Selected Publications for which data and program codes are available
complete list of publications in c.v.
Selected Working Papers
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
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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
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Fall of the Titans? Working Paper U Tübingen and Zeppelin University,
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Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach. Available at SSRN: http://ssrn.com/abstract=2397065,
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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,
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Bayesian Estimation of the Probability of Informed Trading, Working Paper U Tübingen and U Mannheim, with E. Theissen and S. Zehnder |