Research

Find our publications, conference contributions and working Paper


51 entries « 1 of 2 »

2020

Köchling, Gerrit; Posch, Peter N; Hahnenstein, Lutz

Do Firms Hedge in Order to Avoid Financial Distress Costs? New empirical evidence using bank data Journal Article

Journal of Business Finance & Accounting , 2020.

Abstract | Links | BibTeX | Tags: financial distress

Posch, Peter N; Bücher, Axel; Schmidtke, Philipp

Using the Extremal Index for Value-At-Risk Backtesting Journal Article

Journal of Financial Econometrics, 2020.

Abstract | Links | BibTeX | Tags: Extremal Index, VaR Backtest

Engelhardt, Nils; Neukirchen, Daniel; Krause, Miguel; Posch, Peter N

What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation Journal Article

Sustainability , 12 (12), 2020.

Abstract | Links | BibTeX | Tags: corona-crash, investor expectation, news attention

Krämer, Walter; Posch, Peter N

Partial Orderings of Default Predictions Book Chapter

Springer, 2020.

Abstract | Links | BibTeX | Tags: data analysis, econometrics, statistics

Köchling, Gerrit; Schmidtke, Philipp; Posch, Peter N

Volatility forecasting accuracy for Bitcoin Journal Article

Economics Letters, 2020.

Abstract | Links | BibTeX | Tags: Bitcoin, cryptocurrency, forecasting, volatility

2019

Kranz, Sebastian; Löffler, Gunter; Posch, Peter N

Predatory Short Sales and Bailouts Journal Article

German Economic Review, 20 (4), pp. e469-e491, 2019.

Abstract | Links | BibTeX | Tags: government bailouts, predatory trading, short sale bans, short sales

Aslan, Aydin; Caspari, Lisa; Posch, Peter N

FDI in China to enhance Innovative Ability Journal Article

2019.

Abstract | BibTeX | Tags: CAGE analysis, China, Foreign Direct Investment, Innovative Ability, Open Innovation

Köchling, Gerrit; Müller, Janis; Posch, Peter N

Does the Introduction of Futures Improve the Efficiency of Bitcoin? Journal Article

Finance Research Letters, 30 , pp. 367-370, 2019.

Abstract | Links | BibTeX | Tags: Bitcoin, cryptocurrency, institutional investors, Market efficiency

Schmidtke, Philipp; Köchling, Gerrit

Cryptocurrency Research Conference 2019 Conference

University of Southampton, United Kingdom, 2019.

BibTeX | Tags: cryptocurrency

Müller, Janis; Posch, Peter N

Consumption volatility ambiguity and risk premium’s time-variation Journal Article

Finance Research Letters, 29 , pp. 336-339, 2019, ISSN: 1544-6123.

Abstract | Links | BibTeX | Tags: Ambiguity, Stochastic volatility, Time-varying equity premium

Rafeld, Hagen; Fritz-Morgenthal, Sebastian G; Posch, Peter N

Whale Watching on the Trading Floor: Unravelling Collusive Rogue Trading in Banks Journal Article

Journal of Business Ethics, pp. 1-25, 2019.

Abstract | Links | BibTeX | Tags: Behavioural risk, Collusion, Corporate culture, Misconduct, Organizational misbehaviour theory, Rogue trading

Köchling, Gerrit; Müller, Janis; Posch, Peter N

Price delay and market frictions in cryptocurrency markets Journal Article

Economics Letters, 174 , pp. 39 - 41, 2019, ISSN: 0165-1765.

Abstract | Links | BibTeX | Tags: cryptocurrency, Market efficiency, Price delay

2018

Kunsteller, Sebastian; Müller, Janis; Posch, Peter N

Do illiquid stocks jump more frequently? Journal Article

Applied Economics, 51 (25), pp. 2764-2769, 2018.

Links | BibTeX | Tags: liquidity, stock liquidity, stock price, stocks

Bergmann, Alexander; Posch, Peter N

Mandatory Sustainability Reporting in Germany: Does Size Matter? Journal Article

Sustainability, 2018.

Links | BibTeX | Tags: cdia, sustainability

Schmidtke, Philipp

25th Annual Meeting of the German Finance Association (DGF) Conference

German Finance Association Trier, Germany, 2018.

BibTeX | Tags: DGF

Köchling, Gerrit

Jahrestagung des Vereins für Socialpolitik Conference

Verein für Socialpolitik Freiburg im Breisgau, Germany, 2018.

