Vienna Graduate School in Finance

Vienna Graduate School in Finance

Josef Zechner (ORCID: 0000-0002-3357-0208)

Disciplines

Mathematics (5%); Economics (95%)

Consortium
Research institution(s)
  • Institut für Höhere Studien - IHS
  • Wirtschaftsuniversität Wien
  • Wirtschaftsuniversität Wien
  • Wirtschaftsuniversität Wien
  • Universität Wien
Project participants
International project participants

Research Output

  • 5115 Citations
  • 201 Publications
Publications
  • 2024
    Title Building trust takes time: limits to arbitrage for blockchain-based assets
    DOI 10.1093/rof/rfae004
    Type Journal Article
    Author Hautsch N
    Journal Review of Finance
    Pages 1345-1381
    Link Publication
  • 2016
    Title The Adverse Effect of Information on Governance and Leverage.
    Type Journal Article
    Author Laux C
  • 2016
    Title Constrained efficiency versus unanimity in incomplete markets
    DOI 10.1007/s00199-016-0968-1
    Type Journal Article
    Author Zierhut M
    Journal Economic Theory
    Pages 23-45
  • 2018
    Title The Adverse Effect of Information on Governance and Leverage
    DOI 10.1287/mnsc.2016.2599
    Type Journal Article
    Author Laux C
    Journal Management Science
    Pages 1510-1527
    Link Publication
  • 2019
    Title Perceived Precautionary Savings Motives: Evidence from Digital Banking
    DOI 10.2139/ssrn.3499013
    Type Preprint
    Author D'Acunto F
    Link Publication
  • 2017
    Title Do Empty Creditors Matter? Evidence from Distressed Exchange Offers
    DOI 10.1287/mnsc.2015.2375
    Type Journal Article
    Author Danis A
    Journal Management Science
    Pages 1285-1301
  • 2017
    Title The funding of subsidiaries equity, double leverage and the risk of bank holding companies
    DOI 10.1111/jbfa.12288
    Type Journal Article
    Author Bressan S
    Journal Journal of Business Finance & Accounting
    Pages 209-231
  • 2017
    Title Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory
    DOI 10.1093/rfs/hhx079
    Type Journal Article
    Author Avramov D
    Journal The Review of Financial Studies
    Pages 556-594
    Link Publication
  • 2017
    Title Procyclicality of U.S. Bank Leverage
    DOI 10.1111/1475-679x.12163
    Type Journal Article
    Author Laux C
    Journal Journal of Accounting Research
    Pages 237-273
  • 2017
    Title How do financial institutions react to a tax increase?
    DOI 10.1016/j.jfi.2016.08.002
    Type Journal Article
    Author Schandlbauer A
    Journal Journal of Financial Intermediation
    Pages 86-106
  • 2017
    Title The response of soil microbial communities to variation in annual precipitation depends on soil nutritional status in an oligotrophic desert
    DOI 10.7717/peerj.4007
    Type Journal Article
    Author Montiel-González C
    Journal PeerJ
    Link Publication
  • 2013
    Title Successful Issues on the European Equity ETF Market.
    Type Journal Article
    Author Horvath A
    Journal Hitelintézeti Szemle (Financial and Economic Review).
  • 2013
    Title Investment, firm value, and risk for a system operator balancing energy grids
    DOI 10.1016/j.eneco.2013.01.007
    Type Journal Article
    Author Dockner E
    Journal Energy Economics
    Pages 182-192
    Link Publication
  • 2013
    Title Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series
    DOI 10.1007/978-3-642-35407-6_6
    Type Book Chapter
    Author Hautsch N
    Publisher Springer Nature
    Pages 115-127
  • 2013
    Title Rating Through-the-Cycle: What does the Concept Imply for Rating Stability and Accuracy?
    DOI 10.5089/9781475552119.001
    Type Journal Article
    Author Kiff J
    Journal IMF Working Papers
    Pages 1
    Link Publication
  • 2013
    Title Efficiency Analysis of Silage Maize Production in the Province of Canakkale
    DOI 10.9734/ajaees/2013/4007
    Type Journal Article
    Author Orhun G
    Journal Asian Journal of Agricultural Extension, Economics & Sociology
    Pages 140-151
  • 2018
    Title Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
    DOI 10.48550/arxiv.1812.00595
    Type Preprint
    Author Hautsch N
  • 2016
    Title Pricing Asian Options: A Comparison of Numerical and Simulation Approaches Twenty Years Later
    DOI 10.4236/jmf.2016.65056
    Type Journal Article
    Author Akos H
    Journal Journal of Mathematical Finance
    Pages 810-841
    Link Publication
  • 2016
    Title Voluntary Disclosure and Market Competition: Theory and Evidence from The US Services Sector.
