Chair of Financial Econometrics
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Publications

  • MONOGRAPHS:
  • Financial Econometrics, Hoboken, New Jersey: John Wiley & Sons, 2007 (with F. Fabozzi, S. M. Focardi, T. Jasic, and S. T. Rachev)     
  • Schließende Statistik, Berlin: Pro Business-Verlag, 2005 (with M. Missong)     
  • Deskriptive Statistik, Berlin: Pro Business-Verlag, 2005 (with M. Missong)
  • Stable Paretian Modeling in Finance, Chichester: John Wiley & Sons, 2000 (with S. T. Rachev)    

 

  •  EDITED VOLUMES:
  • Special journal issue of the Journal of Risk and Financial Management on Advances in Modeling Value at Risk and Expected Shortfall, forthcoming (with M.S. Paolella)
  • Special journal issue of Journal of Financial Econometrics on New Developments in Managing Financial Risk, 2006 (with F. X. Diebold, R. Garcia, and E. Renault)
  • Contributions to Modern Econometrics: From Data Analysis to Economic Policy, Boston: Kluwer Academic Publishers, 2002 (with I. Klein)
  • Special journal issue of Allgemeines Statistisches Archiv on Statistisch-ökonometrische Risikoanalyse der Finanzmärkte, 86, 2002 (with O. Hübler and W. Schmid)
  • Special journal issue of Mathematical and Computer Modeling on Stable Non-Gaussian Models in Finance and Econometrics, 34, 2001 (with S. T. Rachev)
  • Special journal issue of Mathematical and Computer Modeling on Distributional Modeling in Finance, 29, 1999 (with S. T. Rachev)
  • Proceedings of the 14th World Congress of IFAC, Biomedical and Environmental Systems, Systems Engineering, Oxford: Pergamon, 1999 (with M. Deistler, H. - F. Chen, D.Z. Cheng, J. - F. Zhang, P. D. Roberts, H. G. Stassen, J. O. Gray)
  • Special journal issue of Computers and Mathematics with Application on Systemtheoretic Methods in Economic Modelling III, 24, 1992
  • Special journal issue of Computers and Mathematics with Application, 18, 1989; appeared also as monograph: System-theoretic Methods in Economic Modelling II, Oxford: Pergamon Press, 1989
  • Special journal issue of Computers and Mathematics with Application, 17, 1989; appeared also as monograph: System-theoretic Methods in Economic Modelling I, Oxford: Pergamon Press, 1989

 

  • ARTICLES:

  • "Quanto option pricing in the presence of fat tails and asymmetric dependence," forthcoming in Journal of Econometrics (with Y.S. Kim, J. Lee and J. Park)
  • "Stock Market Volatility: Identifying Major Drivers and the Nature of Their Impact," forthcoming in Journal of Banking and Finance (with N. Robinzonov and M. Spindler)
  • "Overleveraging, Financial Fragility and the Banking-Macro Link: Theory and Empirical Evidence," forthcoming in Macroeconomic Dynamics (with W. Semmler)
  • "Employment and output effects of climate policies," in: The Oxford University Press Handbook on The Macroeconomics of Global Warming, B. Lucas and W. Semmler (eds.), Oxford University Press, 2015 (with M. Kato, D. Samaan and W. Semmler)

  • "Estimating a banking-macro model using a multi-regime VAR," Advances in Non-linear Economic Modeling, F. Schleer-van Gellecom (ed.), Springer-Verlag, 2014, 3-40 (with W. Semmler)

  • "Modeling the Dynamics of the Transition to a Green Economy ," Dynamic Optimization in Environmental Economics, E. Moser et al. (eds.), Springer-Verlag, 2014, 87-109 (with M. Kato, D. Samaan and W. Semmler)

  • "VaR-implied tail-correlation matrices," Economic Letters, 1, 2014, 69-73

  • "A Bayesian approach to extreme value estimation in operational risk modeling," Journal of Operational Risk, 4, 2013, 55-81 (with B. Ergashev and E. Sekeris)

  • "Operational risk dependencies and the determination of risk capital," Journal of Operational Risk, 4, 2013, 83-104 (with S. Paterlini and T. Yener), Best Paper Award, Conference on Operational Risk, Goethe University, 22 March 2013, Frankfurt, Germany

