Publikationen › Lehrstuhl für Statistik und Ökonometrie

Publikationen in Fachzeitschriften mit Begutachtungsprozess

Dovern, J., & Kenny, G. (2020). Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area. International Journal of Central Banking, forthcoming.
Dovern, J., & Manner, H. (2020). Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. Journal of Applied Econometrics, forthcoming.
Dovern, J., & Zuber, C. (2020). Recessions and Potential Output: Disentangling Measurement Errors, Supply Shocks, and Hysteresis Effects. Scandinavian Journal of Economics, forthcoming. https://dx.doi.org/10.1111/sjoe.12385
Klein, I., & Doll, M. (2020). (Generalized) Maximum Cumulative Direct, Residual, and Paired Φ Entropy Approach. Entropy. https://dx.doi.org/10.3390

Endres, S., & Stübinger, J. (2019). A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. Quantitative Finance. https://dx.doi.org/10.1080/14697688.2019.1585562
Endres, S., & Stübinger, J. (2019). Optimal trading strategies for Levy-driven Ornstein-Uhlenbeck processes. Applied economics, 51(29), 3153-3169. https://dx.doi.org/10.1080/00036846.2019.1566688
Fischer, T., Krauss, C., & Deinert, A. (2019). Statistical Arbitrage in Cryptocurrency Markets. Journal of Risk and Financial Management, 12(1). https://dx.doi.org/10.3390/jrfm12010031
Glas, A. (2019). Five Dimensions of the Uncertainty-Disagreement Linkage. International Journal of Forecasting. https://dx.doi.org/10.2139/ssrn.3295125
Knoll, J., Stübinger, J., & Grottke, M. (2019). Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500. Quantitative Finance, 19(4), 571-585. https://dx.doi.org/10.1080/14697688.2018.1521002
Möstel, L., Fischer, M., Pfaelzner, F., & Pfeuffer, M. (2019). Parameter estimation of Tukey-type distributions: A comparative analysis. Communications in Statistics-Simulation and Computation. https://dx.doi.org/10.1080/03610918.2019.1571604
Schnaubelt, M., Rende, J., & Krauss, C. (2019). Testing Stylized Facts of Bitcoin Limit Order Books. Journal of Risk and Financial Management, 12(1). https://dx.doi.org/10.3390/jrfm12010025
Stübinger, J. (2019). Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500. Quantitative Finance, 19(6), 921-935. https://dx.doi.org/10.1080/14697688.2018.1537503
Stübinger, J., & Schneider, L. (2019). Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. Journal of Risk and Financial Management, 12(2). https://dx.doi.org/10.3390/jrfm12020051

Clegg, M., & Krauß, C. (2018). Pairs trading with partial cointegration. Quantitative Finance, 18(1), 121-138.
Fischer, T., & Krauß, C. (2018). Deep learning with long short-term memory networks for financial market predictions. European Journal of Operational Research, 270(2), 654-669. https://dx.doi.org/10.1016/j.ejor.2017.11.054
Glas, A., Donaubauer, J., Meyer, B., & Nunnenkamp, P. (2018). Disentangling the impact of infrastructure on trade using a new index of infrastructure. Review of World Economics, 154 (4), 745-784.
Kißlinger, A.-L., & Stummer, W. (2018). A new toolkit for robust distributional change detection. Applied Stochastic Models in Business and Industry, 34(5), 682-699. https://dx.doi.org/10.1002/asmb.2357
Klein, I., Fischer, M., & Pleier, T. (2018). Weighted Power Mean Copulas: Theory and Application. Model Assisted Statistics and Applications, 13(3), 253-270. https://dx.doi.org/10.3233/MAS-180436
Pfeuffer, M., Möstel, L., & Fischer, M. (2018). An Extended Likelihood Framework for Modeling Discretely Observed Credit Rating Transitions. Quantitative Finance. https://dx.doi.org/10.1080/14697688.2018.1465196
Stübinger, J., & Endres, S. (2018). Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. Quantitative Finance. https://dx.doi.org/10.1080/14697688.2017.1417624
Stübinger, J., Krauß, C., & Krauss, C. (2018). Statistical arbitrage with vine copulas. Quantitative Finance. https://dx.doi.org/10.1080/14697688.2018.1438642

