Working Paper Series

From University of Trier, Research Group Quantitative Finance and Risk Analysis
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2023-02: Hawks and Doves: Financial Market Perception of Western Support for Ukraine: Matthias Neuenkirch, Maria Repko and Enzo Weber
2023-01: (Almost) Recursive Shock Identification with Economic Parameter Restrictions: Jan Pablo Burgard, Matthias Neuenkirch and Dennis Umlandt
2022-02: Dynamic Mixture Vector Autoregressions with Score-Driven Weights: Alexander Georges Gretener, Matthias Neuenkirch and Dennis Umlandt
2020-08: The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model: Hamza Bennani, Jan Pablo Burgard and Matthias Neuenkirch
2020-07: Universal Time Preference: Marc Oliver Rieger, Mei Wang and Thorsten Hens
2020-06: Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models: Dennis Umlandt
2020-05: Continuous-Time Mean Field Games with Finite StateSpace and Common Noise: Christoph Belak, Daniel Hoffmann and Frank T. Seifried
2020-04: Branching Diffusions with Jumps and Valuation with Systemic Counterparties: Christoph Belak, Daniel Hoffmann and Frank T. Seifried
2020-03: Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US: Felix Haase and Matthias Neuenkirch
2020-02: Pre-Decisional Information Acquisition: Do We Pay TooMuch for Information?: Marc Oliver Rieger, Mei Wang and Daniel Hausmann
2020-01: Sign Matters: Stock Movement Based Trading Decisions of Private Investors: Stefan Muhl, Marc Oliver Rieger and Hung Ling Chen
2019-08: Foreign Exchange Dealer Asset Pricing: Stefan Reitz and Dennis Umlandt
2019-07: Portfolio Optimization with Optimal Expected Utility Risk Measures: H. Fink, S. Geissel, J. Herbinger and F. T. Seifried
2019-06: Optimal Investment for Retail Investors with Flooredand Capped Costs: Christoph Belak, Lukas Mich and Frank T. Seifried
2019-05: Financial Stability and the Fed: Evidence fromCongressional Hearings: Arina Wischnewsky, David-Jan Jansen and Matthias Neuenkirch
2019-04: Capital Structure Decisions, Loss Aversion, and Equity Premium: Wolfgang Breuer, Ji Cao, Marc Oliver Rieger and K. Can Soypak
2019-03: A Cautionary Note on Niu and Zeng (2018): Ji Cao and Marc Oliver Rieger
2019-02: Safety First, Loss Probability, and the Cross Section of Expected Stock Returns: Ji Cao, Marc Oliver Rieger and Lei Zhao
2019-01: Systemic Impact of the Risk Based Fund Classification and Implications for Fund Management: Martin Ewen and Marc Oliver Rieger