QBER Theses since SS 2014

Bachelortheses

  • Die Entwicklung von Vorstandsgehältern in Deutschland
  • Der Kompromisseffekt am Mobilfunkmarkt in Deutschland
  • Simulationsbasierte Tests von kurzsichtiger Verlustaversion
  • Loss Aversion - An Analysis of ist Robustness, Moderators, and Causes
  • Vorgehen bei Event-Studien am Fallbeispiel Microsoft-Yahoo!
  • OptOut-Modelle in langfristigen Sparplänen
  • Experimentelle Evidenz zur Salienztheorie
  • Aktuelle Anwendungen der Salienztheorie
  • Spekulative Blasen im Experimentallabor und Konfusion unter den Experimentteilnehmern
  • Internationale Evidenz zum Momentum-Effekt
  • Ursachen des "Uncertainty Effects"
  • Moralische Dilemmas in der Ökonomie: Das Beispiel von Rubinstein
  • Feldexperimente zur finanziellen Bildung
  • Emerging Market Turmoil and Financial Risk
  • Die aktuelle Währungspolitik der Schweizerischen Nationalbank
  • Naive Diversifikation
  • Finanzielle Bildung und Finanzberatung
  • Messung von Lügenaversion
  • The Effects of ECB Unconventional Monetary Policy on Financial Markets
  • Ursachen von Besitztumseffekten
  • Experimentelle Evidenz zu kurzfristiger Verlustaversion
  • Spreads europäischer Staatsanleihen
  • Suboptimale individuelle Entscheidungen und Marktpreise
  • Are sovereign debt issuance preferences in Europe shifting and what are possilbe effects for the unconventional monetary policies of the ECB?
  • P-Curve 
  • The Pricing of Agricultural Commodities
  • Zur Bedeutung von seltenen Ereignissen bei Risikoentscheidungen
  • Die Prioritätsheuristik
  • Experimentelle Evidenz zum Vierfelder-Muster der Prospect-Theorie
  • Lernen und Überzeugung im Allais-Paradoxon
  • Verletzung von stochastischer Dominanz in experimentellen Studien
  • Der Kompromisseffekt
  • Was denkt die Bevölkerung über "Nudges"?
  • Hot-Hand-Fallacy?
  • Elizitierung von Zeitpräferenzen
  • Ellsberg‘s Urnen-Experiment
  • Erweiterungen klassischer Methoden zur Elizitierung von Nutzenfunktionen
  • Gewinn-Verlust-Separierbarkeit in Prospekt-Theorie
  • Public Perception of Short Selling
  • Allokation und Underpricing: Wie Investmentbanken und institutionelle Investoren bei Börsengängen voreinander profitieren

 

