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Publications

[selected publications][Ausgewählte Publikationen]

  • Asymmetric Information in Automobile Insurance: Evidence from Driving Behavior (with Daniela Kremslehner and Alexander Mürmann), Journal of Risk and Insurance, 2019 (pdf)

  • Inflation Forecasts Extracted from Nominal and Real Yield Curves (with Michael Hanke and Alex Weissensteiner), The Quarterly Review of Economics and Finance, 60, May, 180–188, 2016 (pdf)

  • The Black-Litterman Approach and Views from Predictive Regressions: Theory and Implementation (with Katarina Lucivjanska), Journal of Portfolio Management,42, No. 4, 38-48, 2016(pdf)

  • No-Arbitrage ROM Simulation (with Michael Hanke and Alex Weissensteiner), Journal of Economic Dynamics and Control, 45, 66–79, 2014 (pdf)

  • No-Arbitrage Bounds for Financial Scenarios (with Michael Hanke and Alex Weissensteiner), European Journal of Operational Research, 236 (2), 657-663, 2014 (pdf)

  • Scenario Tree Generation and Multi-Asset Financial Optimization Problems (with Michael Hanke and Alex Weissensteiner), Operations Research Letters, 41 (5), 494-498, 2013 (pdf)

  • No-Arbitrage Conditions, Scenario Trees, and Multi-Asset Financial Optimization (with Michael Hanke and Alex Weissensteiner), European Journal of Operational Research, 206 (3), 609-613, 2010 (pdf)

  • Life-cycle Asset Allocation and Consumption Using Stochastic Linear Programming (with Michael Hanke and Alex Weissensteiner), Journal of Computational Finance, 12 (4), 29-50, 2009

  • A Stochastic Programming Approach for Multi-Period Portfolio Optimization (with Michael Hanke and Alex Weissensteiner), Computational Management Science, 6 (2), 187-208, 2009 (pdf)

  • The Innovest Austrian Pension Fund Financial Planning Model InnoALM (with William T. Ziemba), Operations Research, 56, 797-810, 2008 (pdf)

  • Die Wirkung von Interesse und Sympathie auf die Gesamtbeurteilung in der Lehrevaluation - Direkte und indirekte Effekte unter Berücksichtigung des Lehrverhaltens (mit BettinaGreimel-Fuhrmann), Empirische Pädagogik, 19 (2), 103-120, 2005

  • Measuring Systematic Risk in EMU Government Yield Spreads (with Stephan Kossmeier and Stefan Pichler), Review of Finance, 8 (2), 171-197, 2004 (pdf)

  • Forecasting Exchange Rates using Cointegration Models and Intra-day Data (with AdrianTrapletti and Friedrich Leisch), Journal of Forecasting, 21, 151-166, 2002. (Diese Arbeit wurde mit dem Best Paper Award der WU 2003 ausgezeichnet)

  • Implications of dependence in stock returns for asset allocation, Applied Financial Economics, 10, 623-633, 2000

  • A state-space approach to estimate and test multifactor Cox-Ingersoll-Ross models of the term structure (with Stefan Pichler), Journal of Financial Research, 22 (1), 107-130, 1999. (Diese Arbeit wurde mit dem Best Paper Award der WU 1999 sowie mit dem Best Paper Award des Verbands der Hochschullehrer für Betriebswirtschaft ausgezeichnet)

  • Transformational leadership and objective performance in banks (with Johannes Steyrer), Applied Psychology, 47 (3), 397-420, 1998

  • A Maximum Entropy Method for Inverting Transforms of Probability Density Functions (with Udo Wagner), Biometrika, 82, 887-892, 1995

  • GARCH Effekte in der Optionsbewertung - Empirisch fundierte Simulationsergebnisse (mit Walter Schwaiger), Zeitschrift für Betriebswirtschaft, 65, 533-549, 1995

  • Volatility estimates of the Vienna stock market, Applied Financial Economics, 4, 449-455, 1994

  • Transformationale Führung - empirische Belege zu einer neuen Leadership Theorie (mit Johannes Steyrer), Zeitschrift für Betriebswirtschaft, 64 , 961-979, 1994

  • Wie reagiert der Wiener Aktienmarkt auf weltweite Kurseinbrüche? Zeitschrift für Betriebswirtschaft, 62, 1187-1206, 1992

  • ARCH Modelle zur Messung des Marktrisikos (mit S.Hauer), Zeitschrift für betriebswirtschaftliche Forschung, 43, 65-74, 1991


[complete list][komplette Liste] [FIDES]

     

[working papers][Arbeitspapiere]

  • A Simplex Rotation Algorithm for the Factor Approach to Generate Financial Scenarios (with M.Hanke and A.Weissensteiner) (pdf) [listed on SSRN's Top Ten download list for ERN in several areas]

  • No-Arbitrage Bounds for Scenarios and Financial Optimization (with M.Hanke and A.Weissensteiner) (pdf)

  • Inflation Forecasts Extracted from Nominal and Real Yield Curves (with M.Hanke and A.Weissensteiner) (pdf) [listed on SSRN's Top Ten download list for ERN in several areas]

  • Life-Cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming (with M.Hanke and A.Weissensteiner) (pdf)

  • Welche Faktoren beeinflussen die Evaluation von Lehrkräften? (mit B.Greimel) (pdf)

  • Empirical Analysis of European Government Yield Spreads (with S.Kossmeier and S.Pichler) (pdf)

  • Bayesian Estimation of Econometric Multi-Factor Cox-Ingersoll-Ross-Models of the Term Structure of Interest Rates Via MCMC Methods (with S.Frühwirth-Schnatter) (pdf)

  • Cointegration and Exchange Market Efficiency: An Analysis of High Frequency Data (with A.Trapletti and F.Leisch), SFB Working Paper No. 52 (pdf)

  • Delta hedging with stochastic volatility in discrete time (with W.Schwaiger) (pdf)

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