  • "Was bewegt den DAX?" ifo Schnelldienst 23, 2013, 32-36 (with N. Robinzonov and K. Wohlrabe)

  • “The real consequences of financial stress,” Journal of Economic Dynamics and Control, 2013, 1479–1499 (with W.Semmler)

  • “Realistische versus regulatorische Bewertung von Beteiligungsrisiken in Solvency II,” Absolut/report, 04/2012, 44-53 (with M. Landes, J. Reiter and R. Stucke)

  • “Regime dependence of the fiscal multiplier,” Journal of Economic Behavior & Organization, 2012, 502-522 (with W.Semmler)

  • “Ganzheitliche Steuerung von ETF-Portfolios,” in: Everling, O. and G. Kirchhof, Exchange Traded Fund Rating, Cologne: Bank-Verlag, 2011 (with S. Christiansen)

  • “Modeling dependencies in operational risk with hybrid Bayesian networks,” Methodology and Computing in Applied Probability, 12, 2010, 379-390 (with I. Starobinskaya)

  • “Estimating operational risk capital for correlated, rare events,” Journal of Operational Risk, 4(4): 2009, 29-51 (with T. Yener)

  • “Asymmetric multivariate normal mixture GARCH,” Computational Statistics & Data Analysis, 53, 2009, 2129-2154 (with M. Haas and M. Paolella)

  • “Memorandum on a new financial architecture and new regulations,” Investigation, Economica, LXVIII, Nr. 267, 2009, 147-161 (with R. Chappe, T. Ghilarducci, E. Nell, E. Platen, and W. Semmler)

  • “Differential evolution and combinatorial search for constrained index tracking,” Annals of Operations Research, 172, 2009, 153-176 (with T. Krink and S. Paterlini)

  • “Portfolio selection with common correlation mixture models,” in: Bol, G., S.T. Rachev and R. Würth (eds.) Risk Assessment: Decisions in Banking in Finance, 2009, 47-76. Berlin: Springer-Verlag (with M. Haas)

  • “Filing for insolvency: An event study for the German Neuer Markt,” in: Schäfer, K. et al. (eds.) Risikomanagement und kapitalmarktorientierte Finanzierung, Frankfurt: Fritz Knapp Verlag, 2009, 973-999 (with C. Hartz)

  • ”Financial market meltdown and the need for new regulation, METU Studies for Development,” 36, 2009, 253-269 (with E. Nell and W. Semmler)

  • “Gering korrelierte Anlageklassen - Diversifikationsmodell der Vergangenheit?,” Studienreihe des Bayerischen Finanz Zentrum e.V., München, 2009 (with M. Haas and T. Yener)

  • “Korrelationsbasierte Diversifikation – ein zukunftsfähiger Ansatz?,” Absolut Report, 52, 2009, 44-53 (with M. Haas and T. Yener)

  • “Estimating Operational Risk Capital for Correlated, Rare Events,” Journal of Operational Risk, 4, 2009, 29-51 (with T. Yener)

  • “Value-at-Risk and Expected Shortfall for Rare Events,” Proceedings of the Actuarial and Financial Mathematics Conference 2008, The Royal Flemish Academy of Belgium for Science and the Arts (KVB), 95-106 (with T. Yener)

  • “Mit gemischten Normalverteilungen gegen Bären,” Portfolio Institutionell, 9, 2008, 16-19 (with M. Haas)

  • “Regression Analysis,” in: F.J. Fabozzi (ed.), Handbook of Finance, 3, 669-687, John Wiley & Sons, 2008 (with S.T. Rachev, F. Fabozzi, S. Focardi, T. Jasic)

  • “The Volatility of Realized Volatility,” Econometric Reviews, 27, 2008, 46-78 (with F. Corsi, C. Pigorsch, and U. Pigorsch)

  • “On the Methodology of Business Cycle Analysis,” Goldrian, G. (ed.), Handbook of Survey-Based Business Cycle Analysis, Cheltenham: Edward Elgar Publishing, 2007 (with K. Wohlrabe)

