Chairs of Statistics and Econometrics

Publications

Recent Discussion paper

Articles in peer-reviewed journals

  • Statistical identification of independent shocks with kernel-based maximum likelihood estimation and an application to the global crude oil market (with C.M. Hafner and S. Wang), Journal of Business and Economics Statistics (forthcoming) .
  • BEKKs: An R package for estimation of conditional volatility of multivariate time series (with M.J. Fülle, C. Hafner and A. Lange), Journal of Statistical Software (forthcoming) .
  • Green parties and the quest for biodiversity: The political economy of fiscal commitments in OECD economies (with B. Theilen), Environmental and Resource Economics, 2024, 87, 2455-2486.
  • Unraveling the structural sources of oil production and their impact on CO2 emissions (with B. Theilen and S. Wang), Energy Economics, 2024, 132, 107488.
  • Predicting tail risks by a Markov switching MGARCH model with varying copula regimes (with M.J. Fülle), Journal of Forecasting, 2024, 43, 2163-2186.
  • Too many cooks could spoil the broth: choice overload and the provision of ambulatory health care (with C. Strumann), International Journal of Health Economics and Management, 2024, 24, 357-373.
  • Statistical identification in panel structural vector autoregressive models based on independence criteria (with S. Wang), Journal of Applied Econometrics, 2024, 39, 620-639.
  • How certain are we about the role of uncertainty in the economy (with A. Lange), Economic Inquiry, 2024, 62, 126-149.
  • Financial Development,Corruption Control, and Growth Volatility: Evidence from a Multi-Country Evaluation (with P. Struthmann and Y.M. Walle), Journal of Money, Credit and Banking, 2024, 56, 1833-1860.
  • Local financial development and the growth of small firms in Vietnam (with V.T. Tran, Y.M. Walle and T.T. Nguyen), Journal of the Asia Pacific Economy, 2024, 29, 1564-1598.
  • Effectiveness and counter‐cyclicality of fiscal consolidation under compliance regulation: The case of the Stability and Growth Pact (with B. Theilen), Economics and Politics, 2024, 36, 152-176.
  • Correlation impulse response functions (with C.M. Hafner), Finance Research Letters, 2023, 57, 104176.
  • The impact of local financial development and corruption control on firm efficiency in Vietnam: Evidence from a geoadditive stochastic frontier analysis (with R. Haschka, C. Silva-Coelho and Y.M. Walle), Journal of Productivity Analysis, 2023, 60, 203-226.
  • Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles (with S. Wang), Journal of Economic Dynamics and Control, 2023, 151,104630.
  • Asymmetric volatility impulse response functions (with C.M. Hafner), Economics Letters, 2023, 222, 110968.
  • Forward detrending for heteroskedasticity-robust panel unit root testing (with Y.M. Walle and S. Maxand), Econometric Reviews, 2023, 42, 28-53.
  • Dynamic score driven independent component analysis (with C. Hafner), Journal of Business and Economics Statistics, 2023, 41, 298-308.
  • State dependence of fiscal multipliers in Chile: An independent component approach to identification (with A. Fortunato), Latin American Economic Review, 2023, 32, Article 1.
  • Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US (with H. Rohloff and S. Wang), Journal of Economic Dynamics and Control, 2022, 139, 104457.
  • Endogeneity in pharmaceutical knowledge generation: An instrument-free copula approach for Poisson frontier models (with R. Haschka), Journal of Economics and Management Strategy, 2022, 31, 942-960.
  • The link between monetary policy, stock and house prices -- evidence from a statistical identification approach (with S. Maxand and H. Rohloff), International Journal of Central Banking, 2022, 18, 111-163.
  • A New Measure of Wage Risk: Occupation-Specific Evidence for Germany (with B. Theilen and D. Rodriguez-Justicia), Social Indicators Research, 2022, 164, 1-36 .
  • Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model (with J. Roestel), Journal of International Financial Markets, Institutions and Money, 2022, 78, 101568.
  • The joint effects of financial development and the business environment on firm growth: evidence from Vietnam (with R. Haschka, P. Struthmann, V. Tran Tuan and Y.M. Walle), Journal of Comparative Economics, 2022, 50, 486-506.
  • Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account (with M. Lehna and F. Scheller), Energy Economics, 2022, 106, 105742.
  • Carbon dioxide atmospheric concentration and hydrometeorological disasters (with A. Fortunato, R.E. Lopez and E. Figueroa), Natural Hazards, 2022, 112, 57-74.
  • Data-driven identification in SVARs - When and how can statistical characteristics be used to unravel causal relationships? (with A. Lange and S. Maxand), Economic Inquiry, 2022, 60, 668-693 .
  • Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time - An identified structural VAR approach, Statistical Models and Applications, 2022, 31, 63-85.
  • Structural transmissions among investor attention, stock market volatility and trading volumes (with F. Xu), European Financial Management, 2022, 28, 269-279.
  • Identification of structural multivariate GARCH models (with C. Hafner and S. Maxand), Journal of Econometrics, 2022, 227, 212-227.
  • Inflation targeting under inflation uncertainty -- Multi-economy evidence from a stochastic volatility model (with M. Hartmann and M. Ulm), Macroeconomic Dynamics, 2022, 26,1302-1337.
  • Exchange Rates, Foreign Currency Exposure and Sovereign Risk (with K. Bernoth), Journal of International Money and Finance, 2021, 117, 102454.
  • The threat of oil market turmoils to food price stability in Sub-Sahara Africa (with B. Dalheimer and A. Lange), Energy Economics, 2021, 93, 105029 .
  • National support for the European integration project: Does financial integration matter? (with P. Esteve-Gonzalez and B. Theilen), Economics and Politics, 2021, 33, 357-378.
  • Government ideology and fiscal consolidation: Where and when do government parties adjust public spending? (with B. Theilen), Public Choice, 2021,187, 375-401.
  • svars: An R package for data-driven identification in multivariate time series analysis (with B. Dalheimer, A. Lange and S. Maxand), Journal of Statistical Software, 2021, 97, 1-34.
  • Individual health-related quality of life and the regional allocation of medical services: Insights from a stochastic health frontier analysis (with R. Haschka and K. Schley), Journal of Public Health Policy and Planning, 2020, 4, 41-56.
  • Nonparametric Tests for Independence – A Review and Comparative Simulation Study with an Application to Malnutrition Data in India, (with S.Maxand), Statistical Papers, 2020, 61, 2175-2201.
  • Food-oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets (with A. Saucedo), Agricultural Economics, 2020, 51, 387-402.
  • Innovation efficiency in European high-tech industries: Evidence from a Bayesian stochastic frontier approach (with R. Haschka), Research Policy, 2020, 49, Art. 104054.
  • The impact of local financial development on firm growth in Vietnam: Does the level of corruption matter? (with V.T. Tran and Y.M. Walle), European Journal of Political Economy, 2020, 62, Art. 101858.
  • Provision of health care services and regional diversity in Germany: Insights from a Bayesian health frontier analysis with spatial dependencies , (with R.Haschka and K. Schley), European Journal of Health Economics, 2020, 21, 55-71.
  • Measuring price discovery in the European wheat market using the partial cointegration approach, (with T.Vollmer and S.von Cramon-Taubabel), European Review of Agricultural Economics, 2020, 47, 1173-1200.
  • Modelling Regional Patterns of Inefficiency: A Bayesian Approach to Geoadditive Panel Stochastic Frontier Analysis with an Application to Cereal Production in England and Wales, (with N.Klein and T.Kneib), Journal of Econometrics, 2020, 214, 513-539.
  • Do rising top incomes spur economic growth? evidence from OECD countries based on a novel identification strategy, (with Y.M. Walle), Review of Income and Wealth, 2020, 66, 126-160.
  • Low mortgage rates and securitization: A distinct perspective on the U.S. housing boom, (with F.Xu), Scandinavian Journal of Economics, 2020, 122, 164-190.
  • Long-run neutrality of demand shocks - Revisiting Blanchard and Quah (1989) with independent structural shocks, Journal of Applied Econometrics, 2019, 34, 811-819.
