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Publications

The Finance Group conducts research in a range of areas within finance. Some examples are given by the recent publications mentioned below (Group Members in boldface):

 

  • P. Sibbertsen, C. Leschinski, & M. Busch: A Multivariate Test Against Spurious Long Memory,
    Journal of Econometrics (forthcoming)

  • M. Prokopczuk, L. Symeonidis, & C. Wese Simen: Variance Risk in Commodity Markets,
    Journal of Banking & Finance (2017), Vol. 81, pp. 136-149 (Link)

  • U. Bhattacharya, B. Loos, S. Meyer & A. Hackethal: Abusing ETFs,
    Review of Finance (2017), Vol. 21(3), pp. 1217-1250 (Link)

  • F. Hollstein & M. Prokopczuk: Estimating Beta,
    Journal of Financial and Quantitative Analysis (2016), Vol. 51(4), pp. 1437–1466 (Link)

  • M. Neumann, M. Prokopczuk, & C. Wese Simen: Jump and Variance Risk Premia in the S&P 500
    Journal of Banking and Finance
    (2016), Vol. 69, pp. 72-83 (Link)

  • J. Arismendi, J. Back, R. Paschke, M. Prokopczuk, & M. Rudolf: Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
    Journal of Banking and Finance
    (2016), Vol. 66, pp. 53-65 (Link)

  • R. Füss, S. Mahringer, & M. Prokopczuk: Electricity Derivatives Pricing with Forward-Looking Information,
    Journal of Economic Dynamics and Control
    (2015), Vol. 58, pp. 34-57 (Link)

  • T. Bodnar, N. Parolya & W. Schmid: On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability,
    European Journal of Operational Research
    (2015), Vol. 246(2), pp. 528-542 (Link)

  • J. Schmittmann, J. Pirschel, S. Meyer & A. Hackethal : The impact of weather on German retail investors,
    Review of Finance
    (2015), Vol. 19(3), pp. 1143-1183 (Link)

  • M. Prokopczuk & C. Wese Simen: The Importance of the Volatility Risk Premium for Volatility Forecasting,
    Journal of Banking and Finance (2014), Vol 40, pp. 303-320 (Link)

  • P. Sibbertsen, C. Wegener & T. Basse: Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds,
    Journal of Banking and Finance
    (2014), Vol. 41, pp 109 - 118 (Link)

  • J. Back, M. Prokopczuk, & M. Rudolf: Seasonality and the Valuation of Commodity Options,
    Journal of Banking and Finance
    (2013), Vol. 37(2), pp. 273-290 (Link)

  • T. Bodnar, N. Parolya, & W. Schmid: On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory,
    European Journal of Operational Research (2013), 229, pp. 637-644 (Link)

  • M. Dierkes, C. Erner, T. Langer & L. Norden: Business credit information sharing and default risk of private firms,
    Journal of Banking and Finance
    (2013), Vol. 37, pp. 2867 - 2878 (Link)

  • U. Bhattacharya, A. Hackethal, S. Kaesler, B. Loos & S. Meyer: Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study,
    Review of Financial Studies
    (2012), Vol. 25, pp. 975-1032 (Link)

  • M. Dierkes, C. Erner & S. Zeisberger: Investment horizon and the attractiveness of investment strategies: A behavioral approach,
    Journal of Banking and Finance
    (2010), Vol. 34, pp. 1032 - 1046 (Link)

  • v. Mettenheim, H.-J. & Breitner, M. H.: Robust Decision Support Systems with Matrix Forecasts and Shared Layer Perceptions for Finance and Other Applications,
    ICIS 2010 Proceedings
    , Paper 83 (Link)

  • R. Paschke & M. ProkopczukCommodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics,
    Journal of Banking and Finance (2010), Vol. 34(11), pp. 2741-2752 (Link)

  • J. Davidson. & P. Sibbertsen: Generating schemes for long memory processes,
    Journal of Econometrics (2005), Vol. 128(2), pp 253 - 282 (Link)


Complete lists of publications are available on the respective homepages of the institutes:

  • Banking and Finance (Link)
  • Financial Econometrics (Link)
  • Financial Markets (Link)
  • Information Systems Research (Link1, Link2)
  • Money and International Finance (Link1, Link2)
  • Statistics (Link)