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

forthcoming Journal of Econometrics,

 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,

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

Data and Programs,

with K.-O. Maurer

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

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia (February 12, 2020). Available at SSRN: https://ssrn.com/abstract=3536835, with C. Hanenberg and C. Schlag and J. Sönksen; Presented at the Econometric Society World Congress 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