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Publications

by members of

Center for Financial Studies
Frankfurt, Germany

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.
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Working papers

Undated material is listed at the end

2023

  1. Pietro Bonetti & Christian Leuz & Giovanna Michelon, 2023. "Internalizing Externalities: Disclosure Regulation for Hydraulic Fracturing, Drilling Activity and Water Quality," NBER Working Papers 30842, National Bureau of Economic Research, Inc.
  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 30927, National Bureau of Economic Research, Inc.

2022

  1. Rafael Reisenhofer & Xandro Bayer & Nikolaus Hautsch, 2022. "HARNet: A Convolutional Neural Network for Realized Volatility Forecasting," Papers 2205.07719, arXiv.org.
  2. Christos Koulovatianos & Carsten Schröder, 2022. "Income-Dependent Equivalence Scales and Choice Theory: Implications for Poverty Measurement," SOEPpapers on Multidisciplinary Panel Data Research 1157, DIW Berlin, The German Socio-Economic Panel (SOEP).
  3. Rainer Haselmann & Christian Leuz & Sebastian Schreiber, 2022. "Know Your Customer: Informed Trading by Banks," NBER Working Papers 30521, National Bureau of Economic Research, Inc.
  4. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
  5. 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 2210.14266, arXiv.org.

2021

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  2. Gipper, Brandon & Hail, Luzi & Leuz, Christian, 2021. "Determinants and career consequences of early audit partner rotations," CFS Working Paper Series 676, Center for Financial Studies (CFS).
  3. Haselmann, Rainer & Leuz, Christian & Schreiber, Sebastian, 2021. "Know Your Customer: Relationship Lending and Bank Trading," LawFin Working Paper Series 22, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  4. Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021. "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers 2109.15051, arXiv.org, 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 640, Center for Financial Studies (CFS).
  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 74, Leibniz Institute for Financial Research SAFE.
  3. Bischof, Jannis & Laux, Christian & Leuz, Christian, 2020. "Accounting for financial stability: Lessons from the financial crisis and future challenges," SAFE Working Paper Series 283, Leibniz Institute for Financial Research SAFE.
  4. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020. "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers 2009.11367, arXiv.org, 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 625, Center for Financial Studies (CFS).
  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 626, Center for Financial Studies (CFS).
  3. Hakobyan, Zaruhi & Koulovatianos, Christos, 2019. "Symmetric Markovian games of commons with potentially sustainable endogenous growth," CFS Working Paper Series 638, Center for Financial Studies (CFS).
  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 72, Leibniz Institute for Financial Research SAFE.
  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 2, Leibniz Institute for Financial Research SAFE.
  6. Krahnen, Jan Pieter, 2019. "Target balances and financial crises," SAFE Policy Letters 71, Leibniz Institute for Financial Research SAFE.
  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 73, Leibniz Institute for Financial Research SAFE.
  8. Hans B. Christensen & Luzi Hail & Christian Leuz, 2019. "Mandatory CSR and Sustainability Reporting: Economic Analysis and Literature Review," NBER Working Papers 26169, National Bureau of Economic Research, Inc.
  9. Matthias Breuer & Christian Leuz & Steven Vanhaverbeke, 2019. "Reporting Regulation and Corporate Innovation," NBER Working Papers 26291, National Bureau of Economic Research, Inc.
  10. Stefan Mittnik & Willi Semmler & Alexander Haider, 2019. "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers 2019/145, International Monetary Fund.

2018

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

2017

  1. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).
  2. Hautsch, Nikolaus & Horvath, Akos, 2017. "How effective are trading pauses?," CFS Working Paper Series 571, Center for Financial Studies (CFS).
  3. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
  4. 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 1709.08238, arXiv.org, revised Jan 2021.
  5. 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 581, Center for Financial Studies (CFS).
  6. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
  7. 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 168222, Verein für Socialpolitik / German Economic Association.
  8. Goldstein, Joshua R. & Koulovatianos, Christos & Li, Jian & Schröder, Carsten, 2017. "Evaluating how child allowances and daycare subsidies affect fertility," CFS Working Paper Series 568, Center for Financial Studies (CFS).
  9. Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2017. "Market fragility and the paradox of the recent stock-bond dissonance," CFS Working Paper Series 589, Center for Financial Studies (CFS).
  10. Franke, Günter & Krahnen, Jan Pieter, 2017. "SME funding without banks? On the interplay of banks and markets," SAFE White Paper Series 44, Leibniz Institute for Financial Research SAFE.
  11. 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 55, Leibniz Institute for Financial Research SAFE.
  12. Götz, Martin & Krahnen, Jan Pieter & Tröger, Tobias, 2017. "Five years after the Liikanen Report: What have we learned?," SAFE White Paper Series 50, Leibniz Institute for Financial Research SAFE.
  13. 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 54, Leibniz Institute for Financial Research SAFE.
  14. Gipper, Brandon & Hail, Luzi & Leuz, Christian, 2017. "On the Economics of Audit Partner Tenure and Rotation: Evidence from PCAOB Data," Research Papers repec:ecl:stabus:3588, Stanford University, Graduate School of Business.
  15. 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 24083, National Bureau of Economic Research, Inc.
  16. João Granja & Christian Leuz, 2017. "The Death of a Regulator: Strict Supervision, Bank Lending, and Business Activity," NBER Working Papers 24168, National Bureau of Economic Research, Inc.
  17. 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 1710.03211, arXiv.org, revised Feb 2020.
  18. 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 83669, University Library of Munich, Germany.