  • Heteroskedasticity-robust unit root testing for trending panels, ( with S. Maxand and Y.M. Walle), Journal of Time Series Analysis, 2019, 649-664.
  • Hodges Lehmann detection of structural shocks - An analysis of macroeconomic dynamics in the Euro Area, Oxford Bulletin of Economics and Statistics, 2018, 80, 736-754.
  • Quality and resource efficiency in hospital service provision: A geoadditive stochastic frontier analysis of stroke quality of care in Germany, (mit C. Pross, C. Strumann, A. Geissler und N. Klein), PLOS ONE, 2018, 13(9):1–30.
  • Local/import - and foreign currency prices: Inflation, uncertainty and pass through endogeneity, (with J. Roestel), Studies in Nonlinear Dynamics and Econometrics, 2018, 22, 1-17.
  • Size corrected inference in fiscal policy reaction functions: A three country assessment (with M. Rengel), Empirical Economics, 2018, 55, 391-416.
  • Improving health care service provision by adapting to regional diversity: An efficiency analysis for the case of Germany, (with K.Schley), Health Policy, 2018, 122, 293-300.
  • A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility, (with Y.M.Walle), Computational Statistics, 2018, 33, 379-411.
  • Local financial development and household welfare in Vietnam: Evidence from a panel survey, (with Y.M.Walle and T.V.Tran), Journal of Development Studies, 2018, 54, 619-640.
  • Panel unit root tests for heteroskedastic panels, (with S.Maxand, F.H.C.Raters and Y.M.Walle), Stata Journal, 2018, 18, 184-196.
  • Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models, (with M. Fengler), Oxford Bulletin of Economics and Statistics, 2018, 80, 135-159.
  • Fiscal decentralization and public spending: Evidence from heteroscedasticity-based identification, (with B. Theilen), The B.E. Journal of Economic Analysis and Policy, 2017, 17, issue 2.
  • Mundell's trilemma: Policy trade-offs within the middle ground (with J. Roestel), Journal of International Money and Finance, 2017, 75, 1-13.
  • Stock return prediction under GARCH - an empirical assessment, International Journal of Forecasting, 2017, 33, 569-580.
  • On the predictive information of futures? prices: A wavelet-based assessment, (with S. Schlüter), Journal of Forecasting, 2017, 36, 345-356.
  • Risk forecasting in (T)GARCH models with uncorrelated dependent innovations, (with B. Beckers and M. Seidel), Quantitative Finance, 2017, 17, 121-137.
  • Regional labor market performance in Europe - Error correction dynamics and the role of national institutions and local structure, (with A. Niebuhr), International Regional Science Review, 2017, 40, 270-296.
  • Ideology and redistribution through public spending, (with B. Theilen), European Journal of Political Economy, 2017, 46, 74-90..
  • A comparative assessment of alternative ex ante measures of inflation uncertainty, (with M. Hartmann and M Ulm), International Journal of Forecasting, 2017, 33, 76-89.
  • Local trends in price-to-dividend ratios - assessment, predictive value and determinants, (with M. Rengel and F. Xu), Journal of Money, Credit and Banking, 2016, 48, 1655-1690.
  • Modelling hospital admission and length of stay by means of generalised count data models, (with N. Klein and C. Strumann), Journal of Applied Econometrics, 2016, 1159-1182.
  • Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions, (with F. Siedenburg and Yabibal M. Walle), Econometric Reviews, 2016, 35, 727-750.
  • The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach, (with M. Plödt), Journal of International Money and Finance, 2016, 61, 30-44.
  • Money demand and the shadow economy: Empirical evidence from OECD countries, (with B. Theilen and J. Sarda), Empirical Economics, 2016, 50, 1627-1645.
  • Simulation evidence on theory-based and statistical identification under volatility breaks, (with M. Plödt), Oxford Bulletin of Economics and Statistics, 2016, 78, 94-112.
  • Copula MGARCH with continuous covariance decomposition, (with F.H.C. Raters), Economics Letters, 2015, 133, 73-75.
  • One share fits all? Regional variations in the extent of the shadow economy in Europe, (with F. Schneider and E. Tafenau), Regional Studies, 2015, 49, 1575-1587.
