Aktuelle Forschungspapiere

 

“Does central clearing affect counterparty risk and liquidity risk in the sovereign CDS market?”
(with Joséphine Molleyres), August 2021
https://ssrn.com/abstract=3415563 or http://dx.doi.org/10.2139/ssrn.3415563

“Mean-reversion in commodity futures volatility: An analysis of daily range-based stochastic volatility models
(with Stephen Figlewski and Marco Haase and Matthias Huss), April 2021
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3825894

“Wheat price volatility over 140 years: An analysis of daily price ranges”
(with Marco Haase and Matthias Huss), April 2021
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3825678

“How does income and financial satisfaction change with retirement?
Insights from Swiss panel data
” (with Yvonne Seiler Zimmermann), January 2021
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3759740

“The Pricing of Volatility Risk in the US Equity Market”, revise and resubmit
(with Lukas Hitz and Ismail Mustafi), December 2020
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3621944

“Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?”
(with Daniel Hoechle and Markus Schmid), March 2020,
Paper presented at the Annual Meeting of the American Finance Association (ASSA) 2021
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3569485

“Anomaly in Stock-Bond Correlations. The Role of Monetary Policy”
(with Jonas Gusset), September 2016
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2704529