2016

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

2015

  1. Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
  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 51, Leibniz Institute for Financial Research SAFE.
  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 47, Leibniz Institute for Financial Research SAFE.
  4. Krahnen, Jan Pieter, 2015. "Drei Thesen zur Griechenlandkrise," SAFE Policy Letters 41, Leibniz Institute for Financial Research SAFE.
  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 46, Leibniz Institute for Financial Research SAFE.
  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 27, Leibniz Institute for Financial Research SAFE.
  7. Krahnen, Jan Pieter, 2015. "Three theses on the Greek crisis," SAFE Policy Letters 42, Leibniz Institute for Financial Research SAFE.
  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 5661, CESifo.
  9. Brandon Gipper & Christian Leuz & Mark Maffett, 2015. "Public Audit Oversight and Reporting Credibility: Evidence from the PCAOB Inspection Regime," NBER Working Papers 21530, National Bureau of Economic Research, Inc.

2014

  1. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2014. "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models," SFB 649 Discussion Papers SFB649DP2014-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2014. "Systemic risk spillovers in the European banking and sovereign network," CFS Working Paper Series 467, Center for Financial Studies (CFS).
  3. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," CFS Working Paper Series 477, Center for Financial Studies (CFS).
  4. Cebiroglu, Gökhan & Hautsch, Nikolaus & Horst, Ulrich, 2014. "Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?," CFS Working Paper Series 468, Center for Financial Studies (CFS).
  5. Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," SFB 649 Discussion Papers SFB649DP2014-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. 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 056, School of Economics, University of East Anglia, Norwich, UK..
  7. Christos Koulovatianos, 2014. "Strategic Exploitation of a Common-Property Resource Under Rational Learning About its Reproduction," DEM Discussion Paper Series 14-06, Department of Economics at the University of Luxembourg.
  8. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2014. "Do demographics prevent consumer aggregates from reflecting micro-level preferences?," CFS Working Paper Series 484, Center for Financial Studies (CFS).
  9. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2014. "Fitting parsimonious household- portfolio models to data," CFS Working Paper Series 489, Center for Financial Studies (CFS).
  10. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Endogenous banks' networks, cascades and systemic risk," SAFE Working Paper Series 12, Leibniz Institute for Financial Research SAFE, revised 2014.
  11. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," SAFE Working Paper Series 48, Leibniz Institute for Financial Research SAFE.
  12. Bluhm, Marcel & Faia, Ester & Krahnen, Jan Pieter, 2014. "Monetary policy implementation in an interbank network: Effects on systemic risk," SAFE Working Paper Series 46, Leibniz Institute for Financial Research SAFE.
  13. Krahnen, Jan Pieter & Ockenfels, Peter & Wilde, Christian, 2014. "Measuring ambiguity aversion: A systematic experimental approach," SAFE Working Paper Series 55, Leibniz Institute for Financial Research SAFE.
  14. Franke, Günter & Krahnen, Jan Pieter & von Lüpke, Thomas, 2014. "Effective resolution of banks: Problems and solutions," SAFE White Paper Series 19, Leibniz Institute for Financial Research SAFE.
  15. Krahnen, Jan Pieter, 2014. "Finanzmärkte: Mut zu radikaler Ordnungspolitik," SAFE Policy Letters 17, Leibniz Institute for Financial Research SAFE.
  16. 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 21, Leibniz Institute for Financial Research SAFE.
  17. Krahnen, Jan Pieter, 2014. "Keine Institutionenkonkurrenz auf nationaler Ebene schaffen: Das "doppelte AIDA"-Modell," SAFE Policy Letters 30, Leibniz Institute for Financial Research SAFE.
  18. Krahnen, Jan Pieter, 2014. "Bail-In jetzt richtig umsetzen," SAFE Policy Letters 34, Leibniz Institute for Financial Research SAFE.
  19. Krahnen, Jan Pieter, 2014. "Implementing bail-in properly," SAFE Policy Letters 35, Leibniz Institute for Financial Research SAFE.
  20. Mittnik, Stefan & Semmler, Willi, 2014. "Overleveraging, financial fragility and the banking-macro link: Theory and empirical evidence," ZEW Discussion Papers 14-110, ZEW - Leibniz Centre for European Economic Research.

