Working Papers

From Technische Universität Braunschweig, Institute of Finance
Contact information at EDIRC.
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IF44V2: Insured loss inflation: How natural catastrophes affect reconstruction costs: David Döhrmann, Marc Gürtler and Martin Hibbeln
IF44V1: An econometric analysis of the demand surge effect: David Döhrmann, Marc Gürtler and Martin Hibbeln
IF43V1: Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns: Marc Gürtler and Ronald Rauh
IF42V1: The optimality of heterogeneous tournaments: Marc Gürtler and Oliver Gürtler
IF41V1: Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity: Marc Gürtler and Ronald Rauh
IF40V1: The impact of the financial crisis and natural catastrophes on CAT bonds: M. Gürtler, M. Hibbeln and C. Winkelvos
IF39V1: How smart are investors after the subprime mortgage crisis? Evidence from the securitization market: Marc Gürtler and Martin Hibbeln
IF38V1: The interaction of explicit and implicit contracts: A signaling approach: Marc Gürtler and Oliver Gürtler
IF37V1: Piecewise continuous cumulative prospect theory and behavioral financial engineering: Marc Gürtler and Julia Stolpe
IF36V1: Inequality aversion and externalities: Marc Gürtler and Oliver Gürtler
IF35V1: Pitfalls in modeling loss given default of bank loans: Martin Hibbeln and Marc Gürtler
IF34V1: Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices: Stefan Ehlers, Marc Gürtler and Sven Olboeter
IF33V3: Implied rates of return, the discount rate effect, and market risk premia: Wolfgang Breuer and Marc Gürtler
IF32V2: Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model: Marc Gürtler and Ronald Rauh
IF31V2: A non-stationary approach for financial returns with nonparametric heteroscedasticity: Marc Gürtler, Jens-Peter Kreiss and Ronald Rauh
IF30V3: Markowitz versus Michaud: Portfolio optimization strategies reconsidered: Franziska Becker, Marc Gürtler and Martin Hibbeln
IF29V4: Accuracy of premium calculation models for CAT bonds: An empirical analysis: Marcello Galeotti, Marc Gürtler and Christine Winkelvos
IF28V1: Preisbildende Faktoren von privaten Immobilien: Marc Gürtler and Christine Rehan
IF27V2: Quantitative forecast model for the application of the Black-Litterman approach: Franziska Becker and Marc Gürtler
IF26V4: Measuring concentration risk for regulatory purposes: Marc Gürtler, Martin Hibbeln and Clemens Vöhringer
FW25V2: Analysts' dividend forecasts, portfolio selection, and market risk premia: Wolfgang Breuer, Franziska Feilke and Marc Gürtler
FW24V2: Crunch time: The optimal policy to avoid the "Announcement Effect" when terminating a subsidy: Marc Gürtler and Gernot Sieg
FW23V1: Einflussfaktoren von Immobilienpreisen bei Renditeobjekten: Martin Fest, Marc Gürtler and Dirk Heithecker
FW22V2: Einsatz inflationsindexierter Anleihen im Asset-Liability-Management: Franziska Feilke, Marc Gürtler and Martin Hibbeln
FW21V2: Coherent banking capital and optimal credit portfolio structure: Wolfgang Breuer and Marc Gürtler
FW20V4: Concentration risk under Pillar 2: When are credit portfolios infinitely fine grained?: Marc Gürtler, Dirk Heithecker and Martin Hibbeln
FW19V2: Multi-period defaults and maturity effects on economic capital in a ratings-based default-mode model: Marc Gürtler and Dirk Heithecker
FW18V1: Der Haftungsbeitrag des Eigenkapitals bei Kreditgeschäften im Rahmen der Marktzinsmethode: Marc Gürtler and Dirk Heithecker
FW17V4: Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation: Wolfgang Breuer and Marc Gürtler
FW16V2: Sicherheitenoptimierung im IRB-Modell von Basel II: Die adäquate Anrechnung von Bürgschaften: Marc Gürtler and Dirk Heithecker
FW15V2: Systematic credit cycle risk of financial collaterals: Modelling and evidence: Marc Gürtler and Dirk Heithecker
FW13V3: Das Qualitätsmanagement und Ratingindikatoren von SDAX Unternehmen: Marc Gürtler and Stefan Schunck
FW11V3: Two-Fund separation and positive marginal utility: Wolfgang Breuer and Marc Gürtler
FW10V3: The equity premium puzzle and emotional asset pricing: Marc Gürtler and Nora Hartmann
FW09V1: Gründungsfinanzierung und beschränkte Rationalität: Marc Gürtler and Nora Hartmann
FW08V3: Modellkonsistente Bestimmung des LGD im IRB-Ansatz von Basel II: Marc Gürtler and Dirk Heithecker
FW07V1: Der Loss Given Default und die Behandlung erwarteter Verluste im Baseler IRB-Ansatz: Marc Gürtler and Dirk Heithecker
FW06V4: Investors' direct stock holdings and performance evaluation for mutual funds: Wolfgang Breuer and Marc Gürtler
FW05V1: IAS 39: Verbesserte Messung der Hedge-Effektivität: Marc Gürtler
FW04V1: Behavioral dividend policy: Marc Gürtler and Nora Hartmann
FW02V1: Basel II und Auswirkungen auf den Mittelstand: Total Quality Management und das Bewertungsrisiko von KMU: Marc Gürtler and Stefan Schunck
FW01V4: Performance evaluation, portfolio selection, and HARA utility: Wolfgang Breuer and Marc Gürtler