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Department of Economics and Finance, IHS
Vienna and Vienna Graduate School of Finance Tel.: +43-1-59991 -182
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Major Fields
Financial Economics, Econometrics,
Quantitative Finance.
Academic Degrees
1993: Mag. rer.soc.oec. at Vienna University
of Economics and Business Administration
1997: Dr. rer.soc.oec. at Vienna University of
Economics and Business Administration
2003: Universitäts-Dozent at Vienna University
of Technology
Publications
“Asset Pricing Under Asymmetric Information'',
with C. Haefke, Central European Journal of Operations
Research, 2000, Vol. 8, 143 - 161.
“Adaptive Erwartungsbildung und
Finanzmarktdynamik'', with T. Dangl, E. Dockner, A. Gaunersdorfer, A. Pfister and G. Strobl, Zeitschrift
für betriebswirtschaftliche Forschung, 2001, Vol. 53, 339 -
365.
“Okun's
Law: Does the Austrian Unemployment - GDP Relationship exhibit Structural
Breaks?'', Empirical Economics, 2001, Vol. 26, pp. 553
- 564.
“Consistent Expectations Equilibria and Learning in a Stock Market'', with J. Mitlöhner, Journal
of Economic Dynamics and Control, 2002,Vol. 26/2, 171 - 185.
“An Analysis on the Structural Stability of Okun's Law - A Cross Country Study'', with A. Stiassny, Applied Economics,
2002, Vol. 14, 1775 - 1787.
“Stochastic Equilibrium: Learning by Exponential Smoothing'', with K. Pötzelberger, Journal of Economic Dynamics and Control,
2003, Vol. 27/10, 1743 - 1770.
“Sample Autocorrelation Learning in a Capital Market Model'', with K. Pötzelberger, Journal of Economic Behavior and
Organization, 2004, Vol. 53/2, 215-236.
“The Jarrow/Turnbull default risk model: Evidencefrom
the German market'', with M. Frühwirth, European Journal of Finance,
2006, Vol. 12/2, 107-135.
“Economic growth and the incidence of occupational injuries: a long time
analysis among Austrian employees between 1955 and 2004'', with A. Barth, R.
Winker, E. Ponocny-Seliger, I. Ponocny, Wiener klinische
Wochenschrift, 2007, Vol. 119, 5-6,
158-163.
“Maintenance Cost and the Determination of Usage Tariffs for the Austrian
Railroad System'', with G. Munduch, A. Pfister, A.
Stiassny, Zeitschrift für Betriebswirtschaft, 2008, Vol. 78/4, 423-438.
“Bayesian Estimation of the Heston Stochastic Volatility Model'', with S.
Frühwirth-Schnatter, Communications in Dependability and Quality Management,
(CDQM), 4/2008, Vol. 11/4, 5-25.
“Bayesian estimation of stochastic volatility models based on OU processes with
marginal Gamma law'', with S. Frühwirth-Schnatter, Annals of the
Institute of Statistical Mathematics, 2009, Vol. 61/1, 159-179.
“The Risk Microstructure of Corporate Bonds: A Case Study from the German
Corporate Bond Market'', with M. Frühwirth and P. Schneider, European
Financial Management, 2010, Vol. 16/4, 658-685.
“The Economic Role of Jumps and Recovery Rates in the Market for Corporate
Default Risk'', with Paul Schneider and Tanja Veza, Journal
of Financial and Quantitative Analysis, 2010, Vol. 45, 1517-1547.
“Socioeconomic
Factors and Suicide An Analysis of 18 Industrialized Countries for the Years
1983 Through 2007'', with Alfred Barth, Timo Gnambs,
Michael Kundi, Andreas Reiner and Robert Winker, Journal of
Occupational and Environmental Medicine, 2011, Vol.
53/3, 313-317.
“Priors
and Bayesian Parameter Estimation of Affine Term Structure Models'', Journal
of Computational Economics and Econometrics, 2014,
Vol. 4, No. 3/4, 288-319.
“Bayesian Learning,
Shutdown and Convergence''. Mathematical Social Sciences, 2015, Vol.
75, 27-43.
“Weather and SAD Related
Mood Effects on the Financial Market'', with M. Frühwirth. The Quarterly
Review of Economics and Finance, 2015, Vol.
57, 11 - 31.
“A
new strategy for Robbins' problem of optimal stopping'', with M. Meier, Journal of Applied Probability, 2017, Vol. 54, 331 - 336.
“An
Exploratory Analysis on the Risk to be Offended on the Internet'', with S.
Kirchner, Archives of Data Analysis,
Series A, 2018, Vol. 3(1), 1 -
26.
“Parameter
Estimation and Inference with Spatial Lags and Cointegration'', with J. Mutl, Econometric
Reviews, 2019, Vol. 38(6),
597-635. [doi
=10.1080/07474938.2017.1382803]
“GMM Estimation of Affine
Term Structure Models”, with J. Hlouskova, Econometrics and Statistics,
2020, Vol. 13, pp. 2-15. [https://doi.org/10.1016/j.ecosta.2019.10.001]
“Deviations from
Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets”, with J.
Reynolds and M. Wagner. Central European Journal of Economic Modelling and
Econometrics, Vol. 13(2), pp. 105-146. [DOI:
10.24425/cejeme.2021.137358]
“Financial
instability and economic activity'', with Ines Fortin and Jaroslava Hlouskova, Empirica, 2023, Vol. 50, pp. 481-521.
[https://doi.org/10.1007/s10663-023-09570-3]
“Hunting for
Superstars'', with M. Meier, Mathematics and Financial Economics,
forthcoming. [https://doi.org/10.1007/s11579-023-00337-9]
“Bayesian Reconciliation of the Return Predictability'', B. Koval and S.
Frühwirth-Schnatter, Studies in Nonlinear Dynamics & Econometrics,
2023, Vol. 28, no. 2, 2024, pp. 337-378. [https://doi.org/10.1515/snde-2022-0110].
“Inflation Forecasting in Turbulent Times'', with Martin Ertl, Ines
Fortin, Jaroslava Hlouskova, Sebastian P. Koch, and Robert M. Kunst; Empirica, 2024. [https://doi.org/10.1007/s10663-024-09633-z]
“Extending the Demand System Approach to Asset Pricing'', with T. Gehrig
and A. Westerkamp; forthcoming Financial Markets and Portfolio Management.
[https://orcid.org/0000-0001-5388-0601].