Discussion Papers

Date
Topic
6/2019 Likelihood-based Dynamic Asset Pricing
Dennis Umlandt

5/2019

Euro Area Bond Market Interdependence and Shift Contagion
Sebastian Müller
4/2019 FX Pricing and Strategic Trading
Markus Haas and Sebastian Müller
3/2019 Procyclical Leverage in Europe and its Role in Asset Pricing
Markus Baltzer, Alexandra Koehl and Stefan Reitz
2/2019 Information Rigidities and Exchange Rate Expectations
Joscha Beckmann and Stefan Reitz
1/2019 Foreign Exchange Dealer Asset Pricing
Stefan Reitz, Dennis Umlandt
1/2017 Homogenous vs. Heterogenous Transition Functions in Smooth Transition Regressions - A LM-Type Test
Matei Demetrescu, Julian S. Leppin and Stefan Reitz
2/2016 Brexit and Short-Selling Disclosures
Alexandra Koehl
1/2016 A note on optimal portfolios under regime-switching
Markus Haas
 4/2015  Euro Money Market Trading During Times of Crisis
Falko Fecht and Stefan Reitz
 3/2015 On the role of market makers for money market liquidity and tensions
Falko Fecht, Stefan Reitz and Patrick Weber
 2/2015  Equity Flows and Relative Stock Prices: Empirical Evidence from North America
Valentyna Ozimkovska and Stefan Reitz
1/2015  Real Financial Market Exchange Rate Volatility and Portfolio Flows
Valentyna Ozimkovska
8/2014  Volatility of Industrial Production Growth and Characteristics of Optimal Currency Areas in EU-12 Countries
Valentyna Ozimkovska
7/2014  Theory for a Multivariate Markov-switching GARCH Model with an Application to Stock Markets
by Markus Haas and Ji-Chun Liu
6/2014  The Role of a Changing Market Environment for Credit Default Swap Pricing
…by Julian S. Leppin and Stefan Reitz
5/2014 Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
by Christian Pierdzioch, Stefan Reitz and Jan-Christoph Ruelke
4/2014 Speculative Activity on Futures Markets for Energy
Commodities and Precious Metals

by Karl Finger
3/2014 Friendship between Banks: An Application of the Actor-Oriented Model of Network Formation to Interbank Credit Relations
by Karl Finger and Thomas Lux
2/2014 Evaluation of Factor Models in Term Structure Forecasts
by Alexander B. Matthies
1/2014 Tax Evasion in an Artificial Financial Market
by Karl Finger and Daniel Fricke
12/2013 Causal Evidence on Internet Use and Stock Market Participation
by Markus Glaser and Alexander Klos
11/2013 Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
by Matteo Falagiarda and Stefan Reitz
10/2013 The Microstructure of Exchange Rate Management: FX Intervention and Capital Controls in Brazil
by Calebe de Roure, Steven Furnagiev and Stefan Reitz
9/2013 Who are the speculators on commodity future markets?
by Karl Finger, Markus Haas, Alexander Klos and Stefan Reitz
8/2013 On Assortative and Disassortative Mixing in Scale-Free Networks: The Case of Interbank Credit Networks
by Karl Finger, Daniel Fricke and Thomas Lux
7/2013 Saving and Consumption When Children Move Out
by Simon Rottke and Alexander Klos
6/2013 How Strongly Do Players React to Increased Risk Sharing in an Experimental Bank Run Game?
Alexander Klos and Norbert Sträter
5/2013 Fixing the Phillips Curve: The Case of Downward Nominal Wage Rigidity in the US
by Stefan Reitz and Ulf D. Slopek
4/2013 How to Influence Behavior in Coordination Games
Alexander Klos and Markus Nöth
3/2013 Real Financial Market Exchange Rates and Capital Flows
by Maria Gelman, Axel Jochem and Stefan Reitz
2/2013 Time-varying Mixture GARCH Models and Asymmetric Volatility
by Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude
1/2013 Exchange Rates in Target Zones – Evidence from the Danish Krone
by Stefan Reitz and Mark P. Taylor