Econometrics, Statistics and Empirical Economics

Selected Publications for which data and program codes are available

complete list of publications in c.v.

Estimating the SARS-CoV-2 Infection Fatality by Data Combination: The Case of Germany's First Wave

accepted for publication in The Econometrics Journal

Programs and data

with T. Dimpfl, J. Sönksen und I.Bechmann

 

Empirical Asset Pricing with Multi-Period Disasters - A Simulation-Based Approach,

Journal of Econometrics,Vol. 222, Issue 1, 805-832, May 2021

 open access

Web Appendix Part I: Detailed derivations and Web Appendix Part II: Programs and data

with J. Sönksen

 

A Two-step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model,

Journal of Econometrics, Vol 205, Issue 1, May 2018, pp 16-33 (lead article in issue)

Web appendix including data and programs, pre-published SSRN

with E.-M. Küchlin

 

Creative Destruction and Asset Prices,

Journal of Financial and Quantitative Analysis, Vol. 51, Issue 06, December 2016, pp 1739-1768 (lead article in issue)

Web appendix including data and programs

with S. Jank

 

Tell-Tale Tails: A New Approach to Estimating Unique Market Information Shares,

Journal of Financial and Quantitative Analysis, Vol. 48, Issue 02, April 2013, pp 459-488

Data, Programs and readme,

with F.-J. Peter

 

A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation,

Journal of Economic Dynamics and Control, Vol. 32, Issue 7, 2008, 2370-2396,

Data, Programs and readme,

with K. Kehrle

 

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?,

Journal of Financial Markets, Vol. 10, 2007, 26 - 47,

Data and Programs and readme,

with E. Boehmer and E. Theissen

 

A Familiy of Autoregressive Conditional Duration Models,

Journal of Econometrics, Vol. 130/1, 2006, 1 - 23 (lead article in issue)

Data and Programs and readme,

with M. Fernandes

 

Non-parametric Specification Tests for Conditional Duration Models,

Journal of Econometrics, Vol. 127, 2005, 35 - 68,

Data and Programs and readme,

with M. Fernandes

 

Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects,

Journal of Empirical Finance, Vol. 12/1, 2005, 139 - 164,

Data and Programs and readme

with M. Melvin and C. Schlag

 

Discrete Choice Modelling in Airline Network Management,

Journal of Applied Econometrics, Vol. 20, 2005, 467 - 486,

Data and Programs and readme,

with R. Hujer and M. Scheidler

 

A Comparison of Financial Duration Models via Density Forecasts,

International Journal of Forecasting, Vol. 20, 2004, 589 - 609,

Data and Programs and readme,

with L. Bauwens, P. Giot and D. Veredas

 

Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes,

Journal of Econometrics, Vol. 106/2, 2002, 369 - 400,

Data and Programs,

with M. Wellner

 

Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets,

Journal of Financial Markets, Vol. 4, 2001, 385 - 412,

Data and Programs,

with D. Schiereck and E. Theissen

 

Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model,

The Econometrics Journal, Vol. 3, 2000, 16 - 38,

Data and Programs,

with K.-O. Maurer

Selected Working Papers

Non-Standard Errors (November 23, 2021). Available at SSRN: https://ssrn.com/abstract=3961574 or http://dx.doi.org/10.2139/ssrn.3961574,