    Type Conference Proceeding Abstract
    Author Dong Gn
  • 2016
    Title Integration of physical and futures prices in the US natural gas market
    DOI 10.1016/j.eneco.2016.03.011
    Type Journal Article
    Author Ghoddusi H
    Journal Energy Economics
    Pages 229-238
  • 2016
    Title The Black–Litterman Approach and Views from Predictive Regressions: Theory and Implementation
    DOI 10.3905/jpm.2016.42.4.038
    Type Journal Article
    Author Geyer A
    Journal The Journal of Portfolio Management
    Pages 38-48
  • 2016
    Title How Effective are Trading Pauses?
    DOI 10.2139/ssrn.2806474
    Type Preprint
    Author Hautsch N
  • 2016
    Title Leverage dynamics over the business cycle
    DOI 10.1016/j.jfineco.2016.07.001
    Type Journal Article
    Author Halling M
    Journal Journal of Financial Economics
    Pages 21-41
    Link Publication
  • 2009
    Title Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk
    DOI 10.2139/ssrn.1540778
    Type Preprint
    Author Eberlein E
  • 2009
    Title Board Committees, CEO Compensation, and Earnings Management
    DOI 10.2308/accr.2009.84.3.869
    Type Journal Article
    Author Laux C
    Journal The Accounting Review
    Pages 869-891
    Link Publication
  • 2009
    Title PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
    DOI 10.1111/j.1467-9965.2009.00374.x
    Type Journal Article
    Author Frey R
    Journal Mathematical Finance
    Pages 403-421
  • 2009
    Title The Case for Restarting Securitization,
    Type Journal Article
    Author Jobst A
    Journal Global Financial Stability Report (Box 2.1).
  • 2009
    Title Optimal Retention Policies for Loan Securitization.
    Type Journal Article
    Author Kiff J
    Journal Global Financial Stability Report (Box 2.7).
  • 2009
    Title Did Fair-Value Accounting Contribute to the Financial Crisis?
    DOI 10.3386/w15515
    Type Other
    Author Laux C
  • 2009
    Title Cross-Selling Lending and Underwriting: Scope Economies and Incentives.
    Type Journal Article
    Author Laux C
  • 2009
    Title A general equilibrium analysis of corporate control and the stock market
    DOI 10.1007/s00199-009-0511-8
    Type Journal Article
    Author Demichelis S
    Journal Economic Theory
    Pages 221-254
  • 2009
    Title Catastrophe Bonds and Reinsurance: The Competitive Effect of Information-Insensitive Triggers
    DOI 10.1111/j.1539-6975.2009.01317.x
    Type Journal Article
    Author Finken S
    Journal Journal of Risk and Insurance
    Pages 579-605
  • 2009
    Title On the Emergence of Money: the formation of media of exchange in artificial societies.
    Type Book
    Author Elendner H
  • 2009
    Title Life-cycle Asset Allocation and Consumption Using Stochastic Linear Programming.
    Type Journal Article
    Author Geyer A
  • 2009
    Title The crisis of fair-value accounting: Making sense of the recent debate
    DOI 10.1016/j.aos.2009.04.003
    Type Journal Article
    Author Laux C
    Journal Accounting, Organizations and Society
    Pages 826-834
    Link Publication
  • 2009
    Title Modelling Financial High Frequency Data Using Point Processes
    DOI 10.1007/978-3-540-71297-8_41
    Type Book Chapter
    Author Bauwens L
    Publisher Springer Nature
    Pages 953-979
  • 2009
    Title Price competition with population uncertainty
    DOI 10.1016/j.mathsocsci.2009.05.005
    Type Journal Article
    Author Ritzberger K
    Journal Mathematical Social Sciences
    Pages 145-157
  • 2008
    Title Price Dispersion in OTC Markets: A New Measure of Liquidity
    DOI 10.2139/ssrn.1100704
    Type Preprint
    Author Jankowitsch R
    Link Publication
  • 2008
    Title Option Compensation and Industry Competition
    DOI 10.1093/rof/rfn001
    Type Journal Article
    Author Stoughton N
    Journal Review of Finance
    Pages 147-180
    Link Publication
  • 2008
    Title Why Leverage Affects Pricing
    DOI 10.1093/rfs/hhn048
    Type Journal Article
    Author Pichler P
    Journal The Review of Financial Studies
    Pages 1733-1765
  • 2008
    Title Time consistency, subgame perfectness, solution concepts and information patterns in dynamic models of stabilization policies.
    Type Book Chapter
    Author Dockner Ej
  • 2008
    Title A Latent Variable Approach to Validate Credit Rating Systems
    DOI 10.2139/ssrn.1269306
    Type Preprint
    Author Hornik K
  • 2008
    Title Endogenous horizontal mergers in dynamic markets.