  • Structural vector autoregressions with Markov switching: Combining conventional with statistical identifcation of shocks (with H. Lütkepohl), Journal of Econometrics, 2014, 183, 104-116.
  • Partisan influence on social spending under market integration, fiscal pressure and institutional change, (with B. Theilen), European Journal of Political Economy, 2014, 34, 409-424.
  • On the political and fiscal determinants of income redistribution under federalism and democracy: Evidence from Germany (with B. Theilen), Public Choice, 2014, 159, 121-139.
  • Did the introduction of the Euro impact on inflation uncertainty? An empirical assessment (with M. Hartmann), Macroeconomic Dynamics, 2014, 18, 1313-1325.
  • Openness and the finance-growth nexus (with Yabibal M. Walle), Journal of Banking & Finance, 2014, 48, 235-247.
  • State dependence of aggregated risk-aversion: Evidence from the German stock market, (with M. Hansen and M. Rengel), Journal of Applied Economics, 2014, 17, 257-282.
  • Health care and ideology: A reconsideration of political determinants of public health care funding in the OECD (with B. Theilen), Health Economics, 2014, 23, 225-240.
  • Determinants of the link between financial and economic development: Evidence from a functional coefficient model, (with Y.M. Walle), Economic Modelling, 2014, 37, 417-427.
  • Testing the value of directional forecasts in the presence of serial correlation (with O. Blaskowitz), International Journal of Forecasting, 2014, 30, 30-42.
  • In-sample and out-of-sample prediction of stock market bubbles: Cross-sectional evidence (with K. Kholodilin), Journal of Forecasting, 2014, 33, 15-31.
  • Hospital efficiency under prospective reimbursement schemes: An empirical assessment for the case of Germany (with C. Strumann), The European Journal of Health Economics, 2014, 15, 175-186.
  • The role of cross-sectional heterogeneity for magnitude and timing of the Euro's trade effect (with H. Weber), Journal of International Money and Finance, 2013, 37, 48-74.
  • Does the EU financing system contribute to shadow economic activity? (with B. Theilen), Economics and Politics, 2013, 25, 135-161.
  • On the predictive content of autoregression residuals ? a semiparametric, copula-based approach to time series prediction, Journal of Forecasting, 2013, 32, 353-368..
  • To converge or not converge: unit labor cost inflation in the Euro area (with F. Siedenburg), Empirical Economics, 2013, 44, 455-467..
  • A dynamic copula approach to recovering the index implied volatility skew (with M. Fengler und C. Werner) Journal of Financial Econometrics, 2012, 10, 457-493.
  • Consolidation first. About twin deficits and the causal relation between fiscal budget and current account imbalances (with M. Hartmann), Economics Bulletin, 2012, 32, 3313-3319.
  • Fishing industry borrows from natural capital at high shadow interest rates (with R. Froese, M.Quaas, T. Requate, J.Schmidt, R.Voss), Ecological Economics, 2012, 82, 45-52.
  • Dynamic modeling of high-dimensional correlation matrices in finance (with V. Golosnoy), International Journal of Theoretical & Applied Finance, 2012, 15, 1250035-1 1250035-22.
  • Causal relations between inflation and inflation uncertainty ? cross-sectional evidence in favour of the Friedman-Ball hypothesis (with M. Hartmann) Economics Letters, 2012, 115, 144-147.
  • Where enterprise leads, finance follows. In-sample and out-of-sample evidence on the causal relation between finance and growth (with M.Hartmann und Y.M. Walle), Economics Bulletin, 2012, 32, 871-882.
  • On the effect of prospective payment on local hospital competition in Germany (with C. Strumann), Health Care Management Science , 2012, 15, 48-62.
  • Forecast accuracy and uncertainty in applied econometrics - a recommendation of specific-to-general predictor selection, Empirical Economics, 2011, Vol 41, 487-510.
  • Keep it simple - on specific-to-general predictor selection for time series forecasting in the short, medium and long run, Journal of Statistical Computation and Simulation, 2011, Vol 81, 931-943.
