Econometrics, Statistics and Empirical Economics
  • Quantifying the effects of the paradigm shift of the ECB’s interest rate policy
  • Kernel Method of Moments for Empirical Asset Pricing
  • Analyzing Influential Factors and Forecasting Renewable Electricity Consumption – Using Time Series and Deep Learning Techniques
  • Empirical Asset Pricing: Revisiting the Long-Horizon Implications of the Consumption-based CAPM
  • Reshuffling the purchasing power parity puzzle. Influence of real economic and monetary factors in a nonlinear error correction model
  • Sustainability in Asset Pricing: An empirical analysis of what it can and cannot deliver
  • Linkage between ESG-performance and Credit Risk in the European Market: An Econometric Analysis
  • The ESG Risk Premia in the Cross-Section of Asset Returns
  • Identification via shock constraints: a new way to measure the effect of economic uncertainty in Europe
  • Does Conference Call Sentiment Predict Firm Performance? A Pre- and Post-Pandemic Analysis
  • Assessing the Importance of Macroeconomic Variables for Machine Learning-based Bond Risk Premium Approximation
  • The Effect of Uncertainty and Fear Sentiment in the Coronavirus Pandemic on Bitcoin Price Dynamics
  • Can Option-based Equity Premium Prediction be improved using Machine Learning?
  • Climate Change Econometrics: Estimating a two-component energy balance model as a cointegrated VAR
  • Heterogeneous Intermediary Asset Pricing – A Chebyshev Collocation Approach
  • Information Content, Returns and Volatility of Neo-Broker Trading Activity
  • Price discovery of cross – listed biotech companies. An econometric analysis
  • Financial Crisis Prediction: Evidence from Machine Learning
  • Stock Price Prediction using LSTM for a High-Frequency Trading Strategy
  • The Development of Market Efficiency in a Cryptocurrency Market
  • Comparing Asset Pricing Models: An Econometric Performance Analysis Starting from the Two-Pass Regression Methodology
  • Assessing Economic Constraints for Deep Learning in Empirical Asset Pricing
  • Liquidity, Noise, and Adverse Selection on Cryptocurrency Markets
  • Dynamics, Persistence, and Co-Movement of Cryptocurrency Variance Processes
  • Pricing of structured retail products with embodied exotic options on the German market: example of Capped Reverse Bonus Certificates
  • Enhancing Automatic Decisions by Machine Learning: An Inductive Rule Based Approach
  • Combining asset pricing theory with machine learning: The conditional autoencoder
  • Intermediary Asset Pricing and the Value-Moment Strategy
  • Assessing the impact of intermittent energy sources on electricity prices
  • Indirect Inference Estimation of Stochastic Volatility Models using Neural Networks
  • Price Discovery Among Corporate Credit Default Swap and Bond Markets
  • From Mean to Machine Learning to Consumption-Based Asset Pricing - A Model Performance Analysis on the Tennis Sports Betting Market
  • Surprise Surprise – Using Deep Learning Methods to Model Emotional Cues During Soccer Matches with Incomplete Data
  • Uncertainty and the Business Cycle
  • Modeling Stock Market Intraday Seasonality: Machine Learning vs. Traditional Approaches
  • The Information Linkage across Spot, Futures and ETF Markets of World Commodities: An Econometric Analysis
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