  • “Portfolio Optimization When Risk Factors Are Conditionally Varying and Heavy Tailed,” Computational Economics, 29, 2007, 333-354 (with T. Doganoglu and C. Hartz)

  • “Accurate value-at-risk forecasting based on the normal-GARCH model,” Computational Statistics & Data Analysis, 51, 2006, 2295-2312 (with C. Hartz and M.S. Paolella)

  • “Modeling and Predicting Market Risk With Laplace-Gaussian Mixture Distributions,” Applied Financial Economics, 16, 2006, 1145-1162 (with M. Haas and M. S. Paolella)

  • “Value-at-Risk Prediction: A Comparison of Alternative Strategies,” Journal of Financial Econometrics, 4, 2006, 53-89 (with K. Kuester and M. S. Paolella)

  • “Assessing Central Bank Credibility During the ERM Crisis: Comparing Option and Spot Market-Based Forecasts,” Journal of Financial Stability, 2, 2006, 28-54 (with M. Haas and B. Mizrach)

  • “Multifaceted effects of positive incidents on urine cortisol and urine neopterin dynamics in a patient with systematic lupus erythematosus,” Stress and Health, 22, 2006, 215-227 (with C. Schubert, B. Noisternig, D. Fuchs, P. König, E. Chamson, G. Schüßler, and W. Geser)

  • “Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data,” in: Sturm, J.-E., and T. Wollmershäuser (eds.): Ifo Survey Data in Business Cycle and Monetary Policy Analysis, Heidelberg: Physica-Verlag 2005 (with P. Zadrozny)

  • “A New Approach to Markov-Switching GARCH Models,” Journal of Financial Econometrics, 2, 2004, 493–530 (with M. Haas and M. S. Paolella)

  • “Mixed Normal Conditional Heteroskedasticity,” Journal of Financial Econometrics, 2, 2004, 211–250 (with M. Haas and M. S. Paolella)

  • “Time Series Evidence on the Non-Linearity Hypothesis for Public Spending,” Economic Inquiry, 41, 2003, 531–554 (with T. Neumann)

  • “Prediction of Financial Downside–Risk with Heavy–Tailed Conditional Distributions,” in: Rachev, S. T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North–Holland, 2003, 384–404 (with M. S. Paolella)

  • “Stock Market, Interest Rate and Output: A Model and Estimation for U. S. Time Series Data,” Studies in Nonlinear Dynamics and Econometrics, Vol. 6, Issue 1, 2002, (with C. Chiarella, W. Semmler, and P. Zhu)

  • “Portfolio Selection in the Presence of Heavy–Tailed Asset Returns,” in: I. Klein and S. Mittnik, eds.: Contributions to Modern Econometrics: From Data Analysis to Economic Policy, Boston: Kluwer Academic Publishers, 2002, 51–64 (with T. Doganoglu and S. T. Rachev)

  • “Forecasting Stock Market Volatility and the Informational Efficiency of the DAX–Index Options Market,” European Journal of Finance, 8, 2002, 302–321, (with H. Claessen)

  • “Value–at–risk and asset allocation with stable return distributions,” Allgemeines Statistisches Archiv (Journal of the German Statistical Society), 86, 2002, 53–67, (with S. Rachev and E. Schwartz)

  • “Stationarity of Stable Power–GARCH Processes,” Journal of Econometrics, 106, 2002, 97-107, (with M. S. Paolella and S. T. Rachev)

  • “The influence of daily psychosocial incidents and associated emotions on the course of biochemical parameters in SLE: experience taken from three ‘integrative single-case studies’,” Psychosomatic Medicine, 63, 2001, 170 (with Ch. Schubert, A. Lampe, W. Willi, B. Noisternig, P. König, D. Fuchs, and G. Schüßler)

  • “Statistical Inference in Regression with Heavy–tailed Integrated Variables,” Mathematical and Computer Modelling, 34, 2001, 1145-1158, Special Issue on Stable Models in Finance (with V. Paulauskas and S.T. Rachev)

  • “The Distribution of Test Statistics for Outlier Detection in Heavy-Tailed Samples,” Mathematical and Computer Modelling, 34, 2001, 1171–1183, Special Issue on Stable Models in Finance (with S.T. Rachev and G. Samorodnitsky)

  • “Dynamic Effects of Public Investment: Vector Autoregressive Evidence from Six Industrialized Countries,” Empirical Economics, 26, 2001, 429–446 (with T. Neumann)

  • “Financial Modeling and Heavy Tails,” in: W. Zhibao and T. Wansheng, eds.: Proceedings of the IFAC Workshop on Computation in Economic, Financial and Engineering-Economic Systems, Tianjin, P. R. China, 2001, 437-445

  • “Put–Call parity and the informational efficiency of the German DAX–index options market,” International Review of Financial Analysis, 9, 2000, 259-279 (with S. Rieken)

  • “Diagnosing and Treating the Fat Tails in Financial Return Data,” Journal of Empirical Finance, 7, 2000, 389-416 (with M. S. Paolella and S. T. Rachev)

  • “A New Representation for the Characteristic Function of Strictly Geo-stable Vectors,” Journal of Applied Probability, 37, 2000, 1137–1142 (with L.B. Klebanov, S.T. Rachev and V. E. Volkovich)

  • “Testing for Structural Breaks in Time Series Regressions with Heavy–tailed Disturbances,” Datamining und Computational Finance, Heidelberg: Physica– Verlag, 2000, 115–142 (with S.T. Rachev and G. Samorodnitsky)

  • “Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates,” Journal of Forecasting, 19, 2000, 313-333 (with M. S. Paolella)

  • “Lower-boundary Violations and Market Efficiency: Evidence from the German Dax-index Options Market,” Journal of Futures Markets, 20, 2000, 406-424 (with S. Rieken)

  • “Stable Paretian Models in Econometrics: Part II,” Mathematical Scientist, 24, 1999, 113–127 (with S. T. Rachev and J.-R. Kim)

  • “Stable Paretian Models in Econometrics: Part I,” Mathematical Scientist, 14, 1999, 24–55 (with S. T. Rachev and J.-R. Kim)

  • “Option Pricing for Stable and Infinitely Divisible Asset Returns,” Mathematical and Computer Modelling, 12, 1999, 93–104, Special Issue on Distributional Modeling in Finance (with S.T. Rachev)

  • “A Simple Estimator for the Characteristic Exponent of the Stable Paretian Distribution,” Mathematical and Computer Modelling, 29, 1999, 161–176 (with M.S. Paolella)

  • “Test of Association Between Multivariate Stable Vectors,” Mathematical and Computer Modelling, 21, 1999, 181–195, Special Issue on Distributional Modeling in Finance (with S. T. Rachev and L. Rüschendorf)

  • “Computing the Probability Density Function of the Stable Paretian Distribution,” Mathematical and Computer Modelling, 29, 1999, 235–240 (with T. Doganoglu and D. Chenyao)

  • “Maximum Likelihood Estimation of Stable Models,” Mathematical and Computer Modelling, 29, 1999, 275–293, Special Issue on Distributional Modeling in Finance (with S. T. Rachev, T. Doganoglu and D. Chenyao)

  • “Dynamic Properties in Nonlinear Multivariate Time Series Models,” Preprints of the 14th World Congress of IFAC, International Federation of Automatic Control, Beijing, Vol. L, 1999 (with D. Zhong)

  • “An Approximation Procedure for Asymmetric Stable Paretian Densities,” Computational Statistics, 13, 1998, 463–475 (with T. Doganoglu)

  • “Chi-squared-type Distributions for Heavy-tailed Variates,” Econometric Theory, 14, 1998, 339–354 (with S.T. Rachev and J.-R. Kim)

  • “Stable Paretian Modeling in Finance: Some Empirical and Theoretical Aspects,” in: R. Adler, R. Feldman and M. Taqqu (eds.), A Practical Guide to Heavy Tails: Statistical Techniques for Analyzing Heavy-Tailed Distributions, Boston: Birkhäuser, 1998 (with S. T. Rachev and M.S. Paolella)

  • “Time Series with Unit Roots and Infinite–Variance Disturbances,” Applied Mathematics Letters, 11, 1998, 69–74 (with S. T. Rachev and J.-R. Kim)