  • Specific-to-general predictor selection in approximate autoregressions - Monte Carlo evidence and a large-scale performance assessment with real data, AStA Advances in Statistical Analysis, 2011, Vol. 95, 147-168.
  • On economic evaluation of directional forecasts, (with O. Blaskowitz), International Journal of Forecasting, 2011, Vol 27, 1058-1065.
  • Modelling stock index returns by means of partial least squares methods - an out-of-sample analysis for three stock markets, (with C. Cengiz), Applied Stochastic Models in Business and Industry, 2011, Vol 27, 253-266.
  • A generalized least-squares estimator for cointegration parameters under conditional heteroskedasticity (with H.Lütkepohl), Journal of Time Series Analysis, 2011, Vol 32, 281-291.
  • Growth, unemployment and labor market institutions - evidence from a cross-section of EU regions (with A. Niebuhr), Applied Economics, 2011, Vol 43, 4663-4676.
  • Modelling the Fisher hypothesis: World-wide evidence, (with H.E. Reimers), Macroeconomic Dynamics, 2011, Vol. 15, 93-118.
  • Dynamic features of international capital market rates - an empirical assessment for a subsystem of the G7 (with J. Roestel), Journal of Money, Credit and Banking, 2011, Vol. 43, 1523-1541.
  • A note on model selection in (time series) regression models - General-to-specific or specific-to-general? Applied Economics Letters, 2010, Vol 17, 1157 ? 1160.
  • The introduction of the Euro and its effects on investment decisions, with R. Haselmann, Journal of International Money and Finance, 2010, Vol. 29, 94-110.
  • Regional estimates of the shadow economy in Europe, (with F. Schneider und E. Tafenau), International Economic Journal 24, 2010, 627-634.
  • A new approach to unit root testing (with F.Siedenburg), Computational Economics, 2010, Vol. 36, 365-384.
  • The determinants of health care expenditure: New results from semiparametric models (with B.Theilen), Health Economics, 2010 Vol.19, 964-978.
  • A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis (with I. Waichmann), Computational Statistics, 2010, 25, 725-732.
  • A functional coefficient model view of the Feldstein-Horioka puzzle (with F. Xu), Journal of International Money and Finance, 2010, 29, 37-54.
  • Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device, Economics Letters, 2009, Vol. 130, 160-162.
  • Adaptive forecasting of the EURIBOR swap term structure (with O. Blaskowitz), Journal of Forecasting, 2009, 28, 575-594.
  • PCA based ex-ante forecsting of swap term structures (with O. Blaskowitz), International Journal of Theoretical and Applied Finance, 2009, Vol. 12, 465-489.
  • Testing for linear vector autoregressive dynamics under multivariate generalized autoregessive heteroskedasticity (with C.M. Hafner), Statistica Neerlandica, 2009, Vol. 63, 294-323.
  • Testing for causality in variance using multivariate GARCH models (with C.M. Hafner), Annales d'Economie et de Statistique, 2009, Vol. 89, 215-241.
  • Modelling stock return dynamics conditional on equilibrium pricing factors - evidence from international equity markets (with L. Morales-Arias), European Journal of Finance, 2009, 15, 1-29.
  • Monetary autonomy under floating exchange rates: Evidence based on international breakeven inflation rates (with J. Roestel), Studies in Nonlinear Dynamics and Econometrics, 2009, Vol. 13, Nr.4, Artikel 5.
  • Development and determinants of systemic risk in European banking - an empirical note (with M. Siegel), Applied Economics Letters, 2009, 16, 431-438.
  • A new approach to bootstrap inference in functional coefficient models (with F. Xu), Computational Statistics & Data Analysis, 2009, Vol. 53, 2155-2167.
  • Panel data model comparison for empirical saving-investment relations (with F. Xu), Applied Economics Letters, 2009, Vol. 16, 803 - 807.
  • Analytical quasi maximum likelihood inference in multivariate volatility models (with C.M. Hafner), Metrika, 2008, Vol. 67, 219-239.
  • Portfolio performance and the Euro: Prospects for new potential EMU members (with R. Haselmann), Journal of International Money and Finance, 2008, Vol. 27, 314-330.