2013

  1. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2013. "Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?," SFB 649 Discussion Papers SFB649DP2013-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2013. "Forecasting systemic impact in financial networks," SFB 649 Discussion Papers SFB649DP2013-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2013. "Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency," SFB 649 Discussion Papers SFB649DP2013-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Sylwia Hubar & Christos Koulovatianos & Jian Li, 2013. "Analytical Guidance for Fitting Parsimonious Household-Portfolio Models to Data," DEM Discussion Paper Series 13-16, Department of Economics at the University of Luxembourg.
  5. Carolina Achury & Christos Koulovatianos & John Tsoukalas, 2013. "Political Economics of External Sovereign Defaults," DEM Discussion Paper Series 13-23, Department of Economics at the University of Luxembourg.
  6. Krahnen, Jan Pieter, 2013. "Rettung durch Regulierung? Eckpunkte des Liikanen-Berichts," SAFE White Paper Series 8, Leibniz Institute for Financial Research SAFE.
  7. Krahnen, Jan Pieter, 2013. "Rescue by regulation? Key points of the Liikanen report," SAFE White Paper Series 9, Leibniz Institute for Financial Research SAFE.
  8. 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 10, Leibniz Institute for Financial Research SAFE.
  9. Krahnen, Jan Pieter, 2013. "A big bang for banking in Europe," SAFE Policy Letters 16, Leibniz Institute for Financial Research SAFE.
  10. 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 3, Leibniz Institute for Financial Research SAFE.
  11. Krahnen, Jan Pieter & Weimer, Theodor, 2013. "Gesprächsreihe zu Strukturreformen im europäischen Bankensektor: Die Auswirkungen von Regulierung auf Bankverhalten und Wettbewerb," SAFE Policy Letters 12, Leibniz Institute for Financial Research SAFE.
  12. Krahnen, Jan Pieter & Kemmer, Michael, 2013. "Gesprächsreihe zu Strukturreformen im europäischen Bankensektor: Zukunft der Universalbanken," SAFE Policy Letters 9, Leibniz Institute for Financial Research SAFE.
  13. Krahnen, Jan Pieter, 2013. "Deposit insurance suitable for Europe: Proposal for a three-stage deposit guarantee scheme with limited European liability," SAFE Policy Letters 8, Leibniz Institute for Financial Research SAFE.
  14. Krahnen, Jan Pieter & Mayer, Thomas, 2013. "Gesprächsreihe zu Strukturreformen im Europäischen Bankensektor: Managementvergütung im Bankensektor," SAFE Policy Letters 4, Leibniz Institute for Financial Research SAFE.
  15. Guenter Franke & Harris Schlesinger & Richard C. Stapleton, 2013. "Risk-Taking-Neutral Background Risk," CESifo Working Paper Series 4070, CESifo.
  16. Bruggemann, Ulf & Kaul, Aditya & Leuz, Christian & Werner, Ingrid M., 2013. "The Twilight Zone: OTC Regulatory Regimes and Market Quality," Working Paper Series 2013-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  17. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
  18. Stefan Mittnik & Willi Semmler, 2013. "The Real Consequences of Financial Stress," SFB 649 Discussion Papers SFB649DP2013-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  19. Mittnik, Stefan, 2013. "VaR-implied tail-correlation matrices," CFS Working Paper Series 2013/05, Center for Financial Studies (CFS).

2012

  1. Nikolaus Hautsch & Ruihong Huang, 2012. "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements," SFB 649 Discussion Papers SFB649DP2012-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2012. "Local Adaptive Multiplicative Error Models for High-Frequency Forecasts," SFB 649 Discussion Papers SFB649DP2012-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Taras Bodnar & Nikolaus Hautsch, 2012. "Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2012-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Nikolaus Hautsch & Julia Schuamburg & Melanie Schienle, 2012. "Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series," SFB 649 Discussion Papers SFB649DP2012-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.

2011

  1. Axel Groß-Klußmann & Nikolaus Hautsch, 2011. "Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models," SFB 649 Discussion Papers SFB649DP2011-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. 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 3532, CESifo.
  6. Christos Koulovatianos, 2011. "A Paradox of Environmental Awareness Campaigns," Levine's Working Paper Archive 786969000000000041, David K. Levine.
  7. Wieland, Volker & Koulovatianos, Christos, 2011. "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers 8514, C.E.P.R. Discussion Papers.
  8. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2011. "Investment in a Monopoly with Bayesian Learning," Cahiers de recherche 11-05, HEC Montréal, Institut d'économie appliquée.
  9. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2011. "Online Appendix to "Saving Rates and Portfolio Choice with Subsistence Consumption"," Online Appendices 10-11, Review of Economic Dynamics.
  10. Gropp, Reint E. & Hirsch, Christian & Krahnen, Jan Pieter, 2011. "Is rated debt arm's length? Evidence from mergers and acquisitions," CFS Working Paper Series 2011/10, Center for Financial Studies (CFS).
  11. Bluhm, Marcel & Krahnen, Jan Pieter, 2011. "Default risk in an interconnected banking system with endogeneous asset markets," CFS Working Paper Series 2011/19, Center for Financial Studies (CFS).
  12. 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 42, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  13. 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 44, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  14. Günter Franke & Markus Herrmann & Thomas Weber, 2011. "Loss Allocation in Securitization Transactions," Working Paper Series of the Department of Economics, University of Konstanz 2011-22, Department of Economics, University of Konstanz.
  15. Günter Franke & Ferdinand Graf, 2011. "Does Portfolio Optimization Pay?," Working Paper Series of the Department of Economics, University of Konstanz 2011-19, Department of Economics, University of Konstanz.
  16. 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 2011-25, Department of Economics, University of Konstanz.
  17. Günter Franke & Thomas Weber, 2011. "Tranching and Pricing in CDO-Transactions," Working Paper Series of the Department of Economics, University of Konstanz 2011-21, Department of Economics, University of Konstanz.
  18. 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 2011-47, Department of Economics, University of Konstanz.
  19. Hans B. Christensen & Luzi Hail & Christian Leuz, 2011. "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," NBER Working Papers 16737, National Bureau of Economic Research, Inc.
  20. Stefan Mittnik & Willi Semmler, 2011. "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers c016_080, DEGIT, Dynamics, Economic Growth, and International Trade.
  21. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent) 070, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