    Type Book
    Author Dockner Ej
  • 2008
    Title Cross-Selling Lending and Underwriting: Scope Economies and Incentives*
    DOI 10.1093/rof/rfn027
    Type Journal Article
    Author Laux C
    Journal Review of Finance
    Pages 341-367
    Link Publication
  • 2007
    Title Optimal capital allocation using RAROC™ and EVA®
    DOI 10.1016/j.jfi.2006.12.004
    Type Journal Article
    Author Stoughton N
    Journal Journal of Financial Intermediation
    Pages 312-342
  • 2007
    Title General equilibrium asset pricing under Regime switching.
    Type Journal Article
    Author Elliott Rj
  • 2007
    Title Life-Cycle Asset Allocation and Consumption Using Stochastic Linear Programming
    DOI 10.2139/ssrn.952956
    Type Preprint
    Author Geyer A
    Link Publication
  • 2007
    Title Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law
    DOI 10.1007/s10463-007-0130-8
    Type Journal Article
    Author Frühwirth-Schnatter S
    Journal Annals of the Institute of Statistical Mathematics
    Pages 159-179
  • 2007
    Title Capital accumulation, asset values and imperfect product market competition
    DOI 10.1080/10236190601069127
    Type Journal Article
    Author Dockner E
    Journal Journal of Difference Equations and Applications
    Pages 197-215
  • 2007
    Title Validation of credit rating systems using multi-rater information
    DOI 10.21314/jcr.2007.051
    Type Journal Article
    Author Hornik K
    Journal The Journal of Credit Risk
    Pages 3-29
  • 2006
    Title IPO Pricing with Bookbuilding and a When-Issued Market
    DOI 10.1017/s0022109000002660
    Type Journal Article
    Author Aussenegg W
    Journal Journal of Financial and Quantitative Analysis
    Pages 829-862
    Link Publication
  • 2005
    Title Capital accumulation games with a non-concave production function
    DOI 10.1016/j.jebo.2005.04.004
    Type Journal Article
    Author Dockner E
    Journal Journal of Economic Behavior & Organization
    Pages 408-420
  • 0
    Title Rating-Induced Default Risk and Downgrade Hesitation.
    Type Other
    Author Eledner H
  • 0
    Title Structural Model of Commodity Price Dynamics.
    Type Other
    Author Ghoddusi H
  • 0
    Title Financial Media, Price Discovery, and Merger Arbitrage.
    Type Other
    Author Bühlmaier Mmm
  • 0
    Title Islamic Finance and the Energy Sector.
    Type Other
    Author Ghoddusi H
  • 0
    Title The Interplay between Payout Policies and Debt inside Banking Firms.
    Type Other
    Author Bressan S
  • 0
    Title Correlation and Contagion as Sources of Systemic Risk.
    Type Other
    Author Frey R
  • 0
    Title Information Acquisition Costs and Credit Spreads.
    Type Other
    Author Jaskowski M
  • 0
    Title Does tradeoff theory explain high frequency debt issuers?
    Type Other
    Author Eckbo E
  • 0
    Title NASDAQ Trading Pauses: Pacifiers or Amplifiers.
    Type Other
    Author Horvath A
  • 0
    Title Dividend Covenants and Investment Policy.
    Type Other
    Author Dockner E
  • 0
    Title Foreclosure and Catastrophe Insurance.
    Type Other
    Author Laux C
  • 0
    Title Rumors and Runs in Opaque Markets: Evidence from The Panic of 1907.
    Type Other
    Author Fohlin C
  • 0
    Title The Stability of Dividends and Wages: Effects of Competitor Inflexibility.
    Type Other
    Author Rettl Da
  • 0
    Title Deleveraging Via Asset Sales: Agency Costs, Taxes, and Government Policies.
    Type Other
    Author Reindl J
  • 0
    Title The Impact of Borrowing Diversity on Firm Value, Financing and Real Decisions.
    Type Other
    Author Tengulov A
  • 0
    Title Discretion and Systemic Risk in Credit-Line Contracts: Theory and Evidence.
    Type Other
    Author Chaderina M
  • 2020
    Title Perceived Precautionary Savings Motives: Evidence from FinTech
    DOI 10.3386/w26817
    Type Other
    Author D'Acunto F
  • 2020
    Title Perceived Precautionary Savings Motives: Evidence from FinTech
    DOI 10.2139/ssrn.3545719
    Type Preprint
    Author D'Acunto F
    Link Publication
  • 2020
    Title Perceived Precautionary Savings Motives: Evidence from Fintech
    DOI 10.2139/ssrn.3554858
    Type Preprint
    Author D'Acunto F
    Link Publication
  • 2012
    Title Financial Instruments, Financial Reporting, and Financial Stability
    DOI 10.2139/ssrn.1991825
    Type Preprint
    Author Laux C
  • 2012
    Title Bayesian inference in a Stochastic Volatility Nelson–Siegel model
    DOI 10.1016/j.csda.2010.07.003
    Type Journal Article
    Author Hautsch N
    Journal Computational Statistics & Data Analysis
    Pages 3774-3792
    Link Publication
  • 2012
    Title The Impact of Longevity risk on U.S. Corporate Defined Benefit Pension Plans.
