Forschung

Publications:

1. "Asset Prices with Non-Permanent Shocks to Consumption" with Walter Pohl and Karl Schmedders (2016), Journal of Economic Dynamics and Control, 69, 152-178. Download

2. "Stochastic Integrated Assessment of Ecosystem Tipping Risk" with Thomas Lontzek and Daiju Narita (2016), Environmental and Resource Economics, 65(3), 573-598. Download

3. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks" with Walter Pohl and Karl Schmedders (2018), Journal of Finance, 73(3), 1061-1111. Download Replication Codes

4. "Asset Pricing with Heterogeneous Agents and Long-Run Risk" with Walter Pohl and Karl Schmedders (2021), Journal of Financial Economics, 140(3), 941-964. Download; Appendix; Codes

5. "Adaptive Grids for the Estimation of Dynamic Models", with Andreas Lanz and Gregor Reich (2022), Quantitative Marketing and Economics, 20, 179-238. Download

6. "Where is the Carbon Premium? Global Performance of Green and Brown Stocks", with Michael Bauer, Daniel Huber and Glenn Rudebusch, Journal of Climate Finance, 1. Download

7. "Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences",  with Walter Pohl and Karl Schmedders (2023). Review of Financial Studies. Download; Suppl. Material

8. "Asset Pricing with Time Preference Shocks: Existence and Uniqueness", with John Stachurski and Junnan Zhang (2024). Journal of Economic Theory, 216, 105781. Download 

Research in Progress

9. "Small Data: Efficient Inference with Occasionally Observed States",  with Alexandros Gilch, Andreas Lanz, Philipp Müller and Gregor Reich. Accepted at Management Science. Download  (Dec 2024)

10.  "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks", with Joost Driessen and Joren Koeter. Accepted at Journal of Financial and Quantitative Analysis. Download (Oct 2024)

11. "Asset Pricing with Disagreement about Climate Risks", with Thomas Lontzek, Walter Pohl, Karl Schmedders and Marco Thalhammer. Download (Oct 2024)

12.  "Corporate Green Pledges",  with Michael Bauer, with Daniel Huber, Eric Offner and Marlene Renkel. R&R at Review of Financial Studies. Download (Nov 2024)

13. "Asymptotic Properties of the Maximum Likelihood Estimator under Occasionally Observed States", with Alexandros Gilch and Gregor Reich. Download (Jan 2025)

Crowd-sourced Publications:

"Reproducibility in Management Science", with many others (2024). Management Science, 20(3), 1343-2022. Download