  • Homogeneous panel unit root tests under cross-sectional dependence - finite sample modifications and the wild bootstrap (with F. Siedenburg), Computational Statistics and Data Analysis, 2008, 53/1, 137-150.
  • Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration (with F. Xu) Manchester School, 2008, 76/3, 267-278.
  • Testing for random effects in panel models with spatially correlated disturbances, Statistica Neerlandica, 2007, Vol. 61, Nr. 4, 466--487.
  • Determinants of Current Account imbalances in 16 OECD countries: An out-of-sample perspective (with F. Siedenburg), Review of World Economics, 2007, Vol. 143, Nr. 2, 349--374.
  • Testing for random effects in panel data under cross sectional error correlation - A bootstrap approach to the Breusch Pagan test, Computational Statistics and Data Analysis, 2006, Vol. 50, 3567-3591.
  • Econometric analysis of high frequency data, Allgemeines Statistisches Archiv, 2006, 89-104. 137-141.
  • A Lagrange multipler test for causality in variance (with C.M. Hafner), Economics Letters, 2006, Vol. 93, 137-141.
  • Volatility impulse responses for multivariate GARCH models: An exchange rate illustration (with C.M. Hafner), Journal of International Money and Finance, 2006, Vol. 25, 719-740
  • Panel nonstationary tests of the Fisher hypothesis in a world wide context (with H.-E. Reimers), International Journal of Applied Econometrics and Quantitative Studies, 2006, Vol. 6, 39-54.
  • Long run links among money, prices and output: Worldwide evidence (with H.-E. Reimers), German Economic Review, 2006, 65-86.
  • Bootstrap inference in single equation error correction models (with M.H. Neumann), Journal of Econometrics, 2005, Vol. 128, 165-193.
  • Exchange rate uncertainty and trade growth - a comparison of linear and non-linear (forecasting) models (with H. Weber), Applied Stochastic Models in Business and Industry, 2005, 21, 1-25.
  • On the (nonlinear) relationship between exchange rate uncertainty and trade - An investigation of US trade figures in the Group of Seven, Weltwirtschaftliches Archiv, 2003, Vol. 139, 650-682.
  • Time inhomogeneous multiple volatility modelling, (with W. Härdle,V.G. Spokoiny), Journal of Financial Econometrics, 2003, Vol. 1, 55-95.
  • The determinants of health care expenditure: Testing pooling restrictions in small samples (with B. Theilen), Health Economics, 2003, Vol. 12, 113-124
  • Seasonal cointegration analysis for German M3 money demand, (with H.E. Reimers), Applied Financial Economics, 2003, Vol. 13, 71-78.
  • Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications, (with H.E. Reimers), Applied Stochastic Models in Business and Industry, Vol. 18, 2002, 3-22.
  • Testing growth ratios via pooled error correction models, (with H.E.Reimers), Economics Bulletin, 2002, Vol. 3, 1-11.
  • Testing the purchasing power parity in pooled systems of error correction models, (with H.E. Reimers), Japan and the World Economy, Vol. 14, 2002, 45-62.
  • Investigating the JPY/DEM-rate: Arbitrage opportunities and a case for asymmetry, International Journal of Forecasting, Vol. 17, 2001, 231-245.
  • Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis (with C.M. Hafner), Journal of Empirical Finance, Vol. 8, 2001, 1-34.
  • Testing for linear autoregressive dynamics under heteroskedasticity (with C.M. Hafner), The Econometrics Journal, Vol. 3, 2000, 177-197.
  • Forecasting market share using predicted values of competitive behaviour (with D. Klapper), International Journal of Forecasting, Vol. 16, 2000, 399-421.
  • Multivariate volatility analysis of VW stock prices (with H. Lütkepohl), International Journal of Intelligent Systems in Accounting, Finance and Management, Vol. 9, 2000, 35-54.
  • Weekday dependence of German stock market returns, Applied Stochastic Models in Business and Industry, 16, 2000, 47-71.