    Type Journal Article
    Author Kisser M
    Journal Global Financial Stability Report (Chapter 4).
  • 2012
    Title The Determinants of Recovery Rates in the US Corporate Bond Market
    DOI 10.2139/ssrn.2140793
    Type Preprint
    Author Jankowitsch R
    Link Publication
  • 2012
    Title Econometrics of Financial High-Frequency Data
    DOI 10.1007/978-3-642-21925-2
    Type Book
    Author Hautsch N
    Publisher Springer Nature
  • 2011
    Title Towards a Role for Regional Banks.
    Type Journal Article
    Author Gehrig T
    Journal Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung.
  • 2011
    Title Socioeconomic Factors and Suicide
    DOI 10.1097/jom.0b013e31820d161c
    Type Journal Article
    Author Barth A
    Journal Journal of Occupational and Environmental Medicine
    Pages 313-317
  • 2011
    Title Nonlinear Filtering in Models for Interest- Rate and Credit Risk.
    Type Book Chapter
    Author Frey R
  • 2014
    Title Health status and portfolio choice: Is their relationship economically relevant?
    DOI 10.1016/j.irfa.2014.01.008
    Type Journal Article
    Author Bressan S
    Journal International Review of Financial Analysis
    Pages 109-122
    Link Publication
  • 2014
    Title Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation
    DOI 10.1111/jori.12021
    Type Journal Article
    Author Filipovic D
    Journal Journal of Risk and Insurance
    Pages 261-288
    Link Publication
  • 2014
    Title Is Imperfection Better? Evidence from Predicting Stock and Bond Returns
    DOI 10.2139/ssrn.2168941
    Type Preprint
    Author Lucivjanska K
  • 2014
    Title The Determinants of Recovery Rates in the US Corporate Bond Market.
    Type Journal Article
    Author Jankowitsch R
  • 2014
    Title Comment on “Collateral premia and risk sharing under limited commitment” [Econ. Theory 46, 475–501 (2011)]
    DOI 10.1007/s40505-013-0027-z
    Type Journal Article
    Author Zierhut M
    Journal Economic Theory Bulletin
    Pages 111-113
    Link Publication
  • 2014
    Title IPO Pricing Mechanisms in the Presence of When-Issued Markets
    DOI 10.1142/s2010139214500165
    Type Journal Article
    Author Pichler P
    Journal The Quarterly Journal of Finance
    Pages 1450016
  • 2015
    Title Should zombie lending always be prevented?
    DOI 10.1016/j.iref.2015.02.023
    Type Journal Article
    Author Jaskowski M
    Journal International Review of Economics & Finance
    Pages 191-203
  • 2015
    Title Partially revealing rational expectations equilibrium with real assets and binding constraints
    DOI 10.1007/s00199-015-0910-y
    Type Journal Article
    Author Zierhut M
    Journal Economic Theory
    Pages 495-516
  • 2015
    Title Defence versus Offence: Disclosure and Media in Takeovers
    DOI 10.5539/ijef.v7n3p217
    Type Journal Article
    Author Orhun E
    Journal International Journal of Economics and Finance
    Link Publication
  • 2015
    Title Volatility smirk as an externality of agency conflict and growing debt
    DOI 10.1111/ijet.12072
    Type Journal Article
    Author Jaskowski M
    Journal International Journal of Economic Theory
    Pages 389-404
    Link Publication
  • 2015
    Title HIDDEN REGRET IN INSURANCE MARKETS
    DOI 10.1111/jori.12096
    Type Journal Article
    Author Huang R
    Journal Journal of Risk and Insurance
    Pages 181-216
  • 2014
    Title Two-sided Information Dissemination in Takeovers: Disclosure and Media.
    Type Conference Proceeding Abstract
    Author Orhun E
    Conference EFMA Meeting.
  • 2014
    Title Hidden Regret in Insurance Markets.
    Type Journal Article
    Author Huang Rj
  • 2014
    Title Debt, equity, and information
    DOI 10.1016/j.jmateco.2013.09.003
    Type Journal Article
    Author Buehlmaier M
    Journal Journal of Mathematical Economics
    Pages 54-62
  • 2011
    Title Price dispersion in OTC markets: A new measure of liquidity.
    Type Journal Article
    Author Jankowitsch R
  • 2011
    Title A Welfare Evaluation of History-Based Price Discrimination
    DOI 10.1007/s10842-011-0111-8
    Type Journal Article
    Author Gehrig T
    Journal Journal of Industry, Competition and Trade
    Pages 373-393
  • 2011
    Title Large extensive form games
    DOI 10.1007/s00199-011-0674-y
    Type Journal Article
    Author Alós-Ferrer C
    Journal Economic Theory
    Pages 75-102
  • 2011
    Title Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
    DOI 10.2139/ssrn.1914293
    Type Preprint
    Author Hautsch N
    Link Publication
  • 2011
    Title Decentralized screening: Coordination failure, multiple equilibria and cycles
    DOI 10.1016/j.jfs.2009.08.003
    Type Journal Article
    Author Gehrig T
    Journal Journal of Financial Stability
    Pages 60-69
  • 2011
    Title Voluntary Disclosure with a Potential Competitor.
