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

Research in Progress:

6. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks" (with Joost Driessen and Joren Koeter). Download  (Updated version, Dec 2022).

7. "Existence Conditions for Asset Pricing Models with Recursive Utility", R&R at Review of Financial Studies (with Walter Pohl and Karl Schmedders). Download (Updated version, Jan 2022)

8. "Small Data: Efficient Inference with Occasionally Observed States", R&R at Management Science (with Andreas Lanz, Philipp Müller and Gregor Reich). Download (Jan 2022)

9. "Recursive Utility with Preference Shocks: Existence and Uniqueness" (with John Stachurski and Junnan Zhang)." Download (Feb 2022)

10. "Where is the Carbon Premium? Global Performance of Green and Brown Stocks", (with Michael Bauer, Daniel Huber and Glenn Rudebusch). (Oct 2022, draft available upon request)

11. "Asset Pricing with Disagreement about Climate Risks", (with Thomas Lontzek, Walter Pohl, Karl Schmedders and Marco Thalhammer). (Dec 2022, draft available upon request)