  • Unterschiedpunktche Volatilitätsregime am deutschen Rentenmarkt (with H.E. Reimers), Jahrbücher für Nationalökonomie und Statistik, Bd. 219/3+4, 1999, 375-392.
  • Performance of periodic time series models in forecasting, Empirical Economics, Vol. 24, 1999, 271-301.
  • Time varying market price of risk in the CAPM - Approaches, empirical evidence and implications, (with C.M. Hafner), Finance, Vol.19, 2/1998, 93-112.
  • Structural analysis of portfolio risk using beta impulse response functions, (with C.M. Hafner), Statistica Neerlandica, Vol. 52, 1998, 336-355.
  • Testing periodicity in time series models - A recommendation of bootstrap methods, Computational Statistics, Vol. 13, 1998, 283-300.
  • Performance of periodic error correction models in forecasting consumption data, International Journal of Forecasting, Vol. 13, 1997, 421-431.
  • Specification of varying coefficient time series models via generalized flexible least squares (with H. Lütkepohl), Journal of Econometrics, Vol. 70, 1996.

Articles in peer-reviewed volumes

  • Bootstrapping in Macroeconometrics (with A. Lange), Oxford Research Encyclopedia of Economics and Finance, Oxford University Press, 2020
  • VaR in high dimensional systems (with B. Pedrinha and F.H.C. Raters ), Härdle, W., C. Y. Chen, L. Overbeck (Eds.): Applied Quantitative Finance, 3rd Ed., Springer Verlag, 2017, 3-23.
  • Multivariate volatility models (with M. Fengler and F.H.C. Raters), Härdle, W., C. Y. Chen, L. Overbeck (Eds.): Applied Quantitative Finance, 3rd Ed., Springer Verlag, 2017, 25-37.
  • Editorial for Innovations in Multiple Time Series Analysis (with Jörg Breitung), in: Journal of Econometrics, 2016, Vol 192, No 2, 529-531.
  • Regional patterns of shadow economy: Modelling issues and evidence from the European Union (with F. Schneider, E. Tafenau.), in: Schneider, F (Ed.): Handbook of the Shadow Economy, 2011, 201-247, Edward Elgar Publishing, Cheltenham.
  • VaR in high dimensional systems - a conditional correlation approach (with B. Pedrinha), 2nd ed. in: Härdle, W., T. Kleinow, G. Stahl (Eds.): Applied Quantitative Finance, 2009, 2nd Ed., Springer Verlag Berlin, 83-96..
  • Conditional heteroskedastiticity, in: Lütkepohl, H., M. Krätzig (Eds.): Applied Time Series Econometrics, 2004, 197--220.
  • Multivariate volatility models, (with M. Fengler), in: Härdle, W., T. Kleinow, G. Stahl (Eds.): Applied Quantitative Finance, Springer Verlag, 2002, 221-236.
  • Linear autoregressive dynamics in financial returns - Inference and implications , (with C.M. Hafner), Proceedings of the 9th Annual Conference of Doctoral Students, ed. by J. Safrankova, Charles University Prague, Part I: Mathematics, 2000, 1-10.

Others

  • Viewing fish stocks as economic investments (mit R. Froese, M.Quaas, T. Requate, J.Schmidt, R.Voss), in: Science for Environment Policy.
  • Die volkswirtschaftlichen Kosten der Öl-Havarie im Golf von Mexiko (with D. Phaneuf, M. Quaas, K. Rehdanz, T. Requate), erschienen in Ökonomenstimme am 6.9.2010.
  • Nachlese: Die ökonomischen Kosten der Öl-Havarie (with D. Phaneuf, M. Quaas, K. Rehdanz, T. Requate), in: Die Ölkatastrophe im Golf von Mexiko ? was bleibt? Hintergrundinformatio-nen und offene Fragen zu den Folgen der Explosion der Deepwater Horizon für die Meere und ihre Küsten - von Wissenschaftlern aus dem Kieler Exzellenzcluster ?Ozean der Zukunft?.

Book

  • Analyse saisonaler Zeitreihen mit Hilfe periodischer Zeitreihenmodelle, Dissertation, Verlag Josef Eul, Bergisch Gladbach, 1995.