2010

  1. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility," SFB 649 Discussion Papers SFB649DP2010-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Fuyu Yang, 2010. "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model," SFB 649 Discussion Papers SFB649DP2010-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. 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 2010-29, Department of Economics and Business Economics, Aarhus University.
  4. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2010. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," SFB 649 Discussion Papers SFB649DP2010-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2010. "Confronting the Representative Consumer with Household-Size Heterogeneity," Discussion Papers of DIW Berlin 1056, DIW Berlin, German Institute for Economic Research.
  6. Carsten Schr der & Polina Minkovski & Christos Koulovatianos, 2010. "Per Capita Income Versus Household-Need Adjusted Income: A Cross-Country Comparison," LIS Working papers 528, LIS Cross-National Data Center in Luxembourg.
  7. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2010. "Saving Rates and Portfolio Choice with Subsistence Consumption," Discussion Papers 10/01, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  8. Brunner, Antje & Krahnen, Jan Pieter, 2010. "Hold-up in multiple banking: Evidence from SME lending," CFS Working Paper Series 2010/07, Center for Financial Studies (CFS).
  9. Krahnen, Jan Pieter & Siekmann, Helmut, 2010. "Rettungsstrategie ohne Moral Hazard: Versuch eines Gesamtkonzepts zur Bankkrisenvermeidung," IMFS Working Paper Series 38, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  10. 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 2010-11, Department of Economics, University of Konstanz.
  11. Christensen, Hans B. & Hail, Luzi & Leuz, Christian, 2010. "Capital-Market Effects of Securities Regulation: The Role of Implementation and Enforcement," Working Papers 241, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.

2009

  1. Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci, 2009. "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2009-044, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Lada M. Kyj & Roel C.A. Oomen, 2009. "A blocking and regularization approach to high dimensional realized covariance estimation," SFB 649 Discussion Papers SFB649DP2009-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Axel Groß-Klußmann & Nikolaus Hautsch, 2009. "Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements," SFB 649 Discussion Papers SFB649DP2009-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
  6. Hautsch, Nikolaus & Ou, Yangguoyi, 2009. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," CFS Working Paper Series 2009/03, Center for Financial Studies (CFS).
  7. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series 2009/18, Center for Financial Studies (CFS).
  8. Jan Pieter Krahnen & Christian Wilde, 2009. "CDOs and Systematic Risk: Why bond ratings are inadequate," Working Paper Series: Finance and Accounting 203, Department of Finance, Goethe University Frankfurt am Main.
  9. Franke, Günter & Krahnen, Jan Pieter, 2009. "Instabile Finanzmärkte," CFS Working Paper Series 2009/13, Center for Financial Studies (CFS).
  10. Richard A. Lambert & Christian Leuz & Robert E. Verrecchia, 2009. "Information Asymmetry, Information Precision, and the Cost of Capital," NBER Working Papers 14881, National Bureau of Economic Research, Inc.
  11. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc.
  12. Christian Laux & Christian Leuz, 2009. "Did Fair-Value Accounting Contribute to the Financial Crisis?," NBER Working Papers 15515, National Bureau of Economic Research, Inc.
  13. Laux, Christian & Leuz, Christian, 2009. "The crisis of fair value accounting: Making sense of the recent debate," CFS Working Paper Series 2009/09, Center for Financial Studies (CFS).
  14. 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) 0016, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  15. 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 2009-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  16. Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009. "Financial market meltdown and a need for new financial regulations," Published Paper Series 2009-8, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

2008

  1. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," SFB 649 Discussion Papers SFB649DP2008-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia," SFB 649 Discussion Papers SFB649DP2008-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Nikolaus Hautsch & Vahidin Jeleskovic, 2008. "Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models," SFB 649 Discussion Papers SFB649DP2008-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2008. "Measuring and Modeling Risk Using High-Frequency Data," SFB 649 Discussion Papers SFB649DP2008-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Nikolaus Hautsch, 2008. "Testing Multiplicative Error Models Using Conditional Moment Tests," SFB 649 Discussion Papers SFB649DP2008-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2008. "Confronting the Robinson Crusoe paradigm with household-size heterogeneity," CFS Working Paper Series 2008/24, Center for Financial Studies (CFS).
  8. Michaelides, Alexander & Grant, Charles & Padula, Mario & Koulovatianos, Christos, 2008. "Evidence on the Insurance Effect of Marginal Income Taxes," CEPR Discussion Papers 6710, C.E.P.R. Discussion Papers.
  9. Carsten SCHRÖDER & Christos KOULOVATIANOS & Ulrich SCHMIDT, 2008. "Family-type Subistence Incomes," EcoMod2008 23800128, EcoMod.
  10. Charles Grant & Christos Koulovatianos & Alexander Michaelides & Mario Padula, 2008. "Evidence on the Insurance Effect of Redistributive Taxation," Discussion Papers 0809, University of Exeter, Department of Economics.
  11. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2008. "Nonmarket Household Time and the Cost of Children," Discussion Papers 08/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  12. Jan Pieter Krahnen & Christian Wilde, 2008. "Risk Transfer with CDOs," Working Paper Series: Finance and Accounting 187, Department of Finance, Goethe University Frankfurt am Main.
  13. Franke, Günter & Krahnen, Jan Pieter, 2008. "The future of securitization," CFS Working Paper Series 2008/31, Center for Financial Studies (CFS).
  14. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
  15. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
  16. Mittnik, Stefan & Yener, Tina, 2008. "Value-at-Risk and expected shortfall for rare events," CFS Working Paper Series 2008/14, Center for Financial Studies (CFS).

2007

  1. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Christos Koulovatianos & Leonard J. Mirman & Marc Santugini, 2007. "Optimal Growth and Uncertainty: Learning," Cahiers de recherche 07-05, HEC Montréal, Institut d'économie appliquée, revised Feb 2008.
  3. Koulovatianos, Christos & Schmidt, Ulrich & Schröder, Carsten, 2007. "Arbeitslosengeld II: Arbeitsanreize und Verteilungsgerechtigkeit," Kiel Working Papers 1390, Kiel Institute for the World Economy (IfW Kiel).
  4. Christos Koulovatianos & Elena Antoniadou & Leonard J.Mirman, 2007. "Strategic Exploitation of a Common-Property Resource under Uncertainty," Vienna Economics Papers vie0703, University of Vienna, Department of Economics.
  5. Uri Ben-Zion & Jan Pieter Krahnen & TAL SHAVIT, 2007. "Subjective Evaluation Of Delayed Risky Outcomes: An Experimental Approach," Working Papers 0709, Ben-Gurion University of the Negev, Department of Economics.
  6. Leuz, Christian & Lins, Karl V. & Warnock, Francis E., 2007. "Do Foreigners Invest Less in Poorly Governed Firms?," Working Papers 07-2, University of Pennsylvania, Wharton School, Weiss Center.

2006

  1. Frank Gerhard & Nikolaus Hautsch, 2006. "A Dynamic Semiparametric Proportional Hazard Model," FRU Working Papers 2006/05, University of Copenhagen. Department of Economics. Finance Research Unit.
  2. Nikolaus Hautsch, 2006. "Testing the Conditional Mean Function of Autoregressive Conditional Duration Models," FRU Working Papers 2006/06, University of Copenhagen. Department of Economics. Finance Research Unit.
  3. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  4. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Stochastic conditional intensity processes," LIDAM Reprints CORE 1937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.
  6. Jan Pieter Krahnen, 2006. "Die Stabilität von Finanzmärkten: Wie kann die Wirtschaftspolitik Vertrauen schaffen?," Working Paper Series: Finance and Accounting 164, Department of Finance, Goethe University Frankfurt am Main.
  7. Krahnen, Jan Pieter & Wilde, Christian, 2006. "Risk transfer with CDOs and systemic risk in bankingfam," CFS Working Paper Series 2006/04, Center for Financial Studies (CFS).
  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 06-06, University of Cologne, Centre for Financial Research (CFR).
  9. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006. "Multivariate normal mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies (CFS).
  10. Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series 2006/24, Center for Financial Studies (CFS).
  11. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).

2005

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

2004

  1. Nikolaus Hautsch & Dieter Hess, 2004. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers 04-17, University of Copenhagen. Department of Economics.
  2. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
  4. Christos Koulovatianos & Leonard J. Mirman, 2004. "The Effects of Market Structure on Industry Growth," 2004 Meeting Papers 639, Society for Economic Dynamics.
  5. Christos Koulovatianos & Carsten Schroder & Ulrich Schmidt, 2004. "On the Income Dependence of Equivalence Scales," University of Cyprus Working Papers in Economics 1-2004, University of Cyprus Department of Economics.
  6. Christos Koulovatianos & Leonard J. Mirman, 2004. "Endogenous Public Policy and Long-Run Growth," University of Cyprus Working Papers in Economics 2-2004, University of Cyprus Department of Economics.
  7. Krahnen, Jan-Pieter & Brunner, Antje, 2004. "Multiple Lenders and Corporate Distress: Evidence on Debt Restructuring," CEPR Discussion Papers 4287, C.E.P.R. Discussion Papers.
  8. Stefan Mittnik & Peter A. Zadrozny, 2004. "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data," CESifo Working Paper Series 1203, CESifo.
  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 200424, Rutgers University, Department of Economics.

2003

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

2002

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

2001

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

2000

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

1999

  1. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, University Library of Munich, Germany.
  2. Gerhard, Frank & Hautsch, Nikolaus, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers 99/19, University of Konstanz, Center of Finance and Econometrics (CoFE).
  3. 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 1, Department of Finance, Goethe University Frankfurt am Main.
  4. Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-.
  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 40, Department of Finance, Goethe University Frankfurt am Main.
  6. Robert E. Verrecchia & Christian Leuz, 1999. "The Economic Consequences of Increased Disclosure," Working Paper Series: Finance and Accounting 41, Department of Finance, Goethe University Frankfurt am Main.

1998

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

1997

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

1996

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

1995

  1. 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 993121643402676, International Labour Organization.
  2. 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 253, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  3. Franke, Günter & Hess, Dieter, 1995. "Anonymous electronic trading versus floor trading," Discussion Papers, Series II 285, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

1993

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

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 181, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  2. Franke, Günter & Menichetti, Marco J., 1992. "Die Bilanzierung von Terminkontrakten und Optionen bei Einsatz im Risikomanagement," Discussion Papers, Series II 197, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

1990

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

1989

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

1988

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

1987

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

1986

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

1985

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

1983

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

Undated

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

Journal articles

2022

  1. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.
  2. João Granja & Christian Leuz & Raghuram G. Rajan, 2022. "Going the Extra Mile: Distant Lending and Credit Cycles," Journal of Finance, American Finance Association, vol. 77(2), pages 1259-1324, April.
  3. 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, vol. 91(3), pages 11-44.
  4. 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, vol. 15(12), pages 1-11, December.
  5. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022. "Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation," JRFM, MDPI, vol. 15(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]," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 19(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, vol. 11(1), pages 54-83, March.
  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, vol. 141(3), pages 1188-1217.
  4. Hans B. Christensen & Luzi Hail & Christian Leuz, 2021. "Mandatory CSR and sustainability reporting: economic analysis and literature review," Review of Accounting Studies, Springer, vol. 26(3), pages 1176-1248, September.
  5. Holger Fink & Stefan Mittnik, 2021. "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, vol. 14(3), pages 1-27, March.

