Research
Working Papers
Long Live the Vacancy joint with Michael Reiter (09/2020)
What Do Participation Fluctuations Tell Us About Labor Supply Elasticities? joint with Michael Reiter (10/2011).
Product Market Regulation and Endogenous Union Formation joint with Monique Ebell (7/2006).
Journal Articles
Macroeconomics
``Wage Rigidity and Job Creation´´ joint with Marcus Sonntag and Thijs van Rens, Journal of Monetary Economics 60 , pp 887 - 899, 2013.
``Product Market Deregulation and the U.S. Employment Miracle´´ joint with Monique Ebell, Review of Economic Dynamics 12 , pp 479 - 504, 2009.
``Turbulence and Unemployment in a Job Matching Model'' joint with Wouter den Haan and Garey Ramey, Journal of the European Economic Association 3 , pp 1360 - 1385, 2005. [Computer Code]
closely related to Lars Ljungqvist and Tom Sargent: JEEA 6/2004
``Asset Pricing Under Asymmetric Information'', with L. Soegner, Central European Journal of Operations Research, 2000.
Econometrics
`` Mixtures of t-distributions for Finance and Forecasting'' with R.Giacomini, A. Gottschling, and H. White, Journal of Econometrics, 144, pp 175 - 192, 2008.
``Subsampling the distribution of diverging statistics with applications to finance'', with P. Bertail, D.N. Politis, H. White, Journal of Econometrics, 120, pp 295 - 326, 2004.
``Index Forecasting and Model Selection'', with C. Helmenstein, Intelligent Systems in Accounting, Finance, and Management, 11, pp 119 - 135, 2002.
``Adaptive Methods in Macroeconomic Forecasting'', with M. Natter, T. Soni, and H. Otruba, Intelligent Systems in Accounting, Finance, and Management, 6, pp 1 - 10, 1997.
``Forecasting Austrian IPOs: An Application of Linear and Neural Network Error Correction Models'', with C. Helmenstein, Journal of Forecasting, 15, pp 237 - 251, 1996.
``Neural Networks in the Capital Markets: An Application to Index Forecasting'', with C. Helmenstein, Computational Economics, 8, pp 37 - 50, 1996.
``Estimators for Prediction Risk and the Forecasting of Stock Market Indexes'', with C. Helmenstein, Journal of Operations Research and Decision Making, 3, pp 131 - 150, 1996.
Book Publications
Editor, ``Computational Intelligence - Methods and Applications'', with H. Bothe, E. Oja, and E. Massad, ICSC Academic Press, Canada/Switzerland, 1999.
Entry on ``Stock Market Indexes'', with C. Helmenstein, in D. Paxson, D. Wood (eds): Encyclopedia of Management, Blackwell, 1997.
``Two Multilayer Perceptron Training Strategies for Low Frequency S&P Prediction'', with Y. Hiemstra, in R. Trippi, E. Turban (eds): Neural Networks in Finance and Investing II, pp 511 - 523, Irwin, 1996.
``Forecasting Stock Market Averages to Enhance Profitable Trading Strategies'', with C. Helmenstein, in A. N. Refenes, Y. Abu-Mostafa, J. Moody, and A. Weigend (eds): Neural Networks in Financial Engineering, pp 378 - 392, World Scientific Publishers, 1996.
``Empirical Regularities and the Forecasting of Industrial Production'', with M. Natter, T. Soni, H. Otruba, in A. N. Refenes, Y. Abu-Mostafa, J. Moody, and A. Weigend (eds): Neural Networks in Financial Engineering, pp 468 - 478, World Scientific Publishers, 1996.
Other Refereed Publications
``A Neural Network Model to Exploit the Econometric Properties of Austrian IPOs'', with C. Helmenstein, Proceedings of the IEEE/IAFE 1995 Conference on Computational Intelligence for Financial Engineering (CIFEr), pp 128 - 135, New York, 1995.
``Predicting Quarterly Excess Returns: Two Multilayer Perceptron Training Strategies'', with Y. Hiemstra, Proceedings of the 3rd Conference for Artificial Intelligence Applications on Wall Street, pp 212 - 217, New York: Software Engineering Press, 1995.