In this paper, we propose a new approach to model structural change in cointegrating regressions using penalized regression techniques. First, we consider a setting with known breakpoint candidates and show that a modified adaptive lasso estimator can consistently estimate structural breaks in...

We apply a practical two-step procedure to test for nonlinear information in the stock price - trading volume relation. The approach draws upon the concept of transfer entropy and allows us to identify the dominant direction of the information transfer, which constitutes an improvement over...

We design a novel test for changes in market discipline based on the relation between firm-specific risk, credit spreads, and equity returns. We use our method to analyze the evolution of bailout expectations during the recent financial crisis. We find that bailout expectations peaked in...

We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the spillover effects between individual company value-at-risks and the...

Die vorliegende Festschrift würdigt die wissenschaftliche Karriere von Hans-Jürgen Andreß, während der er unter anderem die Methodenentwicklung im Bereich längsschnittlicher Analysemethoden geprägt und einflussreiche empirische Studien zu Armut, Ungleichheit und den Folgen kritischer...

China's trade surplus is often heavily criticized in political and economic debates, accompanied by claims for a revaluation of the Chinese currency, the Renminbi (RMB). While the main arguments exchanged in the current discourse appear to become more and more emotionally loaded rather than...