  • “Unconditional and Conditional Distributional Models for the Nikkei Index,” Asia–Pacific Financial Markets, 5, 1998, 99–128 (with S. T. Rachev and M. S. Paolella)

  • “A Tail Estimator for the Index of the Stable Paretian Distribution,” Communications in Statistics; Theory and Methods, 27, 1998, 1239–1262 (with M.S. Paolella and S.T. Rachev)

  • “Testing Cointegrating Coefficients in Vector Autoregressive Error Correction Models,” Economics Letters, 58, 1998, 1–5 (with G. Hansen and J.-R. Kim)

  • “Distribution of Exchange Rates: A Geometric Summation-stable Model,” in: Proceedings of SDA’95 and SDA’96, Sofia: Bulgarian Academy of Sciences, 1997, 143–175 (with S.T. Rachev and D. Chenyao)

  • “Econometric Modeling in the Presence of Heavy-tailed Innovations: A Survey of Some Recent Advances,” Commun.Statist.-Stochastic Models, 13. 1997, 841- 866 (with S.T. Rachev and J.-R. Kim)

  • “Modeling the Distribution of Highly Volatile Exchange-rate Time Series,” in: P. M. Robinson and M. Rosenblatt, eds., Athens Conference on Applied Probability and Time Series, Volume II: Time Series Analysis, New York: Springer– Verlag, 1996, 130–144 (with G. Chobanov, P. Mateev and S.T. Rachev)

  • “Detecting Asymmetries in Observed Time Series and Unobserved Disturbances,” Studies in Nonlinear Dynamics and Econometrics, 1, 1996, 131-143 (with J.-R. Kim and S.T. Rachev)

  • “Integral and Asymptotic Representations of Geo-stable Densities,” Applied Mathematics Letters, 9, 1996, 37–40 (with L. Klebanov, J. Melamed and S. T. Rachev)

  • “Tail Estimation of the Stable Index α,” Applied Mathematics Letters, 9, 1996, 53–56 (with S. T. Rachev)

  • “Stable GARCH Models for Financial Time Series,” Applied Mathematics Letters, 8, 1995, 33-37 (with A. Panorska and S.T. Rachev)

  • “Asymmetries in Business Cycles: Econometric Techniques and Empirical Evidence,” in: W. Semmler, ed., Business Cycles: Theory and Empirical Methods, Dordrecht: Kluwer Academic Publishers, 1994, 331–350 (with Z. Niu)

  • “Kalman Filtering Methods for Computing Information Matrices for Time-Invariant, Periodic, and Generally Time-varying VARMA Models and Samples,” Computers and Mathematics with Applications, 28, 1994, 107–119 (with P. A. Zadrozny)

  • “Misspecifications in Vector Autoregressions and Their Effects on Structural Impulse Responses and Variance Decompositions,” Journal of Econometrics, 59, 1993, 319–341 (with P.A. Braun)

  • “Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models,” Econometrica, 61, 1993, 857–870 (with P. A. Zadrozny)

  • “Modeling Asset Returns with Alternative Stable Distributions,” Econometric Reviews, 12, 1993, 261–330 (with S.T. Rachev)

  • “Reply to Comments on ‘Modeling Asset Returns with Alternative Stable Distributions’ and Some Extensions,” Econometric Reviews, 12, 1993 (with S. T. Rachev)

  • “Computing Theoretical Autocovariances of Multivariate ARMA Models Using a Block-Levinson Method,” Journal of the Royal Statistical Society, Series B, 55, 1993, 435–440

  • “Parametric and Seminonparametric Analysis of Nonlinear Time Series,” in Advances in GLIM and Statistical Modelling, L. Fahrmeir, et al., eds., New York: Springer-Verlag, 1992, 207–212 (with B. Mizrach)

  • “Forecasting International Growth Rates with Leading Indicators: A Systemtheoretic Approach,” Computers and Mathematics with Applications, 24, 1992, 31–41

  • “On Efficient Exact Maximum Likelihood Estimation of Higher-order Multivariate ARMA Models,” in: H. M. Amman, D. A. Belesly and L. F. Pau, eds., Computational Economics and Econometrics, Dordrecht: Kluwer Academic Publishers, 1992, 33-42

