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Sascha Mergner

Personal Details

First Name:Sascha
Middle Name:
Last Name:Mergner
Suffix:
RePEc Short-ID:pme145
Terminal Degree:2008 Department für Volkswirtschaftslehre; Wirtschaftswissenschaftliche Fakultät; Georg-August-Universität Göttingen (from RePEc Genealogy)

Affiliation

(in no particular order)

Georg-August-Universität Göttinegn

(University of Goettingen) http://www.uni-goettingen.de
Germany, Goettingen

Quoniam Asset Management

http://www.quoniam.de
Germany, Frankfurt am Main

Research output

as
Jump to: Working papers Articles

Working papers

  1. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
  2. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA.
  3. Sascha Mergner, 2005. "Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings," Finance 0510024, EconWPA.
  4. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, EconWPA.

Articles

  1. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.

    Cited by:

    1. Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea, 2017. "Multiple risk measures for multivariate dynamic heavy–tailed models," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 1-32.
    2. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    3. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    4. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.

  2. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA.

    Cited by:

    1. He, Zhongzhi (Lawrence) & Kryzanowski, Lawrence, 2008. "Dynamic betas for Canadian sector portfolios," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1110-1122, December.
    2. Entrop, O. & von la Hausse, L. & Wilkens, M., 2017. "Looking beyond banks’ average interest rate risk: Determinants of high exposures," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 204-218.
    3. Ciner, Cetin, 2015. "Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 277-283.
    4. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
    5. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
    6. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    7. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
    8. Tomas Adam & Sona Benecka & Ivo Jansky, 2012. "Time-Varying Betas of Banking Sectors," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(6), pages 485-504, December.
    9. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
    10. Seth Armitage & Janusz Brzeszczynski, 2011. "Heteroscedasticity and interval effects in estimating beta: UK evidenceÂ," CFI Discussion Papers 1103, Centre for Finance and Investment, Heriot Watt University.
    11. Abu Taher Mollik & M. Khokan Bepari, 2010. "Instability of stock beta in Dhaka Stock Exchange, Bangladesh," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 886-902, August.
    12. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
    13. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
    14. Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016. "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 429-448.
    15. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(4), pages 1-13, December.
    16. Ortas, Eduardo & Moneva, José M., 2013. "The Clean Techs equity indexes at stake: Risk and return dynamics analysis," Energy, Elsevier, vol. 57(C), pages 259-269.
    17. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 2011-06, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    18. Ludwig Hausse & Martin Rohleder & Marco Wilkens, 2016. "Systemic interest rate and market risk at US banks," Journal of Business Economics, Springer, vol. 86(8), pages 933-961, November.

  3. Sascha Mergner, 2005. "Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings," Finance 0510024, EconWPA.

    Cited by:

    1. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.

Articles

  1. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802. See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (2) 2005-09-29 2005-10-29
  2. NEP-FIN: Finance (2) 2005-09-29 2005-10-29
  3. NEP-FMK: Financial Markets (2) 2005-09-29 2005-10-29
  4. NEP-FOR: Forecasting (2) 2005-09-29 2005-10-29
  5. NEP-CFN: Corporate Finance (1) 2005-10-29
  6. NEP-ETS: Econometric Time Series (1) 2005-10-29

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