2020

  1. Nikolaus Hautsch & Rodrigo Herrera, 2020. "Multivariate dynamic intensity peaks‐over‐threshold models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 248-272, March.
  2. 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, vol. 27(6), pages 520-548, November.
  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, vol. 60(C).
  4. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020. "The role of labor-income risk in household risk-taking," European Economic Review, Elsevier, vol. 129(C).
  5. Luzi Hail & Mark Lang & Christian Leuz, 2020. "Reproducibility in Accounting Research: Views of the Research Community," Journal of Accounting Research, Wiley Blackwell, vol. 58(2), pages 519-543, May.
  6. Brandon Gipper & Christian Leuz & Mark Maffett, 2020. "Public Oversight and Reporting Credibility: Evidence from the PCAOB Audit Inspection Regime," Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4532-4579.
  7. Stefan Mittnik & Willi Semmler & Alexander Haider, 2020. "Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model," Econometrics, MDPI, vol. 8(3), pages 1-27, August.

2019

  1. Hautsch, Nikolaus & Horvath, Akos, 2019. "How effective are trading pauses?," Journal of Financial Economics, Elsevier, vol. 131(2), pages 378-403.
  2. 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, vol. 37(3), pages 419-435, July.
  3. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  4. Koulovatianos, Christos & Schröder, Carsten & Schmidt, Ulrich, 2019. "Do demographics prevent consumption aggregates from reflecting micro-level preferences?," European Economic Review, Elsevier, vol. 111(C), pages 166-190.
  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., vol. 22(06), pages 1-27, September.

2018

  1. Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018. "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, vol. 162(C), pages 162-166.
  2. Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2018. "The Twilight Zone: OTC Regulatory Regimes and Market Quality," Review of Financial Studies, Society for Financial Studies, vol. 31(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, vol. 48(5), pages 582-608, July.
  4. Mittnik, Stefan & Semmler, Willi, 2018. "Overleveraging, Financial Fragility, And The Banking–Macro Link: Theory And Empirical Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 22(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., vol. 25(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, vol. 18(3), pages 205-225, October.
  3. Jan-Pieter Krahnen & Felix Noth & Ulrich Schüwer, 2017. "Structural Reforms in Banking: The Role of Trading," JThe Journal of Financial Regulation, Oxford University Press, vol. 3(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, Wiley Blackwell, vol. 55(1), pages 35-78, March.

2016

  1. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
  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, vol. 25(C), pages 206-224.
  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, Wiley Blackwell, vol. 54(2), pages 525-622, May.
  4. Hans B. Christensen & Luzi Hail & Christian Leuz, 2016. "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," Review of Financial Studies, Society for Financial Studies, vol. 29(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, vol. 45(3), pages 393-422, November.

2015

  1. 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., vol. 30(2), pages 263-290, March.
  2. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
  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., vol. 30(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, vol. 5(1), pages 94-119, March.
  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, vol. 187(2), pages 512-520.
  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, vol. 58(C), pages 1-14.

2014

  1. Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2014. "Forecasting systemic impact in financial networks," International Journal of Forecasting, Elsevier, vol. 30(3), pages 781-794.
  2. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
  3. Mittnik, Stefan, 2014. "VaR-implied tail-correlation matrices," Economics Letters, Elsevier, vol. 122(1), pages 69-73.

2013

  1. 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, vol. 31(2), pages 165-183, April.
  2. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  3. Nikolaus Hautsch & Peter Malec & Melanie Schienle, 2013. "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 89-121, 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, vol. 65(1), pages 28-39.
  5. Jan Pieter Krahnen, 2013. "Rettung durch Regulierung? Eckpunkte des Liikanen-Berichts," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 14(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, vol. 5(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, Wiley Blackwell, vol. 51(3), pages 495-547, June.
  8. Christensen, Hans B. & Hail, Luzi & Leuz, Christian, 2013. "Mandatory IFRS reporting and changes in enforcement," Journal of Accounting and Economics, Elsevier, vol. 56(2), pages 147-177.
  9. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "What Moves the DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
  10. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.

2012

  1. Hautsch, Nikolaus & Ou, Yangguoyi, 2012. "Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2988-3007.
  2. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012. "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 337-355.
  3. Hautsch, Nikolaus & Huang, Ruihong, 2012. "The market impact of a limit order," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 501-522.
  4. Hautsch, Nikolaus & Yang, Fuyu, 2012. "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3774-3792.
  5. 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., vol. 27(4), pages 625-645, June.
  6. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
  7. 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, vol. 15(1), pages 108-126, January.
  8. 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, vol. 24(5), pages 399-412, October.
  9. 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, vol. 26(1), pages 61-85, March.
  10. Franke, Günter & Herrmann, Markus & Weber, Thomas, 2012. "Loss Allocation in Securitization Transactions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(5), pages 1125-1153, October.
  11. Mittnik, Stefan & Semmler, Willi, 2012. "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 502-522.