with Menkveld, Albert J. and Dreber, Anna and Holzmeister, Felix and Huber, Juergen and Johanneson, Magnus and Kirchler, Michael and Razen, Michael and Weitzel, Utz and Abad, David and Abudy, Menachem (Meni) and Adrian, Tobias and Ait-Sahalia, Yacine and Akmansoy, Olivier and Alcock, Jamie and Alexeev, Vitali and Aloosh, Arash and Amato, Livia and Amaya, Diego and Angel, James J. and Bach, Amadeus and Baidoo, Edwin and Bakalli, Gaetan and Barbon, Andrea and Bashchenko, Oksana and Bindra, Parampreet Christopher and Bjonnes, Geir Hoidal and Black, Jeffrey R. and Black, Bernard S. and Bohorquez, Santiago and Bondarenko, Oleg and Bos, Charles S. and Bosch-Rosa, Ciril and Bouri, Elie and Brownlees, Christian T. and Calamia, Anna and Cao, Viet Nga and Capelle-Blancard, Gunther and Capera, Laura and Caporin, Massimiliano and Carrion, Allen and Caskurlu, Tolga and Chakrabarty, Bidisha and Chernov, Mikhail and Cheung, William Ming Yan and Chincarini, Ludwig B. and Chordia, Tarun and Chow, Sheung Chi and Clapham, Benjamin and Colliard, Jean-Edouard and Comerton-Forde, Carole and Curran, Edward and Dao, Thong and Dare, Wale and Davies, Ryan J. and De Blasis, Riccardo and De Nard, Gianluca and Declerck, Fany and Deev, Oleg and Degryse, Hans and Deku, Solomon and Desagre, Christophe and Van Dijk, Mathijs A. and Dim, Chukwuma and Dimpfl, Thomas and Dong, Yun Jiang and Drummond, Philip and Dudda, Tom and Dumitrescu, Ariadna and Dyakov, Teodor and Dyhrberg, Anne Haubo and Dzieliński, Michał and Eksi, Asli and El Kalak, Izidin and ter Ellen, Saskia and Eugster, Nicolas and Evans, Martin D.D. and Farrell, Michael and Félez-Viñas, Ester and Ferrara, Gerardo and FERROUHI, El Mehdi and Flori, Andrea and Fluharty-Jaidee, Jonathan and Foley, Sean and Fong, Kingsley Y. L. and Foucault, Thierry and Franus, Tatiana and Franzoni, Francesco A. and Frijns, Bart and Frömmel, Michael and Fu, Servanna Mianjun and Füllbrunn, Sascha and Gan, Baoqing and Gehrig, Thomas and Gerritsen, Dirk and Gil-Bazo, Javier and Glosten, Lawrence R. and Gomez, Thomas and Gorbenko, Arseny and Güçbilmez, Ufuk and Grammig, Joachim and Gregoire, Vincent and Hagströmer, Björn and Hambuckers, Julien and Hapnes, Erik and Harris, Jeffrey H. and Harris, Lawrence and Hartmann, Simon and Hasse, Jean-Baptiste and Hautsch, Nikolaus and He, Xue-Zhong 'Tony' and Heath, Davidson and Hediger, Simon and Hendershott, Terrence J. and Hibbert, Ann Marie and Hjalmarsson, Erik and Hoelscher, Seth and Hoffmann, Peter and Holden, Craig W. and Horenstein, Alex R. and Huang, Wenqian and Huang, Da and Hurlin, Christophe and Ivashchenko, Alexey and Iyer, Subramanian R. and Jahanshahloo, Hossein and Jalkh, Naji and Jones, Charles M. and Jurkatis, Simon and Jylha, Petri and Kaeck, Andreas and Kaiser, Gabriel and Karam, Arzé and Karmaziene, Egle and Kassner, Bernhard and Kaustia, Markku and Kazak, Ekaterina and Kearney, Fearghal and van Kervel, Vincent and Khan, Saad and Khomyn, Marta and Klein, Tony and Klein, Olga and Klos, Alexander and Koetter, Michael and Krahnen, Jan Pieter and Kolokolov, Aleksey and Korajczyk, Robert A. and Kozhan, Roman and Kwan, Amy and Lajaunie, Quentin and Lam, Full Yet Eric Campbell and Lambert, Marie and Langlois, Hugues and Lausen, Jens and Lauter, Tobias and Leippold, Markus and Levin, Vladimir and Li, Yijie and Li, (Michael) Hui and Liew, Chee Yoong and Lindner, Thomas and Linton, Oliver B. and Liu, Jiacheng and Liu, Anqi and Llorente-Alvarez, Jesus-Guillermo and Lof, Matthijs and Lohr, Ariel and Longstaff, Francis A. and Lopez-Lira, Alejandro and Mankad, Shawn and Mano, Nicola and Marchal, Alexis and Martineau, Charles and Mazzola, Francesco and Meloso, Debrah C and Mihet, Roxana and Mohan, Vijay and Moinas, Sophie and Moore, David and Mu, Liangyi and Muravyev, Dmitriy and Murphy, Dermot and Neszveda, Gabor and Neumeier, Christian and Nielsson, Ulf and Nimalendran, Mahendrarajah and Nolte, Sven and Nordén, Lars L. and O'Neill, Peter and Obaid, Khaled and Ødegaard, Bernt Arne and Östberg, Per and Painter, Marcus and Palan, Stefan and Palit, Imon and Park, Andreas and Pascual Gascó, Roberto and Pasquariello, Paolo and Pastor, Lubos and Patel, Vinay and Patton, Andrew J. and Pearson, Neil D. and Pelizzon, Loriana and Pelster, Matthias and Pérignon, Christophe and Pfiffer, Cameron and Philip, Richard and Plíhal, Tomáš and Prakash, Puneet and Press, Oliver-Alexander and Prodromou, Tina and Putnins, Talis J. and Raizada, Gaurav and Rakowski, David A. and Ranaldo, Angelo and Regis, Luca and Reitz, Stefan and Renault, Thomas and Wang, Renjie and Renò, Roberto and Riddiough, Steven and Rinne, Kalle and Rintamäki, Paul and Riordan, Ryan and Rittmannsberger, Thomas and Rodríguez Longarela, Iñaki and Rösch, Dominik and Rognone, Lavinia and Roseman, Brian and Rosu, Ioanid and Roy, Saurabh and Rudolf, Nicolas and Rush, Stephen and Rzayev, Khaladdin and Rzeźnik, Aleksandra and Sanford, Anthony and Sankaran, Harikumar and Sarkar, Asani and Sarno, Lucio and Scaillet, Olivier and Scharnowski, Stefan and Schenk-Hoppé, Klaus Reiner and Schertler, Andrea and Schneider, Michael and Schroeder, Florian and Schürhoff, Norman and Schuster, Philipp and Schwarz, Marco A. and Seasholes, Mark S. and Seeger, Norman and Shachar, Or and Shkilko, Andriy and Shui, Jessica and Sikic, Mario and Simion, Giorgia and Smales, Lee A. and Söderlind, Paul and Sojli, Elvira and Sokolov, Konstantin and Spokeviciute, Laima and Stefanova, Denitsa and Subrahmanyam, Marti G. and Neusüss, Sebastian and Szaszi, Barnabas and Talavera, Oleksandr and Tang, Yuehua and Taylor, Nicholas and Tham, Wing Wah and Theissen, Erik and Thimme, Julian and Tonks, Ian and Tran, Hai and Trapin, Luca and Trolle, Anders B. and Valente, Giorgio and Van Ness, Robert A. and Vasquez, Aurelio and Verousis, Thanos and Verwijmeren, Patrick and Vilhelmsson, Anders and Vilkov, Grigory and Vladimirov, Vladimir and Vogel, Sebastian and Voigt, Stefan and Wagner, Wolf and Walther, Thomas and Weiss, Patrick and van der Wel, Michel and Werner, Ingrid M. and Westerholm, P. Joakim and Westheide, Christian and Wipplinger, Evert and Wolf, Michael and Wolff, Christian C. P. and Wolk, Leonard and Wong, Wing Keung and Wrampelmeyer, Jan and Xia, Shuo and Xiu, Dacheng and Xu, Ke and Xu, Caihong and Yadav, Pradeep K. and Yagüe, José and Yan, Cheng and Yang, Antti and Yoo, Woongsun and Yu, Wenjia and Yu, Shihao and Yueshen, Bart Zhou and Yuferova, Darya and Zamojski, Marcin and Zareei, Abalfazl and Zeisberger, Stefan and Zhang, Sarah and Zhang, Xiaoyu and Zhong, Zhuo and Zhou, Z. Ivy and Zhou, Chen and Zhu, Xingyu and Zoican, Marius and Zwinkels, Remco C.J. and Chen, Jian and Duevski, Teodor and Gao, Ge and Gemayel, Roland and Gilder, Dudley and Kuhle, Paul and Pagnotta, Emiliano and Pelli, Michele and Sönksen, Jantje and Zhang, Lu and Ilczuk, Konrad and Bogoev, Dimitar and Qian, Ya and Wika, Hans C. and Yu, Yihe and Zhao, Lu and Mi, Michael and Bao, Li and Vaduva, Andreea and Prokopczuk, Marcel and Avetikian, Alejandro and Wu, Zhen-Xing

