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Research

Research Interests 


Econometric Theory:

  • Volatility Models
  • Mixed Data Sampling
  • Time Series Analysis

Applied Econometrics:

  • Empirical Finance/Financial Econometrics: Long Term Volatility and Dynamic Correlations, the Risk-Return Relationship, Announcement Effects, Volatility Forecasting
  • Expectation Formation of Professional Forecasters and Households
  • Monetary Economics: Central Bank Communication, Taylor Rules, Inflation Persistence
  • Inflation/Output Uncertainty and Macroeconomic Performance

Grants


  • Heterogeneity in Macroeconomic Expectations: the Role of Individual Historical Experiences, Local Conditions, and Socio-Economic Characteristics, DFG – Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", 04/2019 – 03/2022.

  • Network-based analysis and exploration of financial markets, Marsilius Fellow, 04/2017 - 03/2018

  • Macroeconomic announcements and the term structure of VIX futures, Mobility Programme, 03/2016 – 09/2017.

  • Macro-Risk Assessment and Stabilization Policies with New Early Warning Signals (RASTANEWS), Collaborative Project within the 7th Framework Programme of the European Community, 02/2013 - 02/2016.

  • Determinants and modelling of inflation uncertainty during the financial- and sovereign debt crisis, Fritz Thyssen Stiftung, 10/2013 - 10/2015.

  • Long-Term Financial Volatility and Dynamic Correlations, Juniorprofessoren-Programm des Landes Baden-Württemberg, 10/2010 - 03/2014.

 

Publications


Econometric Theory

Applied Econometrics 

Empirical Finance/Financial Econometrics

Monetary Economics

Inflation/Output Uncertainty and Macroeconomic Performance

Book Reviews

 

 

Editor: Email
Latest Revision: 2023-03-15
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