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Aktuelle Forschungspapiere

Papers under revision

Research papers

  • A robust evaluation of macro-financial predictive content for realized volatility
     
  • Investigating bubbles in commodity prices by market expectations and determinants of dynamic persistence (with Tam Nguyen-Huu and Christoph Wegener)
     
  • Improved and extended nowcasting techniques for financial volatility (with Yuze Liu)
     
  • Testing distributional assumptions in time-varying location-scale models (with Matei Demetrescu)
     
  • Trouble with the bubble? Risk management in an explosive environment (with Dominique Guegan and Christoph Wegener)
  • Regime-specific exchange rate predictability and the role of uncertainty (with Joscha Beckmann)
  • Discriminating between true and spurious long memory processes: A new test based on non-linear transformations (with Niels Haldrup)