Financial Markets and Econometrics
The goal of the research group Financial Markets and Econometrics is a theoretical as well as an empirical investigation of financial markets and the banking industry. The theoretical part is concerned with incentive structures, market micro-structure, financial intermediaries and financial market regulation. To provide a rigorous analysis, game theoretic methods will be applied and if necessary also developed by the research team.
The second strand of our research agenda is concerned with empirical and theoretical asset pricing as well as quantitative analysis of risk. We are planning to investigate for instance the impacts and the performance of non-von Neumann Morgenstern decision theory on portfolio optimization as well as on performance. In addition we are planning to analyze and quantify the impacts of different regulatory measures in banking. Recent methods developed in mathematical finance literature as well as in financial econometrics will be used and augmented to attain this goal.
The third topic on our research agenda is related to econometrics. For example, econometric methods such as spatial correlation models and dynamic factor models are used to describe and quantify commonality in the data by means of statistical tools. We are developing methods to estimate the model parameters and to perform inference as well. In financial econometrics such models allow to model and to quantify default correlation. However, econometrics as well as the application of econometric methods is not restricted to financial data and research questions in finance. In addition, econometric methods are used in policy evaluation. Examples are investigations on the returns of schooling as well as quantifying the impact of different taxes.
Head of Research Group