We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...

We examine monthly variation in weekly work hours using data for 2003-10 from the Current Population Survey (CPS) on hours/worker, from the Current Employment Survey (CES) on hours/job, and from the American Time Use Survey (ATUS) on both. The ATUS data minimize recall difficulties and constrain...

The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we...

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Research on functional members of top management teams (TMTs) has increasingly drawn interest to the strategic management field over the past few years. Studies have documented the rise of the chief financial officer (CFO) to pivotal importance and considerable power within the organization. By...

Derzeit verschärft sich der Wettbewerb um die CO2-Abscheidung und ‑Speicherung sowie ‑Nutzung (CCS/CCU). Bislang (noch) von Nordamerika dominiert, sind es nun insbesondere Akteure im Großraum Asien - von Saudi-Arabien bis Japan -, die diese Technologien vorantreiben. In deren sich...

The Russian war on Ukraine brought many surprises, one of which was the establishment of the International Legion for Defence of Ukraine. Thousands of international volunteers from numerous countries including Denmark flocked to join the legion - some veterans from their national armies, some...