Working Papers

N° 23-01: (Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter RestrictionsJan Pablo Burgard
Matthias Neuenkirch
Dennis Umlandt
N° 22-04: The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions [Journal of Asset Management (2022)]Artem Dyachenko
Patrick Ley
Marc Oliver Rieger
Alexander F. Wagner
N° 22-03: Stochastic Discount Factor and Relative EntropyArtem Dyachenko
N° 22-02: Dynamic Mixture Vector Autoregressions with Score-Driven WeightsAlexander Georges Gretener
Matthias Neuenkirch
Dennis Umlandt
N° 22-01: Projections of the Stochastic Discount Factor with Applications to BubblesArtem Dyachenko
N° 21-01: Nudging against panic selling: Making use of the IKEA effect [Journal of Behavioral and Experimental Finance (2021)]Amin Zokaei Ashtiani
Marc Oliver Rieger
David Stutz
N° 20-08: The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model [Macroeconomic Dynamics (2022)]Hamza Bennani
Jan Pablo Burgard
Matthias Neuenkirch
N° 20-07: Universal Time Preference [PLOS ONE (2021)]Marc Oliver Rieger,
Mei Wang,
Thorsten Hens
N° 20-06: Likelihood-Based Dynamic Asset Pricing: Learning Time-Varying Risk Premia from Cross-Sectional ModelsDennis Umlandt
N° 20-05: Continuous-Time Mean Field Games with Finite State Space and Common Noise [Applied Mathematics and Optimization (2021)]

Christoph Belak,
Daniel Hoffmann,
Frank T. Seifried

N° 20-04: Branching Diffusions with Jumps and Valuation with Systemic Counterparties [Journal of Computational Finance (2021)]Christoph Belak,
Daniel Hoffmann,
Frank T. Seifried
N° 20-03: Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US [International Journal of Forecasting (2022)]Felix Haase,
Matthias Neuenkirch
N° 20-02: Pre-Decisional Information Acquisition: Do We Pay Too Much for Information? [Journal of Economic Psychology (2021)]Marc Oliver Rieger,
Mei Wang,
Daniel Hausmann
N° 20-01: Sign Matters: Stock Movement Based Trading Decisions of Private Investors [Journal of Banking and Finance (2022+)]Stefan Muhl,
Marc Oliver Rieger,
Hung Ling Chen
N° 19-08: Foreign Exchange Dealer Asset Pricing [Journal of International Economics (2021) as Currency Returns and FX Dealer Balance Sheets]Stefan Reitz,
Dennis Umlandt
N° 19-07: Portfolio Optimization with Optimal Expected Utility Risk Measures [Annals of Operations Research (2022)]H. Fink
S. Geissel
J. Herbinger
F. T. Seifried
N° 19-06: Optimal Investment for Retail Investors with Floored and Capped Costs [Mathematical Finance (2022) as Optimal Investment for Retail Investors]Christoph Belak
Lukas Mich
Frank T. Seifried
N° 19-05: Financial Stability and the Fed: Evidence from Congressional Hearings [Economic Inquiry (2021)]Arina Wischnewsky
David-Jan Jansen
Matthias Neuenkirch
N° 19-04: Capital Structure Decisions, Loss Aversion, and Equity PremiumWolfgang Breuer
Ji Cao
Marc Oliver Rieger
K. Can Soypak
N° 19-03: A Cautionary Note on Niu and Zeng (2018)Ji Cao
Marc Oliver Rieger
N° 19-02: Safety First, Loss Probability, and the Cross Section of Expected Stock ReturnsJi Cao
Marc Oliver Rieger
Lei Zhao
N° 19-01: Systemic Impact of the Risk Based Fund Classification and Implications for Fund ManagementMartin Ewen
Marc Oliver Rieger