    Type Conference Proceeding Abstract
    Author Orhun E
    Conference EFMA Meeting.
  • 2011
    Title Nonlinear BlackScholes Equations in Finance: Associated Control Problems and Properties of Solutions
    DOI 10.1137/090773647
    Type Journal Article
    Author Frey R
    Journal SIAM Journal on Control and Optimization
    Pages 185-204
  • 2011
    Title Strategic games beyond expected utility
    DOI 10.1007/s00199-011-0638-2
    Type Journal Article
    Author Jungbauer T
    Journal Economic Theory
    Pages 377-398
  • 2011
    Title Filtering and Incomplete Information in Credit Risk; In: Credit Risk Frontiers - Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
    DOI 10.1002/9781118531839.ch7
    Type Book Chapter
    Publisher Wiley
  • 2011
    Title Intermediated Investment Management
    DOI 10.1111/j.1540-6261.2011.01656.x
    Type Journal Article
    Author Stoughton N
    Journal The Journal of Finance
    Pages 947-980
  • 2011
    Title A Theory of Debt Market Illiquidity and Leverage Cyclicality
    DOI 10.1093/rfs/hhr051
    Type Journal Article
    Author Hennessy C
    Journal The Review of Financial Studies
    Pages 3369-3400
  • 2011
    Title The impact of macroeconomic news on quote adjustments, noise, and informational volatility
    DOI 10.1016/j.jbankfin.2011.03.004
    Type Journal Article
    Author Hautsch N
    Journal Journal of Banking & Finance
    Pages 2733-2746
    Link Publication
  • 2011
    Title Regulation of multinational banks: A theoretical inquiry
    DOI 10.1016/j.jfi.2010.02.002
    Type Journal Article
    Author Calzolari G
    Journal Journal of Financial Intermediation
    Pages 178-198
    Link Publication
  • 2011
    Title Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
    DOI 10.1007/s00780-011-0153-0
    Type Journal Article
    Author Frey R
    Journal Finance and Stochastics
    Pages 105-133
  • 2011
    Title History-based price discrimination and entry in markets with switching costs: A welfare analysis
    DOI 10.1016/j.euroecorev.2010.09.001
    Type Journal Article
    Author Gehrig T
    Journal European Economic Review
    Pages 732-739
  • 2016
    Title Bank Regulation, CEO Compensation, and Boards*
    DOI 10.1093/rof/rfw046
    Type Journal Article
    Author Kolm J
    Journal Review of Finance
    Pages 1901-1932
  • 2015
    Title Political risk and dividend policy: Evidence from international political crises
    DOI 10.1057/jibs.2015.2
    Type Journal Article
    Author Huang T
    Journal Journal of International Business Studies
    Pages 574-595
  • 2015
    Title Stock Prices and CEO Turnover: The Role of Bad Luck.
    Type Conference Proceeding Abstract
    Author Rauter T
    Conference 22nd Annual Meeting of the German Finance Association (DGF).
  • 2015
    Title Globalization and Foreign Bank Entry in Turkey.
    Type Conference Proceeding Abstract
    Author Orhun E
    Conference Proceedings of the 9th International Conference on Business Administration (ICBA '15).
  • 2015
    Title Increasing Foreign Banks' Presence through M&As: The Case of Turkey.
