The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...

Using a comprehensive sample of stocks traded in Xetra system in German Stock Exchange, we first investigate the choice of trade volume by analyzing the trade size clustering and LOB-matched trades. Furthermore, we examine the role of these specific types of trade in the price discovery process....

This paper introduces a new framework for the dynamic modelling of univariate and multivariate point processes. The so-called latent factor intensity (LFI) model is based on the assumption that the intensity function consists of univariate or multivariate observation driven dynamic components...

Für Deutschland als ressourcenarmes Hochlohnland ist die Bildung von Humankapital ein bedeutender Faktor für das Wirtschaftswachstum. Im Vergleich zu anderen entwickelten Volkswirtschaften ist der Anteil der Bevölkerung mit einem tertiären Bildungsabschluss relativ gering. Durch die...

The German employment miracle, with a weak decline in employment and low unemployment during the great recession, seems to be a good example for a successful labour market reform. Nevertheless, there are concerns about rising inequality in the labour market. In this paper we analyze the quality...

We analyze the return-migration of German immigrants using the latest data of the German Socio- Economic Panel from 1984 to 2006. We conduct a Cox proportional hazard model with years of residence in Germany as waiting time. The analysis reveals that return migration is heavily influenced by...

It is becoming more and more important to be highly skilled in order to integrate successfully into the labor market. Highly skilled workers receive higher wages and face a lower risk of becoming unemployed, compared to poorly qualified workers. We analyze the determinants of successful high...

This paper develops and estimates a joint hazard-longitudinal (JHL) model of the timing of migration and labor market assimilation – two processes that have been assumed to be independent in the existing literature. The JHL model accounts for the endogenous age of entry in estimating the...

Studies on labor supply have increasingly taken account of not only the actual working hours, but also of working hour preferences as well as the discrepancy between them. However, longitudinal research on this topic remains scarce. This paper contributes to the analysis of working hour...

This paper investigates whether the stepping-stone effect of temporary agency employment varies over the business cycle. Using German administrative data for the period 1985-2012 and an estimation framework based on the timing-of-events model, we estimate in-treatment and post-treatment effects...