2011

  1. 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, vol. 18(2), pages 321-340, March.
  2. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
  3. 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, vol. 7(2), pages 247-265, May.
  4. Franke, Guenter & Schlesinger, Harris & Stapleton, Richard C., 2011. "Risk taking with additive and multiplicative background risks," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1547-1568, July.
  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, vol. 16(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, vol. 92(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, vol. 24(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, vol. 40(3), pages 229-256.
  4. Stefan Mittnik & Irina Starobinskaya, 2010. "Modeling Dependencies in Operational Risk with Hybrid Bayesian Networks," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 379-390, September.

2009

  1. Koulovatianos, Christos & Schrder, Carsten & Schmidt, Ulrich, 2009. "Nonmarket Household Time and the Cost of Children," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 42-51.
  2. Koulovatianos, Christos & Mirman, Leonard J. & Santugini, Marc, 2009. "Optimal growth and uncertainty: Learning," Journal of Economic Theory, Elsevier, vol. 144(1), pages 280-295, January.
  3. 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., vol. 18(3-4), pages 11-23, September.
  4. Günter Franke & Jan P. Krahnen, 2009. "Instabile Finanzmärkte," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 10(4), pages 335-366, November.
  5. Laux, Christian & Leuz, Christian, 2009. "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, vol. 34(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, vol. 93(3), pages 428-454, September.
  7. Christian Leuz & Karl V. Lins & Francis E. Warnock, 2009. "Do Foreigners Invest Less in Poorly Governed Firms?," Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 3245-3285, August.
  8. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009. "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, vol. 53(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, vol. 172(1), pages 153-176, November.

2008

  1. 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, vol. 32(12), pages 3978-4015, December.
  2. Christos Koulovatianos & Ulrich Schmidt & Carsten Schröder, 2008. "Arbeitslosengeld II: Arbeitsanreize und Verteilungsgerechtigkeit," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 88(7), pages 461-466, July.
  3. Antje Brunner & Jan Pieter Krahnen, 2008. "Multiple Lenders and Corporate Distress: Evidence on Debt Restructuring," Review of Economic Studies, Oxford University Press, vol. 75(2), pages 415-442.
  4. Günter Franke & Julia Hein, 2008. "Securitization of mezzanine capital in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(3), pages 219-240, September.
  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, Wiley Blackwell, vol. 46(5), pages 1085-1142, December.
  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, vol. 45(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, vol. 27(1-3), pages 46-78.

2007

  1. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  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, vol. 42(1), pages 189-208, March.
  3. Gerhard Frank & Hautsch Nikolaus, 2007. "A Dynamic Semiparametric Proportional Hazard Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(2), pages 1-42, May.
  4. Koulovatianos, Christos & Mirman, Leonard J., 2007. "The effects of market structure on industry growth: Rivalrous non-excludable capital," Journal of Economic Theory, Elsevier, vol. 133(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, Wiley Blackwell, vol. 45(2), pages 385-420, May.
  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, vol. 44(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, vol. 29(3), pages 333-354, May.

2006

  1. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  2. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 450-493.
  3. Theurl Theresia & Krahnen Jan Pieter & Gehrig Thomas P., 2006. "Die Stabilität von Finanzmärkten:Wie kann die Wirtschaftspolitik Vertrauen schaffen?," Zeitschrift für Wirtschaftspolitik, De Gruyter, vol. 55(1), pages 45-69, April.
  4. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
  5. Luzi Hail & Christian Leuz, 2006. "International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?," Journal of Accounting Research, Wiley Blackwell, vol. 44(3), pages 485-531, June.
  6. Leuz, Christian, 2006. "Cross listing, bonding and firms' reporting incentives: A discussion of Lang, Raedy and Wilson (2006)," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 285-299, October.
  7. Leuz, Christian & Oberholzer-Gee, Felix, 2006. "Political relationships, global financing, and corporate transparency: Evidence from Indonesia," Journal of Financial Economics, Elsevier, vol. 81(2), pages 411-439, August.
  8. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
  9. 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, vol. 2(1), pages 28-54, April.
  10. Keith Kuester & Stefan Mittnik & Marc S. Paolella, 2006. "Value-at-Risk Prediction: A Comparison of Alternative Strategies," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 53-89.

2005

  1. Koulovatianos, Christos & Schroder, Carsten & Schmidt, Ulrich, 2005. "On the income dependence of equivalence scales," Journal of Public Economics, Elsevier, vol. 89(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, vol. 86(1), pages 19-27, October.
  3. Jan Pieter Krahnen, 2005. "Der Handel von Kreditrisiken: Eine neue Dimension des Kapitalmarktes," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 6(4), pages 499-519, November.
  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, vol. 28(1), pages 5-13, October.
  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, vol. 39(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), vol. 23(2), pages 321-335, January.

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, vol. 52(1), pages 97-113, September.
  2. Nikolaus Hautsch, 2003. "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(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, vol. 4(3), pages 173-198, September.
  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, Wiley Blackwell, vol. 41(2), pages 347-362, May.
  5. Christian Leuz, 2003. "IAS Versus U.S. GAAP: Information Asymmetry–Based Evidence from Germany's New Market," Journal of Accounting Research, Wiley Blackwell, vol. 41(3), pages 445-472, June.
  6. Leuz, Christian & Nanda, Dhananjay & Wysocki, Peter D., 2003. "Earnings management and investor protection: an international comparison," Journal of Financial Economics, Elsevier, vol. 69(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, vol. 41(4), pages 565-573, October.

