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