    Type Journal Article
    Author Orhun E
  • 2015
    Title Value and risk dynamics over the innovation cycle
    DOI 10.1016/j.jedc.2015.07.005
    Type Journal Article
    Author Dockner E
    Journal Journal of Economic Dynamics and Control
    Pages 1-16
  • 2015
    Title Firm crash risk, information environment, and speed of leverage adjustment
    DOI 10.1016/j.jcorpfin.2015.01.015
    Type Journal Article
    Author An Z
    Journal Journal of Corporate Finance
    Pages 132-151
  • 2014
    Title A shot at regulating securitization
    DOI 10.1016/j.jfs.2013.02.003
    Type Journal Article
    Author Kiff J
    Journal Journal of Financial Stability
    Pages 32-49
    Link Publication
  • 2014
    Title Refinancing, profitability, and capital structure
    DOI 10.1016/j.jfineco.2014.07.010
    Type Journal Article
    Author Danis A
    Journal Journal of Financial Economics
    Pages 424-443
  • 2014
    Title Choice of rating technology and loan pricing in imperfect credit markets
    DOI 10.21314/jor.2014.275
    Type Journal Article
    Author De Silva H
    Journal The Journal of Risk
    Pages 29-62
  • 2013
    Title Complexity reduction of explicit model predictive control via separation
    DOI 10.1016/j.automatica.2013.02.018
    Type Journal Article
    Author Kvasnica M
    Journal Automatica
    Pages 1776-1781
  • 2013
    Title The effect of financial constraints on energy-climate scenarios
    DOI 10.1016/j.enpol.2013.04.001
    Type Journal Article
    Author Ekholm T
    Journal Energy Policy
    Pages 562-572
  • 2010
    Title Optimal Choice and Beliefs with Ex Ante Savoring and Ex Post Disappointment
    DOI 10.1287/mnsc.1100.1185
    Type Journal Article
    Author Gollier C
    Journal Management Science
    Pages 1272-1284
    Link Publication
  • 2010
    Title Optimal securitization of credit portfolios via impulse control
    DOI 10.1007/s11579-010-0033-y
    Type Journal Article
    Author Frey R
    Journal Mathematics and Financial Economics
    Pages 1-28
  • 2010
    Title Dynamic investment strategies with demand-side and cost-side risks
    DOI 10.1016/j.amc.2010.04.065
    Type Journal Article
    Author Dockner E
    Journal Applied Mathematics and Computation
    Pages 1001-1009
  • 2010
    Title Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
    DOI 10.1007/s00780-010-0129-5
    Type Journal Article
    Author Frey R
    Journal Finance and Stochastics
    Pages 495-526
    Link Publication
  • 2010
    Title Human Capital, Bankruptcy, and Capital Structure
    DOI 10.1111/j.1540-6261.2010.01556.x
    Type Journal Article
    Author Berk J
    Journal The Journal of Finance
    Pages 891-926
    Link Publication
  • 2010
    Title Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
    DOI 10.1016/j.jedc.2009.10.013
    Type Journal Article
    Author Frey R
    Journal Journal of Economic Dynamics and Control
    Pages 710-724
  • 2010
    Title On the evolution of professional consulting
    DOI 10.1016/j.jebo.2010.02.016
    Type Journal Article
    Author Gehrig T
    Journal Journal of Economic Behavior & Organization
    Pages 113-126
    Link Publication
  • 2010
    Title A blocking and regularization approach to high-dimensional realized covariance estimation
    DOI 10.1002/jae.1218
    Type Journal Article
    Author Hautsch N
    Journal Journal of Applied Econometrics
    Pages 625-645
    Link Publication
  • 2010
    Title Determinants of heterogeneity in European credit ratings
    DOI 10.1007/s11408-010-0134-x
    Type Journal Article
    Author Hornik K
    Journal Financial Markets and Portfolio Management
    Pages 271-287
  • 2010
    Title Equilibrium two-part cost structures
    DOI 10.1007/s10100-010-0177-0
    Type Journal Article
    Author Dockner E
    Journal Central European Journal of Operations Research
    Pages 525-537
  • 2010
    Title On the Role of Insurance Brokers in resolving the Known, the Unknown and the Unknowable.
    Type Book Chapter
    Author Diebold
  • 2010
    Title Public initiatives to support entrepreneurs: Credit guarantees versus co-funding
    DOI 10.1016/j.jfs.2009.05.009
    Type Journal Article
    Author Arping S
    Journal Journal of Financial Stability
    Pages 26-35
    Link Publication
  • 2010
    Title No-arbitrage conditions, scenario trees, and multi-asset financial optimization
    DOI 10.1016/j.ejor.2010.03.022
    Type Journal Article
    Author Geyer A
    Journal European Journal of Operational Research
    Pages 609-613
  • 2010
    Title Point-in-time versus through-the-cycle credit ratings,, International Monetary Fund
    Type Journal Article
    Author Kisser M
    Journal Global Financial Stability Report (Box 3.8).
  • 2009
    Title Bonus Payments and Fund Managers’ Behavior: Transatlantic Evidence
    DOI 10.1093/cesifo/ifn038
    Type Journal Article
    Author Gehrig T
    Journal CESifo Economic Studies
    Pages 569-594
    Link Publication
  • 2009
    Title INVESTMENT TIMING UNDER REGIME SWITCHING
    DOI 10.1142/s0219024909005361
    Type Journal Article
    Author Elliott R
    Journal International Journal of Theoretical and Applied Finance
    Pages 443-463
    Link Publication
  • 2013
    Title Capital, confiance et compétitivité dans le secteur bancaire
    DOI 10.3917/ecofi.112.0175
    Type Journal Article
    Author Gehrig T
    Journal Revue d'économie financière
    Pages 175-194
  • 2013
    Title Deriving consensus ratings of the big three rating agencies
    DOI 10.21314/jcr.2013.156
    Type Journal Article
    Author Grün B
    Journal The Journal of Credit Risk
    Pages 75-98
    Link Publication
  • 2013
    Title The impact of voluntary disclosures by targets on takeover outcomes.
