Chair of Empirical Finance and Econometrics

Research Projects

Global Equity Market Co-movement during crisis Periods

Times of financial turmoil and uncertainty occur with notable regularity. Affected markets generally witness an increase both in the co-movement of their returns and in their volatility levels. This research project employs a dynamic parameter for the modelling of the closeness between a global sample of countries to demonstrate the evolution of global equity market linkages over time.

Market Co-movements

Investment Factor Timing with Neural Networks

The working paper is currently available at SSRN:


Zombie Companies

The working paper is currently available at SSRN:


No Model No Cry

The working paper is available at SSRN:

Time to decide

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