, "Liquidity and Crises," OUP Catalogue, Oxford University Press, number 9780195390704, ISBN: ARRAY(0x81f8f990).

2008

  1. Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), 2008, "Applied Quantitative Finance," Springer Books, Springer, number 978-3-540-69179-2, edition 2, ISBN: ARRAY(0x72cf60d0), DOI: 10.1007/978-3-540-69179-2.

2005

  1. Leuz, Christian & Pfaff, Dieter & Hopwood, Anthony (ed.), 2005, "The Economics and Politics of Accounting: International Perspectives on Research Trends, Policy, and Practice," OUP Catalogue, Oxford University Press, number 9780199286782, ISBN: ARRAY(0x8255db28).

2004

  1. Krahnen, Jan P. & Schmidt, Reinhard H. (ed.), 2004, "The German Financial System," OUP Catalogue, Oxford University Press, number 9780199253166, ISBN: ARRAY(0x80ff3640).
  2. Leuz, Christian & Pfaff, Dieter & Hopwood, Anthony (ed.), 2004, "The Economics and Politics of Accounting: International Perspectives on Trends, Policy, and Practice," OUP Catalogue, Oxford University Press, number 9780199260621, ISBN: ARRAY(0x80eaf210).

Chapters

2025

  1. Stefan Voigt & Nikolaus Hautsch & Christoph Scheuch, 2025, "Limits to Arbitrage for Blockchain-Based Assets," Springer Books, Springer, chapter 0, in: Daniel Liebau & Simon Trimborn, "The Blockchain Scholars Book", DOI: 10.1007/978-981-95-2844-8_13.

2023

  1. Christos Koulovatianos & Carsten Schröder, 2023, "Income-dependent equivalence scales and choice theory: implications for poverty measurement," Chapters, Edward Elgar Publishing, chapter 4, in: Jacques Silber, "Research Handbook on Measuring Poverty and Deprivation".

2014

  1. Stefan Mittnik & Willi Semmler, 2014, "Estimating a Banking-Macro Model Using a Multi-regime VAR," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Frauke Schleer-van Gellecom, "Advances in Non-linear Economic Modeling", DOI: 10.1007/978-3-642-42039-9_1.
  2. Stefan Mittnik & Willi Semmler & Mika Kato & Daniel Samaan, 2014, "Modeling the Dynamics of the Transition to a Green Economy," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Elke Moser & Willi Semmler & Gernot Tragler & Vladimir M. Veliov, "Dynamic Optimization in Environmental Economics", DOI: 10.1007/978-3-642-54086-8_4.

2010

  1. Christian Leuz & Karl V. Lins & Francis E. Warnock, 2010, "Do Foreigners Invest Less in Poorly Governed Firms?," NBER Chapters, National Bureau of Economic Research, Inc, "Corporate Governance".

2009

  1. Nikolaus Hautsch & Yangguoyi Ou, 2009, "Stochastic Volatility Estimation Using Markov Chain Simulation," Springer Books, Springer, chapter 12, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_12.
  2. Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2009, "Measuring and Modeling Risk Using High-Frequency Data," Springer Books, Springer, chapter 13, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_13.
  3. Nikolaus Hautsch & Vahidin Jeleskovic, 2009, "High-Frequency Volatility and Liquidity," Springer Books, Springer, chapter 19, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck, "Applied Quantitative Finance", DOI: 10.1007/978-3-540-69179-2_19.
  4. Luc Bauwens & Nikolaus Hautsch, 2009, "Modelling Financial High Frequency Data Using Point Processes," Springer Books, Springer, chapter 41, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen, "Handbook of Financial Time Series", DOI: 10.1007/978-3-540-71297-8_41.
  5. Markus Haas & Stefan Mittnik, 2009, "Portfolio Selection with Common Correlation Mixture Models," Contributions to Economics, Springer, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth, "Risk Assessment", DOI: 10.1007/978-3-7908-2050-8_4.

2008

  1. Anthony D. Hall & Nikolaus Hautsch, 2008, "Order aggressiveness and order book dynamics," Studies in Empirical Economics, Springer, in: Luc Bauwens & Winfried Pohlmeier & David Veredas, "High Frequency Financial Econometrics", DOI: 10.1007/978-3-7908-1992-2_7.

2007

  1. Gunter Franke & Jan Pieter Krahnen, 2007, "Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Chapters, National Bureau of Economic Research, Inc, "The Risks of Financial Institutions".
  2. Stefan Mittnik & Klaus Wohlrabe, 2007, "On the Methodology of Business Cycle Analysis," Chapters, Edward Elgar Publishing, chapter 17, in: Georg Goldrian, "Handbook of Survey-Based Business Cycle Analysis".

2005

  1. Stefan Mittnik & Peter Zadrozny, 2005, "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data," Contributions to Economics, Springer, in: Jan-Egbert Sturm & Timo Wollmershäuser, "Ifo Survey Data in Business Cycle and Monetary Policy Analysis", DOI: 10.1007/3-7908-1605-1_2.

Software components

2011

  1. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011, "Code and data files for "Saving Rates and Portfolio Choice with Subsistence Consumption"," Computer Codes, Review of Economic Dynamics, number 10-11, revised .

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.