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Department of Economics and Finance, IHS
Vienna and Vienna Graduate School of Finance Tel.: +43-1-59991 -182 |
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.
``$GMM$
Estimation of Affine Term Structure Models'', with J. Hlouskova, forthcoming in
Econometrics and Statistics.