Historic teaching & evaluations
Links to Code & Data
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
University of Konstanz (Germany)
Frontiers of Factor Investing 2020
Cologne Colloquium on Financial Markets 2020
Asset Allocation under Parameter Uncertainty 2017
Workshop of the AWG 2017
FMA Europe 2017
Australasian Finance & Banking 2016
World Finance 2015
UBC Sauder (Vancouver)
HSG (St. Gallen)
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.
REVIEW OF FINANCIAL ECONOMICS
The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
Do forecasting errors from direct predictions of market components out-way the additional errors introduced by an intermediary asset pricing model?