Mastertheses

  • Risk Parity Portfolios with regime switching covariance matrices
  • Option Pricing under Stochastic Volatility and Stochastic Interest Rates
  • Evaluation of Expected Shortfall forecasts: A comparison of regression-based and multilevel backtesting methods
  • Modelling volatility of the Russsian stock market using dynamic score models
  • Asymmetric dependence and Markov switching copulas for emerging markets
  • A Comparison of Generalized Markov Backtests of Value-at-Risk
  • Risk parity portfolio selection under regime-switching
  • Extrapolation and Weekly Returns
  • Rationalism, Behaviorism and the Value Premium - Empirical Investigation on well-known cross-sectional
  • Risk parity portfolio selection under regime-switching
  • The Performance of Professional Football Players
  • Modelling the regime-switching correlation dynamics among South American, European, and the US markets with applications to portfolio and risk management
  • Financial Time Series Prediction with Long Short-Term Memory Networks -  Challenges and Implications for Traditional Time Series Modeling -
  • Portfolio selection under parameter uncertainty - a comparison of alternative approaches.
  • Forecasting Stock Volatility Using Generalized Autoregressive Score Models
  • Statistical modelling and forecasting of crypto-currency returns
  • An Empirical Analysis of Value-at-Risk Models on the Swedish Stock Market
  • The Factorial hidden Markov volatility (FHMV) model for financial returns
  • The Mixture Beta-t-(E)GARCH model
  • Empirical Foreign Exchange Risk Management
  • Copula Modelling of Insurance Claims
  • An Evaluation of Foreign Exchange Speculation Strategies
  • Recent Approaches in Exchange Rate Predictability
  • The Dependence Structure of Exchange Rates
  • Currency Value Strategies
  • Measuring Systemic Risk using CoVaR
  • Comparison of Different Speculation Strategies in Foreign Exchange Markets
  • The Cross-Section of Carry Trade Returns
  • The Relationship between Oil Prices and Exchange Rates
  • The Impact of Oil Price Shocks on the Stock Market
  • Rationalism, Behaviorism and the Value Premium - Empirical Investigation on well-known cross-sectional Return Patterns and diverging Rationales
  • Price – based return comovement
  • Empirical Evidence on the European Short Selling Disclosure Regime
  • Der Size-Effekt am deutschen Kapitalmarkt
  • The Size-Effect in China
  • An Application of Markov-Switching GARCH Models to the Exchange Rate Dynamics of Cryptocurrencies:  Investigating the Benefits for Risk Management
  • Financial literacy: Layman's understanding of the return concept - Finanzielle Bildung und das Konzept der Rendite
  • Occupational History and Risk Aversion
  • Die Bewertung und Steuerung des Wechselkursrisikos in industriellen Großprojekten
  • Estimating High-Dimensional Covariance Matrices for Portfolio Optimization
  • Analysis of German and Russian stock market dynamics and risk forecasting on the basis of GARCH modeling
  • Value-At-Risk and Expected Shortfall: Comparison of Different Methods
  • The correlations between stock and real estate markets with applications in portfolio selection.
  • A score based regime switching model with an application to market risk
  • A comparison of flexible GARCH and regime-switching models in application to Value-at-Risk
  • Identification of causal linkages between oil and gas markets
  • Modelling the dynamics of Stock, Bond and REIT returns with an application to portfolio optimization
  • Evaluating the VaR of a Portfolio Using Markov-Switching GARCH-Vine Copula Models
  • Momentum in the Chinese Stock Market
  • Occupational History and Risk Aversion
  • Financial Literacy and Changes in Wealth - Finanzielle Bildung und Vermögensänderungen
  • The Role of Credit Rating Agencies in International Financial Crisis
  • Stock Return Dynamics – A Multivariate GARCH Approach
  • The Impact of different types of capital inflows on the Exchange Rate of an Emerging Economy, the Case of Pakistan
  • Technical Analysis of securities trading in the international Financial Markets
  • Monetary Policy in the EMU: Convergence or Divergence
  • Heterogeneous traders in international financial markets
  • Effectiveness of the Foreign Exchange Policy in Emerging Markets
  • Quantifiying the Riskiness of the Home Bias of Sovereign Bonds
  • The Development of Asset Prices during the European Debt Crisis
  • The impact of quantitative easing announcements on sovereign bond yields
  • Foreign Exchange rates – Determination and Forecasting
  • Early Warning Indicators for EU
  • Foreign Exchange Policy in Russia: Mechanism and Effectiveness
  • Monetary Policy in the EMU: Convergence or Divergence?
  • Macroeconomic Convergence in the European Monetary Union: Recent Empirical Evidence
  • Foreign Exchange Policy in Colombia: Mechanisms and Effectiveness
  • Predicting currency crashes for the case of Colombia
  • Monetary Policy and Exchange Rates
  • Quantitative Analysis of the New Macroprudential Instruments in the EU
  • The global financial cycle and the open economy trilemma
  • Smooth transition regression models of uncovered interest parity
  • Effectiveness of the Foreign Exchange Policy in Emerging Markets
  • Forecasting Exchange Rates: Time-Varying Relationship between Exchange Rates and Fundamentals
  • Capital movements and asset prices
  • Heterogeneous Traders in International Financial Markets
  • The Financialization of Agricultural commodities
  • The impact of global factors on capital movements
  • Heterogeneous Traders in International Financial Markets: STAR-Models with multivariate transition functions
  • Financial development and its effect on growth
  • Predictability of Exchange Rates 
  • Pair Trading with High-Frequency FX Data
  • The role of financial intermediaries for asset pricing
  • Impact of monetary policy on bank leverage, cross border capital flows and the exchange rate
  • The Profitability of Carry Trade Portfolios based on Risk Factors
