Wirtschaftswissenschaftliche Fakultät

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Projekte


Drittmittelprojekte

Decisions and forecasting under uncertainty: case-based decision theory and its extensions with applications to finance.

Im Rahmen dieses Projekts wird ein neues Prognosemodell für Finanzmarktzeitreihen entwickelt, welches auf der case based decision theory (CBDT) beruht.


Aktuelle Forschungsprojekte

  • Case-based reasoning for volatility modelling, aktuelles Projekt (mit V. Golosnoy und A. Hamid)
  • Robust Control Charts for the Covariance Matrix Based on a Single Observation, under revision (mit O. Bodnar und T. Bodnar)
  • On Exact and Approximative Distributions of the Product of the Wishart and Normal Distributions, under revision (mit T. Bodnar und S. Mazur)
  • Okhrin, Y.;  O. Okhrin and W. Schmid: Determining the structure and estimation of hierarchical Archimedean copulas, submitted.
  • Okhrin, Y.; W. Härdle and W. Wang: Confidence bands for empirical pricing kernels, submitted.
  • Okhrin, Y. and V. Golosnoy: Adaptive model combinations for volatility forecasts, submitted.
  • Okhrin, Y. and V. Golosnoy: Rank-based sequential tests for superior predictive ability, submitted.
  • Okhrin, Y.;  O. Okhrin and W. Härdle: Time varying hierarchical Archimedean copulae, under revision.
  • Okhrin, Y.;  O. Okhrin and W. Schmid: Properties of hierarchical Archimedean copulas, submitted.
  • Okhrin, Y.;  M.C. Morais and W. Schmid: On the limiting behaviour of EWMA control charts with exact control limits, submitted.
  • Okhrin, Y. and V. Golosnoy: Sequential approach for testing equal predicting ability, current project
  • Okhrin, Y.; V. Golosnoy and A. Hamid: Prospect theory and empirical similarity, current project.
  • Okhrin, Y.;  O. Okhrin and W. Schmid: Modeling and forecasting the distribution of temperature, current project.
  • Okhrin, Y. and S. Heiden: Markow switching copula models with application to CDS, current project.
  • Heiden, S.; C. Klein and B. Zwergel: Forecasting stock returns with sentiment data: The difference between private and institutional investors’ forecasting behavior, submitted for publication.
  • Zwergel, B. and M. Hülsbeck: Determinants of successful online poker strategies, current project.
  • Zwergel, B. and G. Bamberg: Variations of the cost-average effect - when in troble double, current project.
  • Zwergel, B.: Does the performance of SRI equity funds depend on their degree of sustainability?
  • Zwergel, B. and Wins, A.: Ethical fund investors across countries and time - A survey based review, current project
  • Zwergel, B. and Wins, A.: Comparing those who do, might and will not invest in SRI funds - A survey among German retail fund investors, current project
  • Zwergel, B. and Wins, A.: What do "ethical" investors care about vs. what they are offered - Survey based evidence from German retail investors, current project
  • Heiden S.: Forecasting bear markets in international equity markets, current project.