 

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia (December 20, 2021). Available at SSRN: https://ssrn.com/abstract=3536835,  with C. Hanenberg and C. Schlag and J. Sönksen; Presented at the 48th Annual Meeting of the European Finance Association (EFA), the 12th Econometric Society World Congress and the 13th Annual Conference of the society for Financial Econometrics.

 

Empirical Asset Pricing in a DSGE Framework: Reconciling Calibration and Econometrics using Partial Indirect Inference (February 4, 2020). Available at SSRN: https://ssrn.com/abstract=3648085, with J. Schnaitmann and D. Elshiaty; Presented at the Econometric Society World Congress 2020, the Annual Meeting of the European Finance Association 2020 and the Annual Conference of the European Economic Association 2020

 

Fall of the Titans? Working Paper U Tübingen and Zeppelin University,
with F. Peter

 

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach. Available at SSRN: http://ssrn.com/abstract=2397065,
with J. Sönksen

 

Give me Strong Moments and Time - Combining GMM and SMM to Estimate Long-Run Risk Asset Pricing Models. Available at SSRN: http://ssrn.com/abstract=2386094. Internet Appendix,
with E.-M. Küchlin

 

Bayesian Estimation of the Probability of Informed Trading, Working Paper U Tübingen and U Mannheim,
with E. Theissen and S. Zehnder