  • The Macroeconomics of Trend Inflation
  • CoVaR: A modern Approach to Systematic Risk Measurement
  • The Effect of Foreign Exchange and Interest Rate on Real Estate Pricing and the Power of Monetary Policy
  • Pricing and Empirical Examination of OTC Currency Products in the Light of Collateralization
  • Exchange Rates in Target Zones - The Swiss Experience
  • Financial Intermediaries based Asset Pricing evidence in Germany
  • Uncovered Interest Parity and the Term Structure in Colombia
  • Pricing international stock portfolios - empirical evidence from a new index
  • Monetary Policy in the European Monetary Union: Towards Convergence or Divergence
  • Improving the density forecast
  • Portfolio Optimizing based on Alternative Investments – Hedge strategies and their requirements for Alternative 
  • Does PPP hold in the long run?
  • Uncovered Equity Return Parity - An empirical Analysis
  • The Explanatory Power of Currency Crashes on Carry Trade Returns
  • The Predictability of Commodity Currencies
  • Capital flows in the Eurosystem: A threat to the moneraty union?
  • Another look at Country Size and International Asset Returns
  • Deviations from Covered Interest Parity
  • Empirical Foreign Exchange Risk Management
  • Exchange Rate and Stock Market Interaction: An Analysis of the Major Currency Areas
  • Risk Premia and the Cross-Section of Currency Returns
  • The Dependence Structure of Exchange Rates
  • Carry Trades and the Balance Sheets of Financial Intermediaries
  • The time-varying Structure of Exchange Rates
  • Modeling portfolio risk with independent component Analysis
  • Copula Applications in Value-at-Risk-Forecasting
  • Black-Litterman Model: Invorporation of Investor's views
  • Empirical Analysis of the Black-Litterman model and its use in portfolio optimization
  • Identification through Heteroscedasticity and Application to financial Markets
  • Portfolio Selection in Bull and Bear Market Regimes
  • Modelling Volatility of Daily Stock Index Returns: An Empirical Comparison of GARCH and Score-Driven Models
  • Estimating Value-at-Risk using Methods of Extreme Value 
  • Estimation and Backtesting of Value at Risk models for the Bangladeshi Stock Market 
  • Comparing the Power of Methods for Backtesting Value-at-Risk and Expected Shortfall Measures 
  • The Effect of Macroeconomic Fundamentals on Stock Market Volatility – Applications to Variance Prediction
  • An empirical comparison of alternative regime-switchíng GARCH models
  • Robust Statistical Inference for the Sharpe Ratio
  • Multivariate GARCH: A Comparison of Prediction Power of VECH and BEKK with Globally Diversified Assets
  • Comparing Asymmetric GARCH and Stochastic Volatility Models for Value-at-Risk Estimation
  • Reinforcement Learning based Trading System
  • Score-driven Copula Models with Applications to Risk Management
  • Statistical Analysis of Bitcoin Returns
  • Applications of Random Matrix Theory in Portfolio Analysis
  • The score-driven mixture GARCH model
  • Specifying the input parameters in the Black-Litterman model - a comparison of alternative approaches
  • Empirical Evidence on the influence of financial institutions from the PIGS+F Countries on the German Stock market before, during and after the 2007 financial crisis.
  • Empirical Analysis of Risk Parity Portfolios
  • Portfolio Optimization with Mixture Models and expected Shortfall Considerations
  • The Black-Litterman Model: An application to portfolio management
  • A Comparison of Various Approaches to Value at Risk in the German Electricity Spot Market
  • Value-at-Risk modelling and backtesting: comparing extreme value and parametric approaches
  • Risk Management with GAS Models
  • Identifying stock market transmissions through heteroscedasticity
  • Empirical performance of risk parity portfolios in Times of low and high volatility
  • Backtesting Risk Measure Models: A Multivariate Approach
  • Modelling volatility and dependence structure between assets using Copula-GARCH-Models
  • Value-at-Risk forecasting performance of stock markets with Markov-Switching GARCH models
  • The Application of Score-Driven Volatility Models to Value-at-Risk Predictions
  • Risk Management with GAS Models
  • The score-driven mixture GARCH model
  • Systematic analysis and comparison of duration-based backtesting strategies for Value-at-Risk measures
  • An Empirical Comparison of Portfolio Selection Strategies
  • Portfolio selection under regime-switching distribution
  • Multilevel backtesting of Value-at-Risk models
  • A comparison of portfolio selection strategies: Is active portfolio management worth the effort?
  • Optimal asset allocation under a two-component normal mixture distribution
  • Risk measurement with regime-switching GARCH models
  • Intermediary regulation and quarter-end FX price dynamics
  • A Comparison of Value-at-Risk Backtesting Strategies
  • Risk Management with Generalized Autoregressive Score (GAS) Models
  • Risk management with score-driven volatility models
  • Estimation of Risk Exposure in Financial Market: A GARCH-EVT-Copula Approach
  • The impact of monetary policy on bank leverage: combining conventional with statistical identification of shocks
  • An empirical evaluation of GARCH models in Value-at-Risk forecasts: evidence from S&P500 and Moscow Stock Exchange
  • Risk metrics for different asset classes under the GAS model
  • Volatility Modeling with Regime-Switching GARCH Models
  • The clearing process and initial margin: The case of listed German derivatives
  • Option Pricing in Stochastic Volatility Models
  • An empirical investigation of Regime-switching GARCH model
  • Modelling the returns of Bitcoin
  • Predicting volatility using regime-switching models: Evidence from the Russian stock market
  • An out-of-sample comparison of different portfolio optimization strategies 
  • A Comparison of Value-at-Risk Backtesting Strategy
  • Analysis and Comparison of Expected Shortfall Backtesting Methods
  • Modeling Volatility Dynamics with Markov-Switching GARCH Models