The steadily growing access to high-quality spatio-temporal crime count data with a high level of spatial detail allows to uncover interesting relationships between crime types within and between small regional units. Data coherent forecasting of such counts has to take the integer and...

Fuel prices are commonly perceived to be excessively high, which regularly triggers political discussions about fuel price regulations. Consumers demand stricter fuel price regulations to provide transparency about the current price level and to protect them from sudden price fluctuations. Such...

Fuel prices are commonly perceived to be excessively high, which regularly triggers political discussions about fuel price regulations. Consumers demand stricter fuel price regulations to provide transparency about the current price level and to protect them from sudden price fluctuations. Such...

After controversial public debates, fuel price regulations were implemented in Austria prohibiting fuel retailers from raising their prices more than once per day. This paper investigates whether these policy measures affected the price transmission dynamics from crude oil prices to retail fuel...

This paper uses the co-movement of gold mining shares with the price of gold to assess the strength of flight to quality by distinguishing between flight to physical gold and flight to gold mining company shares. The analysis of a global sample of gold mining companies reveals that flights to...

Considering structural break autoregressive (SBAR) processes and following recent literature, the problem of estimating the unknown number of change-points is cast as a model selection problem. The adaptive group Lasso is used to select the number of change-points for which parameter estimation...

In this paper, we show that the availability of multiple price series for the same asset can be exploited to estimate its integrated variance. We use a vector error correction model for those prices and its common trend representation to estimate the efficient price of the asset. Because the...

This paper investigates the potentially time-varying importance of spot and futures markets in the price discovery process of financial assets. For this purpose, we generalize the concept of component shares and information shares to allow for state-dependent relevance of different markets over...