Ergebnisse der Umfrage des VHB zur wissenschaftlichen Qualität von Zeitschriften im Bereich der Betriebswirtschaftslehre, VHB-JOURQUAL. Insgesamt haben sich 653 Mitglieder und Habilitierende an der Umfrage beteiligt.

In a recent study (supported by the European Economics Association) P. Kalaitzidakis, T. P. Mamuneas and T. Stengos provide an up-to-date ranking of economic journals that are used to compute world-wide rankings of academic institutions in Economics for the period 1994 to 1998. The results show...

Achieving a good response rate is a goal in every survey. Response rate has also become an interesting academic debate. On one side Hunt (1990) maintains that since marketing is a social science, where most of the time researchers are interested in examining relationships rather than determining...

The long memory characteristic of financial market volatility is well documentedand has important implications for volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional variance differently and could have very different...

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)'s ICAPM. I then established the following facts. First, the surplus...

The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...

We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...

Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...