2002

  1. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
  2. 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, vol. 6(2), pages 133-161.
  3. Markus Herrmann & Günter Franke, 2002. "Performance and Policy of Foundation‐owned Firms in Germany," European Financial Management, European Financial Management Association, vol. 8(3), pages 261-279, September.
  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, vol. 6(1), pages 1-39, April.
  5. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(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, vol. 8(3), pages 302-321.

2001

  1. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(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, vol. 10(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, vol. 4(1), pages 55-85, June.
  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, vol. 5(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, vol. 26(2), pages 429-446.

2000

  1. Franke, Gunter & Hess, Dieter, 2000. "Information diffusion in electronic and floor trading," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 455-478, December.
  2. Günter Franke, 2000. "Geschäfts‐ und Risikopolitik von Hedgefonds im Vergleich zu anderen Finanzintermediären: Sind Hedgefonds besonders gefährlich?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 1(3), pages 301-318, August.
  3. Leuz, C & Verrecchia, RE, 2000. "The economic consequences of increased disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 38, pages 91-124.
  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, vol. 52(2), pages 182-207, April.
  5. Christian Leuz & Dieter Pfaff, 2000. "Tribute to Dieter Ordelheide," European Accounting Review, Taylor & Francis Journals, vol. 9(3), pages 345-347.
  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, vol. 7(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., vol. 20(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, vol. 5(1), pages 29-50.

1998

  1. Elsas, Ralf & Krahnen, Jan Pieter, 1998. "Is relationship lending special? Evidence from credit-file data in Germany," Journal of Banking & Finance, Elsevier, vol. 22(10-11), pages 1283-1316, October.
  2. Günter Franke, 1998. "Transformation of Banks and Bank Services," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 154(1), pages 109-109, March.
  3. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
  4. Christian Leuz, 1998. "The role of accrual accounting in restricting dividends to shareholders," European Accounting Review, Taylor & Francis Journals, vol. 7(4), pages 579-604.
  5. Mittnik, Stefan & Rachev, Svetlozar T. & Kim, Jeong-Ryeol, 1998. "Chi-Square-Type Distributions For Heavy-Tailed Variates," Econometric Theory, Cambridge University Press, vol. 14(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, vol. 58(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, vol. 5(2), pages 99-128, May.

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, vol. 18(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, vol. 18(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, vol. 28(2), pages 111-129, July.

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), vol. 21(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, vol. 1(3), pages 1-15, October.

1995

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

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, vol. 61(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, vol. 59(3), pages 319-341, October.

1991

  1. Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June.
  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, vol. 15(4), pages 731-740, October.

1990

  1. Mittnik, Stefan, 1990. "Macroeconomic Forecasting Using Pooled International Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 205-208, April.
  2. Mittnik, Stefan, 1990. "Macroeconomic forecasting experience with balanced state space models," International Journal of Forecasting, Elsevier, vol. 6(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, vol. 23(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, vol. 23(3), pages 279-284.
  3. Mittnik, Stefan, 1987. "Macroeconomic dynamics and econometric modelling," European Journal of Operational Research, Elsevier, vol. 30(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, vol. 201(5), pages 518-526, May.

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, vol. 32(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, vol. 29(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, June.

2011

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

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.

2004

  1. Krahnen, Jan P. & Schmidt, Reinhard H. (ed.), 2004. "The German Financial System," OUP Catalogue, Oxford University Press, number 9780199253166.
  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.

Chapters

2023

  1. Christos Koulovatianos & Carsten Schröder, 2023. "Income-dependent equivalence scales and choice theory: implications for poverty measurement," Chapters, in: Jacques Silber (ed.), Research Handbook on Measuring Poverty and Deprivation, chapter 4, pages 39-49, Edward Elgar Publishing.

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, in: Frauke Schleer-van Gellecom (ed.), Advances in Non-linear Economic Modeling, edition 127, pages 3-40, Springer.
  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, in: Elke Moser & Willi Semmler & Gernot Tragler & Vladimir M. Veliov (ed.), Dynamic Optimization in Environmental Economics, edition 127, pages 87-109, Springer.

2010

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

2009

  1. Markus Haas & Stefan Mittnik, 2009. "Portfolio Selection with Common Correlation Mixture Models," Contributions to Economics, in: Georg Bol & Svetlozar T. Rachev & Reinhold Würth (ed.), Risk Assessment, pages 47-76, Springer.

2008

  1. Anthony D. Hall & Nikolaus Hautsch, 2008. "Order aggressiveness and order book dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165, Springer.

2007

  1. Gunter Franke & Jan Pieter Krahnen, 2007. "Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Chapters, in: The Risks of Financial Institutions, pages 603-631, National Bureau of Economic Research, Inc.
  2. Stefan Mittnik & Klaus Wohlrabe, 2007. "On the Methodology of Business Cycle Analysis," Chapters, in: Georg Goldrian (ed.), Handbook of Survey-Based Business Cycle Analysis, chapter 17, Edward Elgar Publishing.

2005

  1. Stefan Mittnik & Peter Zadrozny, 2005. "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 19-48, Springer.

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 10-11, Review of Economic Dynamics.

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