Agarwal, N., Grottke, M., Mishra, S., & Brem, A. (2017). A Systematic Literature Review of Constraint-Based Innovations: State of the Art and Future Perspectives. IEEE Transactions on Engineering Management, 64(1), 3-15. https://dx.doi.org/10.1109/TEM.2016.2620562
Dovern, J., & Hartmann, M. (2017). Forecast performance, disagreement, and heterogeneous signal-to-noise ratios. Empirical Economics, 53(1), 63-77. https://dx.doi.org/10.1007/s00181-016-1137-x
Dovern, J., & Jannsen, N. (2017). Systematic errors in growth expectations over the business cycle. International Journal of Forecasting, 33(4), 760-769. https://dx.doi.org/10.1016/j.ijforecast.2017.03.003
Fischer, M., Kraus, D., Pfeuffer, M., & Czado, C. (2017). Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks, 5(3), 38. https://dx.doi.org/10.3390/risks5030038
Krauss, C., & Stübinger, J. (2017). Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100. Applied economics, 49(52), 5352-5369. https://dx.doi.org/10.1080/00036846.2017.1305097
Krauss, C., & Stübinger, J. (2017). Non-linear dependence modelling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100. Applied economics, 49(52), 5352-5369. https://dx.doi.org/10.1080/00036846.2017.1305097
Krauß, C. (2017). Statistical arbitrage pairs trading strategies: Review and outlook. Journal of Economic Surveys, 31(2), 513-545. https://dx.doi.org/10.1111/joes.12153
Krauß, C., Do, X.A., & Huck, N. (2017). Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. European Journal of Operational Research, 259(2), 689-702. https://dx.doi.org/10.1016/j.ejor.2016.10.031
Krauß, C., & Herrmann, K. (2017). On the power and size properties of cointegration tests in the light of high-frequency stylized facts. Journal of Financial Risk Management, 10(1).
Pfeuffer, M. (2017). ctmcd: An R Package for Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data. The R Journal, 9(2), 127-141.
Stübinger, J., & Bredthauer, J. (2017). Statistical arbitrage pairs trading with high-frequency data. International Journal of Economics and Financial Issues, 7(4), 650-662.

Dovern, J., Feldkircher, M., & Huber, F. (2016). Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. Journal of Economic Dynamics & Control, 70, 86-100. https://dx.doi.org/10.1016/j.jedc.2016.06.006
Fischer, M., & Pfeuffer, M. (2016). IFRS 9 Impairment von Finanzinstrumenten: Parametrische Modellierung von PD-Kurven. Risiko Manager, 11(7), 10-14.
Glas, A., & Hartmann, M. (2016). Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters. Journal of Empirical Finance, 39 (B), 215-228. https://dx.doi.org/10.1016/j.jempfin.2016.05.001
Glas, A., Hübler, M., & Nunnenkamp, P. (2016). Catching up of emerging economies: the role of capital goods imports, FDI inflows, domestic investment and absorptive capacity. Applied Economics Letters, 23 (2), 117-120. https://dx.doi.org/10.1080/13504851.2015.1054065
Glas, A., Hübler, M., & Nunnenkamp, P. (2016). Indicators of Absorptive Capacity and Import‐induced South–North Convergence in Labour Intensities. World Economy, 39 (11), 1756-1791. https://dx.doi.org/10.1111/twec.12300
Kißlinger, A.-L., & Stummer, W. (2016). Robust statistical engineering by means of scaled Bregman distances. In C. Agostinelli, A. Basu, P. Filzmoser, D. Mukherjee (Eds.), Recent Advances in Robust Statistics: Theory and Applications. (pp. 81-113). Springer.
Klein, I., Mangold, B., & Doll, M. (2016). Cumulative Paired ϕ-Entropy. Entropy, 18(7), 1-45. https://dx.doi.org/10.3390/e18070248
Rickels, W., Dovern, J., Hoffmann, J., Quaas, M.F., Schmidt, J.O., & Visbeck, M. (2016). Indicators for monitoring sustainable development goals: An application to oceanic development in the European Union. Earth's Future, 4(5), 252-267. https://dx.doi.org/10.1002/2016EF000353
Rickels, W., Dovern, J., & Quaas, M. (2016). Beyond fisheries: Common-pool resource problems in oceanic resources and services. Global Environmental Change-Human and Policy Dimensions, 40, 37-49. https://dx.doi.org/10.1016/j.gloenvcha.2016.06.013
Schnaubelt, M. (2016). Data control: A feedback control design for clustering of networked data. At-Automatisierungstechnik, 64(8), 618-632. https://dx.doi.org/10.1515/auto-2016-0059