    Type Journal Article
    Author Orhun E
  • 2013
    Title Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
    DOI 10.1080/07350015.2012.754313
    Type Journal Article
    Author Hautsch N
    Journal Journal of Business & Economic Statistics
    Pages 165-183
    Link Publication
  • 2013
    Title Insuring Nonverifiable Losses*
    DOI 10.1093/rof/rft056
    Type Journal Article
    Author Doherty N
    Journal Review of Finance
    Pages 283-316
    Link Publication
  • 2013
    Title The Real Option Value of Cash*
    DOI 10.1093/rof/rfs034
    Type Journal Article
    Author Kisser M
    Journal Review of Finance
    Pages 1649-1697
    Link Publication
  • 2012
    Title Modelling and forecasting liquidity supply using semiparametric factor dynamics
    DOI 10.1016/j.jempfin.2012.04.002
    Type Journal Article
    Author Härdle W
    Journal Journal of Empirical Finance
    Pages 610-625
    Link Publication
  • 2012
    Title Bayesian Analysis and Model Selection of GARCH Models with Additive Jumps
    DOI 10.1007/978-1-4614-1653-1_7
    Type Book Chapter
    Author Haefke C
    Publisher Springer Nature
    Pages 179-208
  • 2012
    Title Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
    DOI 10.1016/j.jbankfin.2012.06.020
    Type Journal Article
    Author Hautsch N
    Journal Journal of Banking & Finance
    Pages 2988-3007
    Link Publication
  • 2012
    Title Sind Finanzprodukte mit Kapitalgarantie eine attraktive Anlageform?
    Type Book Chapter
    Author Asset Management: Festschrift Für Prof. Dr. Rer. Nat. Dr. H.C. Rer. Pol. Klaus Spremann Zur Emeritierung.
  • 2012
    Title Disclosure, Transparency, and Market Discipline.
    Type Book Chapter
    Author Freixas X
  • 2012
    Title Price adjustment to news with uncertain precision
    DOI 10.1016/j.jimonfin.2011.11.013
    Type Journal Article
    Author Hautsch N
    Journal Journal of International Money and Finance
    Pages 337-355
    Link Publication
  • 2012
    Title Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
    DOI 10.1016/j.jfineco.2012.02.001
    Type Journal Article
    Author Friewald N
    Journal Journal of Financial Economics
    Pages 18-36
    Link Publication
  • 2012
    Title The market impact of a limit order
    DOI 10.1016/j.jedc.2011.09.012
    Type Journal Article
    Author Hautsch N
    Journal Journal of Economic Dynamics and Control
    Pages 501-522
    Link Publication
  • 2012
    Title Universitätsendowments – Eine Bestandsaufnahme der theoretischen und empirischen Forschung
    DOI 10.1007/s11301-012-0087-4
    Type Journal Article
    Author Cejnek G
    Journal Journal für Betriebswirtschaft
    Pages 225-260
  • 2012
    Title PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
    DOI 10.1142/s0219024911006486
    Type Journal Article
    Author Frey R
    Journal International Journal of Theoretical and Applied Finance
    Pages 1250009
    Link Publication
  • 2011
    Title When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions
    DOI 10.1016/j.jempfin.2010.11.009
    Type Journal Article
    Author Groß-Klußmann A
    Journal Journal of Empirical Finance
    Pages 321-340
  • 2010
    Title Financing risk transfer under governance problems: Mutual versus stock insurers
    DOI 10.1016/j.jfi.2009.06.002
    Type Journal Article
    Author Laux C
    Journal Journal of Financial Intermediation
    Pages 333-354
  • 2010
    Title Preisfindung, Liquidität und Marktmanipulation.
    Type Journal Article
    Author Dockner Ej
    Journal Österreichisches Bankarchiv.
  • 2010
    Title The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
    DOI 10.1017/s0022109010000554
    Type Journal Article
    Author Schneider P
    Journal Journal of Financial and Quantitative Analysis
    Pages 1517-1547
    Link Publication
  • 2010
    Title The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market
    DOI 10.1111/j.1468-036x.2009.00503.x
    Type Journal Article
    Author Frühwirth M
    Journal European Financial Management
    Pages 658-685
    Link Publication
  • 2010
    Title DYNAMIC INVESTMENT IN EXTRACTION CAPACITY OF EXHAUSTIBLE RESOURCES
    DOI 10.1111/j.1467-9485.2009.00522.x
    Type Journal Article
    Author Ghoddusi H
    Journal Scottish Journal of Political Economy
    Pages 359-373
  • 0
    Title Shareholder Monitoring with Strategic Investors.
    Type Other
    Author Danis A
  • 0
    Title The Transmission of Bank Liquidity Shocks: Evidence from House Prices.
    Type Other
    Author Dursun-De-Neef Hö
  • 0
    Title Blending under Uncertainty: The Option Value of Biofuels Mandates.
    Type Other
    Author Ghoddusi H
  • 0
    Title Re-Mapping Credit Ratings.
