Economic time series are available at different frequencies due to their origin and data collection techniques. A mixed data sampling (MIDAS) regression is mainly a forecasting tool designed to harness mixed-frequency data. This dissertation proposes a computationally efficient estimation...

This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first essay (Trapp and Wewel, 2013, "Transatlantic systemic risk") investigates which type of systemic risk common shocks or contagion dominated in the US and European banking systems...

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

We propose and study a hierarchical dependence model. Its properties are analyzed and techniques for estimation and model selection are developed. For sampling, different methods are derived and evaluated. Furthermore, we consider two important types of financial risk: systemic and operational...

Die Arbeit stellt eine erste theoretische Analyse der Wirksamkeit und möglicher Probleme einer marktbasierten Eigenkapitalregulierung in Form einer regulatorischen Nachschusspflicht dar. Hart und Zingales (2011) schlagen vor, dass Finanzinstitute zusätzliches Eigenkapital aufnehmen sollen,...