  • “Derivation of the Unconditional State Covariance Matrix for Exact Maximum Likelihood Estimation of ARMA Models,” Journal of Economic Dynamics and Control, 15, 1991, 731–740

  • “State Space Modeling of Multiple Time Series: A Comment,” Econometric Reviews, 10, 1991, 75–90

  • “Alternative Multivariate Stable Distributions and Their Applications to Financial Modeling,” in: Stable Processes and Related Topics, S. Cambanis, G. Samorodnitsky and M. S. Taqqu, eds., Boston: Birkhäuser, 1991, 107–119 (with S. T. Rachev)

  • “Analyzing Conditional Economic Dynamics with Nonlinear State Space Models,” Proceedings of the Business and Economic Statistics Section of the Annual American Statistical Association Meetings, Alexandria: American Statistical Association, 1991, 61–66

  • “Computation of the Theoretical Autocovariance Matrices of Multivariate ARMA Time Series,” Journal of the Royal Statistical Society, Series B, 52, 1990, 151– 155

  • “Macroeconomic Forecasting Using Pooled International Data,” Journal of Business and Economic Statistics, 8, 1990, 205–208

  • “Forecasting with Balanced State Space Representations of Multivariate Distributed Lag Models,” Journal of Forecasting, 9, 1990, 207–218

  • “Macroeconomic Forecasting Experience with Balanced State Space Models,” International Journal of Forecasting, 6, 1990, 337–348

  • “Modeling Nonlinear Processes With Generalized Autoregressions,” Applied Mathematics Letters, 3, 1990, 71–74

  • “Multivariate Time Series Analysis with State Space Models,” Computers and Mathematics with Applications, 17; also in System-theoretic Methods in Economic Modelling I, S. Mittnik, ed., Oxford: Pergamon Press, 1989, 1189–1201

  • “Stable Distributions for Asset Returns,” Applied Mathematics Letters, 2, 1989 (with S. T. Rachev)

  • “Determination of Linear Feedback Between Multiple Time Series,” Preprints of the 6th IFAC Symposium on Dynamic Modelling & Control of National Economies, Edinburgh, UK, 1988, 307–312 (with P. W. Otter)

  • “Efficient Generation of Covariance Sequences of Multiple ARMA Processes,” Proceedings of the 27th IEEE Conference on Decision and Control, Austin, Texas, 1988, 2354–2357

  • “Alternative Methods for Computing the Theoretical Autocovariance Function of Multivariate ARMA Processes: A Comparison,” Computing Science and Statistics: Proceedings of the 20th Symposium on the Interface, Alexandria: American Statistical Association, 1988, 704–707

  • “Derivation of the Theoretical Autocovariance and Autocorrelation Function of Autoregressive Moving Average Processes,” Communications in Statistics-Theory and Methods, 17, 1988, 3825–3831

  • “Model Reduction with Alternatives to the Standard Hankel Matrix,” Mathematical and Computer Modelling, 8, 1988, 228–231

  • “Iterative versus Noniterative Derivation of Moving Average Parameters of ARMA Processes,” Applied Mathematics Letters, 1, 1988, 65–68

  • “The Determination of the State Covariance Matrix of Moving-Average Processes Without Computation,” Economics Letters, 23, 1987, 177–179

  • “Non-recursive Methods for Computing the Coefficients of the Autoregressive and the Moving-average Representation of Mixed ARMA Processes,” Economics Letters, 23, 1987, 279–284

  • “Macroeconomic Dynamics and Econometric Modelling,” European Journal of Operational Research, 30, 1987, 258–261

  • “On an Expert System for Air Combat Games,” Mathematics and Computers with Applications, 13, 1987; also in Pursuit-Evasion and Differential Games, Y. Yavin and M. Pachter, eds., Oxford: Pergamon Press, 1988 (with E. Y. Rodin, Y. Lirov, B. McElhany, L. Wilbur)

  • “Modelling Price Inflation Using Polynomial Distributed Lags: The Almon Lag Technique and Its Pitfalls,” Jahrbücher für Nationalökonomie und Statistik, 201, 1986, 518–526