Dovern, J. (2015). A multivariate analysis of forecast disagreement: Confronting models of disagreement with survey data. European Economic Review, 80, 16-35. https://dx.doi.org/10.1016/j.euroecorev.2015.08.009
Dovern, J., Fritsche, U., Loungani, P., & Tamirisa, N. (2015). Information rigidities: Comparing average and individual forecasts for a large international panel. International Journal of Forecasting, 31(1), 144-154. https://dx.doi.org/10.1016/j.ijforecast.2014.06.002
Dovern, J., & Huber, F. (2015). Global prediction of recessions. Economics letters, 133, 81-84. https://dx.doi.org/10.1016/j.econlet.2015.05.022

Dovern, J., Fritsche, U., Loungani, P., & Tamirisa, N. (2014). Information rigidities: Comparing average and individual forecasts for a large international panel. International Journal of Forecasting, 31, 144-154. https://dx.doi.org/10.1016/j.ijforecast.2014.06.002
Dovern, J., Quaas, M.F., & Rickels, W. (2014). A comprehensive wealth index for cities in Germany. Ecological Indicators, 41, 79-86. https://dx.doi.org/10.1016/j.ecolind.2014.01.009
Dovern, J., & Van Roye, B. (2014). International transmission and business-cycle effects of financial stress. Journal of Financial Stability, 13, 1-17. https://dx.doi.org/10.1016/j.jfs.2014.02.006
Glas, A., & Hübler, M. (2014). The Energy-Bias of North–South Technology Spillovers: A Global, Bilateral, Bisectoral Trade Analysis. Environmental & Resource Economics, 58 (1), 59-89. https://dx.doi.org/10.1007/s10640-013-9690-7
Kilgert, B., Rybizki, L., Grottke, M., Neurath, M., & Neumann, H. (2014). Prospective long-term assessment of sedation-related adverse events and patient satisfaction for upper endoscopy and colonoscopy. Digestion, 90(1), 42-8. https://dx.doi.org/10.1159/000363567

Dovern, J. (2013). When are GDP forecasts updated? Evidence from a large international panel. Economics letters, 120 (3), 521-523. https://dx.doi.org/10.1016/j.econlet.2013.06.007
Grottke, M., & Schleich, B. (2013). How does testing affect the availability of aging software systems? Performance Evaluation, 70(3), 179–196. https://dx.doi.org/10.1016/j.peva.2012.05.007

Dovern, J., Fritsche, U., & Slacalek, J. (2012). Disagreement among Forecasters in G7 Countries. Review of Economics and Statistics, 94(4), 1081-1096.
Fischer, M., & Köck, C. (2012). Constructing and generalizing given multivariate copulas: A unifying approach. Statistics, 46(1), 1-12. https://dx.doi.org/10.1080/02331888.2010.500028

2011

Dovern, J., & Weisser, J. (2011). Accuracy, unbiasedness and efficiency of professional macroeconomic forecasts: An empirical comparison for the G7. International Journal of Forecasting, 27(2), 452-465. https://dx.doi.org/10.1016/j.ijforecast.2010.05.016

2010

Dovern, J., & Blank, S. (2010). What macroeconomic shocks affect the German banking system? Analysis in an integrated micro‐macro model. Journal of Financial Economic Policy, 2(2), 126-148.
Dovern, J., Meier, C.-P., & Vilsmeier, J. (2010). How resilient is the German banking system to macroeconomic shocks. Journal of Banking & Finance, 34(8), 1839-1848. https://dx.doi.org/10.1016/j.jbankfin.2009.12.001
Fischer, M., & Herrmann, K. (2010). An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns. Studies in Nonlinear Dynamics and Econometrics, 14(3), 2-21. https://dx.doi.org/10.2202/1558-3708.1694
Klein, I., Köck, C., & Tinkl, F. (2010). Spatial-serial dependency in multivariate GARCH models and dynamic copulas: A simulation study. Ekonomia Menedżerska, 7, 43-62.
Klein, I., Stroebel, A., Bergner, M., Reulbach, U., Biermann, T., Groemer, T.W., & Kornhuber, J. (2010). Statistical methods for detecting and comparing periodic data and their application to the circadian rhythm of bodily harm. Journal of Circadian Rhythms, 8(1), 1-10.

