Research

2018

Paraskevopoulos, Timotheos

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

2018.

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

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

Do institutional investors improve the efficiency of Bitcoin?

2018.

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

Posch, Peter N; Schmidtke, Philipp; et al.,

Using the Extremal Index for Value-At-Risk Backtesting

2018.

Abstract | BibTeX | Tags: Extremal Index, VaR Backtest

Posch, Peter N; Ullmann, Daniel; et al.,

Detecting structural changes in large portfolios Journal Article Forthcoming

Empirical Economics, Forthcoming.

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

2018.

BibTeX | Tags: parameter-free

Müller, Janis; Posch, Peter N

Consumption volatility ambiguity and risk premium's time-variation

2018.

BibTeX | Tags: volatility

Müller, Janis; Posch, Peter N

Wrong-way-risk in tails Journal Article

Journal of Asset Management, 2018, ISSN: 1479-179X.

Abstract | Links | BibTeX | Tags:

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

2017.

Abstract | 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

2017.

Abstract | 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 Forthcoming

Quantitative Finance and Economics, Forthcoming.

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; et al.,

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; et al.,

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?

2017.

Abstract | BibTeX | Tags: hedge accounting

Köchling, Gerrit; Posch, Peter N; et al.,

Do firms hedge in order to avoid financial distress costs? A theoretical approach with empirical evidence for German corporates

2017.

Abstract | BibTeX | Tags: financial distress

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

Lübbers, Johannes

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

10th International Conference on Computational and Financial Econometrics, Seville, 2016.

BibTeX | Tags: Commodities' common factor

Posch, Peter; Ullmann, Daniel; et al.,

Asymmetry and performance metrics for equity returns

2016.

BibTeX | Tags: asymmetrie, performance metrics

Posch, Peter N; et al.,

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; et al.,

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; et al.,

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; et al.,

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; et al.,

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; et al.,

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; et al.,

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; et al.,

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; et al.,

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 | BibTeX | Tags: benford

2011

Posch, Peter N; et al.,

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; et al.,

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

2010.

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; et al.,

How do Rating Agencies Score in Predicting Firm Performance Book

Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2007.

Links | BibTeX | Tags:

2006

Posch, Peter N; et al.,

Analysing digits for portfolio formation and index tracking Journal Article

Journal of Asset Management, 7 (1), pp. 69–80, 2006, ISSN: 1479-179X.

Links | BibTeX | Tags: