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Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

Estimating household resource shares : a shrinkage approach

Tommasi, Denni; Wolf, Alexander - In: Economics letters 163 (2018), pp. 75-78

Persistent link: https://www.econbiz.de/10011982952

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates … relative to shrinkage alone. …

Persistent link: https://www.econbiz.de/10012031047

Forecasting exchange rates under parameter and model uncertainty

Beckmann, Joscha; Schüssler, Rainer - In: Journal of international money and finance 60 (2016), pp. 267-288

Persistent link: https://www.econbiz.de/10011660878

Stochastic model specification search for time-varying parameter VARs

Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665

Persistent link: https://www.econbiz.de/10011592382

A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models

Harding, Matthew C.; Lamarche, Carlos - In: Economics letters 124 (2014) 2, pp. 176-179

Persistent link: https://www.econbiz.de/10010493170

House prices and interest rates : Bayesian evidence from Germany

Hanck, Christoph; Prüser, Jan - In: Applied economics 52 (2020) 28, pp. 3073-3089

Persistent link: https://www.econbiz.de/10012221482

Nowcasting monthly GDP with big data : a model averaging approach

Proietti, Tommaso; Giovannelli, Alessandro - 2020

Persistent link: https://www.econbiz.de/10012224870

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesran, M. Hashem; Smith, L. Vanessa - In: Journal of econometrics 208 (2019) 2, pp. 507-534

Persistent link: https://www.econbiz.de/10012145084

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates … relative to shrinkage alone. …

Persistent link: https://www.econbiz.de/10012117683