BibTeX | Tags: vfsocialpolitik

Müller, Janis; Posch, Peter N

Wrong-way-risk in tails Journal Article

Journal of Asset Management, 19 (4), pp. 205–215, 2018, ISSN: 1479-179X.

Abstract | Links | BibTeX | Tags:

Köchling, Gerrit; Schmidtke, Philipp

International Finance and Banking Society Conference

IFABS Porto, Portugal, 2018.

BibTeX | Tags: ifab

Paraskevopoulos, Timotheos

Real-time event detection: What is the impact of surprise? Journal Article

2018.

Abstract | Links | BibTeX | Tags: event detection, network theory, twitter

Posch, Peter N; Ullmann, Daniel; Wied, Dominik

Detecting structural changes in large portfolios Journal Article

Empirical Economics, 2018.

Links | BibTeX | Tags: Cluster analysis, Correlation, Portfolio management, Structural change

Müller, Janis; Posch, Peter N

How does stochastic volatility influence asset prices? – A parameter-free approach Journal Article

2018.

Links | BibTeX | Tags: parameter-free

2017

Paraskevopoulos, Timotheos; Posch, Peter N

Time-frequency linkages and co-movements between the euro and European stock market: A continuous wavelet analysis. Journal Article

2017.

Abstract | Links | BibTeX | Tags: Co-movement, wavelet, wavelet-coherence

Lübbers, Johannes

Commodity prices and the EROI of oil: Decreasing surplus energy and it’s effect on agriculture and metal prices Journal Article

2017.

Abstract | Links | BibTeX | Tags: Commodity prices, Energy, EROI

Lübbers, Johannes; Posch, Peter N

Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices Journal Article

2017.

Abstract | Links | BibTeX | Tags: Agriculture-specific common factor; commodity index traders; futures market

Paraskevopoulos, Timotheos; Posch, Peter N

A hybrid forecasting algorithm based on SVRs and Wavelets Decompositions Journal Article

Quantitative Finance and Economics, 2017.

Abstract | Links | BibTeX | Tags: forecasting, SVR, wavelet

Paraskevopoulos, Timotheos

3rd International Conference in Applied Macro and Empirical Finance Conference

Thessaloniki, Greece, 2017.

BibTeX | Tags: empirical finance

Lübbers, Johannes; Posch, Peter N; Erhardt, Joachim

Bail-in and asset encumbrance - Implications for banks' asset liability management Journal Article

Journal of Banking Regulation, 18 (2), pp. 149–162, 2017, ISSN: 1750-2071.

Abstract | Links | BibTeX | Tags:

Posch, Peter N; Ullmann, Daniel; Bowden, Roger J

Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013 Journal Article

Finance Research Letters, 2017, ISSN: 1544-6123.

Links | BibTeX | Tags:

Radak, Vladislav

A Game Theory Application on Package Asset Auctions Conference

44th International Symposium on Operational Research SYM-OP-IS, Belgrade – Zlatibor, 2017.

BibTeX | Tags: game theory

Köchling, Gerrit; Posch, Peter N

How does hedge accounting influence firm value? Journal Article

2017.

Abstract | Links | BibTeX | Tags: hedge accounting

Lübbers, Johannes

Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices Conference

Commodity and Energy Markets Annual Meeting Oxford, 2017.

BibTeX | Tags: agriculture, Commodity prices

2016

Posch, Peter N; Ullmann, Daniel; Bowden, Roger J

Asymmetry and performance metrics for equity returns Journal Article

2016.

Links | BibTeX | Tags: asymmetrie, performance metrics

Mayordomo, Sergio; Posch, Peter N

Does central clearing benefit risky dealers? Journal Article

Journal of International Financial Markets, Institutions and Money, 42 , pp. 91-100, 2016.

Links | BibTeX | Tags: Central clearing, Counterparty risk, Credit default swaps

Mayordomo, Sergio; Posch, Peter N

Does central clearing benefit risky dealers? Journal Article

Journal of International Financial Markets, Institutions and Money, 42 (Supplement C), pp. 91 - 100, 2016, ISSN: 1042-4431.

Links | BibTeX | Tags: Central clearing, Counterparty risk, Credit default swaps

Lübbers, Johannes; Posch, Peter N

Commodities' common factor: An empirical assessment of the markets' drivers Journal Article

Journal of Commodity Markets, 4 (1), pp. 28 - 40, 2016, ISSN: 2405-8513.