2009

Fischer, M., Köck, C., Weigert, F., & Schlüter, S. (2009). An empirical analysis of multivariate copula models. Quantitative Finance, 9(7), 839-854. https://dx.doi.org/10.1080/14697680802595650
Gartner, H., Blien, U., Stüber, H., & Wolf, K. (2009). Regional price levels and the agglomeration wage differential in western Germany. The annals of regional science, 43(1), 71-88. https://dx.doi.org/10.1007/s00168-007-0205-8

2008

Dovern, J., Döpke, J., Fritsche, U., & Slacalek, J. (2008). The Sticky Information Phillips Curve. European Evidence. Journal of Money, Credit and Banking, 40(7), 1513-1519.
Dovern, J., Döpke, J., Fritsche, U., & Slacalek, J. (2008). The Dynamics of European Inflation Expectations. The B.E. Journal of Macroeconomics, 8(1). https://dx.doi.org/10.2202/1935-1690.1540
Klein, I., & Fischer, M. (2008). A Note on the Kurtosis Ordering of the Generalized Secant Hyperbolic Distribution. Communications in Statistics-Theory and Methods, 37(1), 1-7. https://dx.doi.org/10.1080/03610920701648839

2007

Dovern, J., & Nunnenkamp, P. (2007). Aid and Growth Accelerations: An Alternative Approach to Assessing the Effectiveness of Aid. Kyklos, 60(3), 359-383. https://dx.doi.org/10.1111/j.1467-6435.2007.00376.x
Fischer, M., & Klein, I. (2007). Construction of Symmetric Generalized FGM Copulas by means of certain Univariate Distributions. Metrika, 65(2), 243-260. https://dx.doi.org/10.1007/s00184-006-0075-6
Fischer, M., Klein, I., & Horn, A. (2007). Tukey-type Distributions in the context of financial data. Communications in Statistics-Theory and Methods, 36(1), 23-35. https://dx.doi.org/10.1080/03610920500476382
Grottke, M., & Trivedi, K. (2007). Fighting bugs: Remove, retry, replicate, and rejuvenate. Computer, 40(2), 107-109. https://dx.doi.org/10.1109/MC.2007.55

2006

Klein, I., & Fischer, M. (2006). Power Kurtosis Transformations: De finitions, Properties and Ordering. Advances in Statistical Analysis, 90(3), 395-401. https://dx.doi.org/10.1007/s10182-006-0241-1
Klein, I., & Fischer, M. (2006). Skewness by Splitting the scale parameter. Communications in Statistics-Theory and Methods, 35(7), 1159-1171. https://dx.doi.org/10.1080/03610920600692730

2004

Klein, I., & Fischer, M. (2004). Kurtosis modelling by means of the J-transformation. Allgemeines Statistisches Archiv, 88(1), 35-50. https://dx.doi.org/10.1007/s101820400158

Andere Publikationen

2011

Klein, I. (2011). Möglichkeiten der empirischen Erfassung von Automietpreisen. In Holzer-Thieser A., Roth S. (Hrg.), Versicherungswissenschaft - im Wandel wirtschaftsrechtlicher und rechtsökonomischer Analysen mit Finanzmarkt- und Freiberufsrecht. FS für Harald Herrmann. (pp. 323-331). Nürnberg: IF Verlag.

2005

Klein, I. (2005). Bivariate Abhängigkeitsmessung für ordinalskalierte Merkmale im Falle fixierter Randverteilungen. In Brachinger H.W., Hamerle A., Münnich R., Schweitzer W. (Hrg.), Wirtschaftsstatistik - Festschrift zum 65. Geburtstag von Prof. Dr. E. Schaich. (pp. 81-109). München: Vahlen.
Klein, I. (2005). Streuungsmessung ordinalskalierter Merkmale mittels Rangordnungsstatistiken. In Dobbener R, Kolb U, Wan Hussin D (Hrg.), Arbeiten aus der Statistik - Festschrift für F. Vogel. (pp. 1-18). Bamberg.

2004

Klein, I., & Fischer, M. (2004). Tailabhängigkeit und Asymmetrie in multivariaten Finanzmarktdaten. In M. Bank, B. Schiller (Hrg.), Finanzintermediation: Theoretische, wirtschaftspolitische und praktische Aspekte aktueller Entwicklungen im Bank- und Börsenwesen. Festschrift für Wolfgang Gehrke zum 60. Geburtstag. (pp. 69-102). Stuttgart: Schäffer-Pöschel Verlag.

2002

Klein, I., & Fischer, M. (2002). Symmetrical gh-transformed distributions. In Klein Ingo, Mittnik Stefan (Eds.), Contributions to Modern Econometrics. (pp. 119-134). Boston: Kluwer Academic Publishers.
Klein, I., & Fischer, M. (2002). gh-transformed of symmetrical distributions. In Klein I., Mittnik S. (Eds.), Contributions to modern econometrics. (pp. 119-134). Boston: Kluwer Academic Publishers.
Klein, I., & Mittnik, S. (2002). Contributions to modern econometrics - From data analysis to economic policy. Boston: Kluwer Academic Publishers.