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) [among the top 10% most downloaded papers 2018-2019 in the Journal of Risk and Insurance]
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)