    Type Other
    Author Eisl A
  • 0
    Title Exploring the Performance of Government Debt Issuance.
    Type Other
    Author Eisl A
  • 0
    Title Understanding Bond Risk Premia Uncovered by the Term Structure.
    Type Other
    Author Radwanski J
  • 0
    Title Estimating Discrete-Time Gaussian Term Structure Models in Canonical Companion Form.
    Type Other
    Author Radwanski J
  • 0
    Title Debt Refinancing and Equity Returns.
    Type Other
    Author Friewald N
  • 0
    Title The Role of the Media in Takeovers: Theory and Evidence.
    Type Other
    Author Bühlmaier Mmm
  • 0
    Title Payroll and Financial Leverage.
    Type Other
    Author He L
  • 0
    Title Deviations from the Target Capital Structure of Financial Institutions.
    Type Other
    Author Schandlbauer A
  • 0
    Title Posterior Inference for Portfolio Weights.
    Type Other
    Author Frey C
  • 0
    Title The Politics of Related Lending.
    Type Other
    Author Halling M
  • 0
    Title Sovereign Credit Risk and Banking.
    Type Other
    Author Mayer M
  • 0
    Title The Real Effects of Credit Default Swaps.
    Type Other
    Author Danis A
  • 0
    Title The Effect of Loan Sales on the Capital Structure of Banks.
    Type Other
    Author Dursun-De-Neef Hö
  • 0
    Title Valuation and long-term growth expectations.
    Type Other
    Author Tengulov A
  • 0
    Title A Structural View of Sovereign Risk Contagion in the Euro Zone.
    Type Other
    Author Mayer M
  • 0
    Title Human Capital Investment and the Value of Risky R&D Projects.
    Type Other
    Author Dockner E
  • 0
    Title Value at Risk (VaR) Method: An Application for Swedish National Pension Funds (AP1, AP2, AP3) by Using Parametric Model.
    Type Other
    Author Grubjesic B
  • 0
    Title Biofuels Supply Risks and Price Volatility.
    Type Other
    Author Ghoddusi H
  • 0
    Title Anomalous Trading Prior to Lehman Brothers' Failure.
    Type Other
    Author Gehrig T
  • 0
    Title Asset and Liability Management of Short Term Life Insurance Contracts Under Correlated Default Risk of Assets.
    Type Other
    Author Georgiopoulos N
  • 0
    Title Can Long-Run Risks Explain the Distress Puzzle?
    Type Other
    Author Radwanski J
  • 0
    Title Migration Options for Skilled Labor and Optimal Investment in Human Capital.
    Type Other
    Author Ghoddusi H
  • 0
    Title Optimal Granularity for Portfolio Choice.
    Type Other
    Author Branger N
  • 0
    Title The Causal Relationship between Bank Capital and Loan Supply.
    Type Other
    Author Dursun-De Neef Hö
  • 0
    Title Rolling over Corporate Bonds: How Market Liquidity affects Credit Risk.
    Type Other
    Author Nagler F
  • 0
    Title The Value of Money: An Asset-Pricing Investigation.
    Type Other
    Author Elendner H
  • 0
    Title Efficiency, Leverage and Exit: The Role of Information Asymmetry in Concentrated Industries.
    Type Other
    Author Siyahhan B
  • 0
    Title Equity Short Sales and Options: Complements or Substitutes?
    Type Other
    Author Haas M
  • 0
    Title The Dark Side of Stress Tests: Negative Effects of Information Disclosure.
    Type Other
    Author Goncharenko R
  • 0
    Title Discrete or continuous trading? HFT Competition and Liquidity on Batch Auction Markets.
    Type Other
    Author Haas M
  • 0
    Title Are Financial Constraints Priced? Evidence from Textual Analysis.
    Type Other
    Author Bühlmaier Mmm
  • 0
    Title Dealer Inventory and the Cross-Section of Corporate Bond Returns.
    Type Other
    Author Friewald N
  • 0
    Title Illiquidity Contagion and Information Spillover from CDS to Equity Markets.
    Type Other
    Author Haas M
  • 0
    Title Regulation NMS and Co-Movements in Equity Liquidity.
    Type Other
    Author Reynolds Je
  • 0
    Title In for the Long Haul: Activist Hedge Funds and Fragility Risk.
    Type Other
    Author Reynolds Je
  • 0
    Title Sovereign Bond Risk Premiums.
    Type Other
    Author Dockner E
  • 0
    Title Can Long-Run Risks Explain Commodity Excess Risk Premium Puzzle?
    Type Other
    Author Ghoddusi H
  • 0
    Title Do bond covenants prevent asset Substitution - using a novel structural estimation Approach.
    Type Other
    Author Reindl J
  • 0
    Title Jean Tirole's Enduring Influence on Energy Policy Analysis.
    Type Other
    Author Dadpay A
  • 0
    Title Prestige and Loan Pricing.
    Type Other
    Author Muermann A