Links | BibTeX | Tags: Co-movement, Commodity-specific common factor, Generalized dynamic factor models

2015

Paraskevopoulos, Timotheos

ECML PKDD - European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases Conference

Porto, 2015.

BibTeX | Tags: machine learning

Posch, Peter N; Erhardt, Joachim; Hard, Tarek

The impact of commodity finance on resource availability Journal Article

Applied Economics Letters, 22 (7), pp. 525-528, 2015.

Links | BibTeX | Tags:

2014

Posch, Peter N; Bowden, Roger J; Bläsche, Thomas

Data smoothing and end correction using entropic kernel compression Journal Article

Stat, 3 (1), pp. 250–257, 2014, ISSN: 2049-1573.

Links | BibTeX | Tags: data smoothing, edge correction, entropy bandwidth, locational entropy

Posch, Peter N; Kalteier, Eva Maria; Molt, Stephan; Nguyen, Tristan

Value-based assessment of sovereign risk Journal Article

Qualitative Research in Financial Markets, 6 (2), pp. 157-172, 2014.

Abstract | Links | BibTeX | Tags:

2013

Posch, Peter N; Kalteier, Eva Maria

Sovereign asset values and implications for the credit market Journal Article

Review of Financial Economics, 22 (2), pp. 53 - 60, 2013, ISSN: 1058-3300.

Links | BibTeX | Tags: Contingent claim approach, Sovereign creditworthiness, Sovereign debt crisis

Posch, Peter N; Löffler, Gunter

Wall Street’s bailout bet: Market reactions to house price releases in the presence of bailout expectations Journal Article

Journal of Banking & Finance, 37 (12), pp. 5147 - 5158, 2013, ISSN: 0378-4266.

Links | BibTeX | Tags: Announcement effects, Bailout, Financial crisis, House prices

Posch, Peter N; Pollege, Samuel

Managing and trading sovereign risk using credit derivatives and government markets Journal Article

The Journal of Risk Finance, 14 (5), pp. 453-467, 2013.

Abstract | Links | BibTeX | Tags:

Posch, Peter N; Heider, Pascal

Cross-Market Valuation with Full Information on the Company’s Capital Structure Journal Article

Journal of Mathematical Finance, 3 (3A), 2013.

Abstract | Links | BibTeX | Tags: Cross-market valuation

Posch, Peter N; Bowden, Roger J

In Contango Versus Backwardation, the Truth May Not be in Convenience: Disequilibrium States and the Spot-Forward Balance in Commodity Markets Journal Article

Procedia Computer Science, 17 (Supplement C), pp. 266 - 273, 2013, ISSN: 1877-0509, (First International Conference on Information Technology and Quantitative Management).

Links | BibTeX | Tags: Backwardation, Commodity, Contango, Convenience yield, Disequilibrium econometrics, Regime dependence

Posch, Peter N

Benford or Not-Benford? How to test for the First-Digit Law Journal Article

JP Journal of Fundamental and Applied Statistics, 4 (Issues 1 & 2), pp. 1-22, 2013.

Abstract | Links | BibTeX | Tags: benford

2011

Posch, Peter N; Bowden, Roger J

The bonus pool, mark to market and free cash flow: producer surplus and its vesting in the financial markets Journal Article

Applied Financial Economics, 21 (24), pp. 1843-1857, 2011.

Links | BibTeX | Tags:

Posch, Peter N

Time to change. Rating changes and policy implications Journal Article

Journal of Economic Behavior & Organization, 80 (3), pp. 641 - 656, 2011, ISSN: 0167-2681.

Links | BibTeX | Tags: Friction model, Migration policy, Rating stickiness

2010

Posch, Peter N; Bowden, Roger J

Quality Signalling and Ratings Credibility: Regulatory Reform for the Ratings Industry Journal Article

2010.

Links | BibTeX | Tags:

2008

Posch, Peter N

A survey on sequences and distribution functions satisfying the first-digit-law Journal Article

Journal of Statistics and Management Systems, 11 (1), pp. 1-19, 2008.

Links | BibTeX | Tags:

2007

Posch, Peter N; Löffler, Gunter

How do Rating Agencies Score in Predicting Firm Performance Book

Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007.

Links | BibTeX | Tags:

51 entries « 1 of 2 »