Financial Markets

"Estimating a Banking Macro Model for Europe Using a Multi Regime VAR" (PDF)
Stefan Mittnik and Willi Semmler
February 21, 2012

"Dynamic Portfolio Decisions with Time Varying Labor Income" (PDF)
Willi Semmler
April 28, 2010

"The Instability of the Banking Sector and Macrodynamics: Theory and Empirics" (PDF)
Stefan Mittnik and Willi Semmler
February 4, 2011

"Boom-Bust Cycles: Leveraging, Complex Securities, and Asset Prices" (PDF)
Willi Semmler and Lucas Bernard
September 27, 2009

"Asset Markets and Monetary Policy" (PDF)
Eckhard Platen and Willi Semmler
June 5, 2009

"Harmonic Analysis of Long-Run Financial Data" (PDF)
Chih-Ying Hsiao and Willi Semmler
March 10, 2009

"Boom-Bust Cycles, Default Risk and Asset Pricing" (PDF)
Lars Grüne, Pu Chen, and Willi Semmler
May, 2008

"Option Pricing with Constant & Time Varying Volatility" (PDF)
Willi Semmler and Karim M. Youssef
June 2008

"Dynamic Consumption and Portfolio Decisions with Time Varying Asset Returns" (PDF)
Lars Grüne, Caroline Öhrlein, and Willi Semmler
January 2007

"Intertemporal Asset Allocation when the Underlying Factors are unobservable" (PDF)
Chih-Ying Hsiao, Carl Chiarella, and Willi Semmler
August 8, 2006

"Prospect Theory for the Stock Market: Empirical Evidence with Time-Series Data" (PDF)
Wenlang Zhang and Willi Semmler
February 2006

"Asset Pricing with Loss Aversion" (PDF)
Lars Grüne and Willi Semmler
revised February 20, 2007

"Asset Pricing with Dynamic Programming" (PDF)
Lars Grüne and Willi Semmler
November 6, 2006

"Credit Risk, Credit Derivatives and Firm Value Based Models" (PDF)
Willi Semmler and Michael Robert
October 2006

"Asset Pricing with Dynamic Programming" (PDF)
Lars Grüne and Willi Semmler
August 4, 2006

"Firm Value, Diversified Capital Assets and Credit Risk: Towards a Theory of Default Correlation" (PDF)
Lars Grüne, Willi Semmler and Lucas Bernardz
June 19, 2006

"Hedging, Speculation, and Investment in Balance-Sheet triggered Currency Crises"
Andreas Röthig, Willi Semmler, and Peter Flaschel
November 2005
(PDF, 272 KB)

"Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach"
Maik Eisenbeiß, Göran Kauermann, and Willi Semmler
July 2005
(PDF, 3.02 MB)

"Asset Pricing with Loss Aversion"
Lars Grüne and Willi Semmler
May 23, 2005
(PDF, 169 KB)

"Strategic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming"
Chih-Ying Hsiao, Carl Chiarellay, and Willi Semmler
July 2004
(PDF, 322 KB)

"Asset Pricing - Constrained by Past Consumption Decisions"
Lars Grüne and Willi Semmler
June 30, 2004
(PDF, 346 KB)

"Default Risk, Asset Pricing and Equity Premium"
Lars Grüne and Willi Semmler
February 2004
(PDF, 548 KB)

"Default Risk, Asset Pricing and Debt Control"
Lars Grüne and Willi Semmler
February 2004
(PDF, 259 KB)

"Solving Asset Pricing Models with Stochastic Dynamic Programming"
Lars Grüne and Willi Semmler
December 2003
(PDF, 430 KB)

"Thresholds in a Credit Market Model with Multiple Equilibria"
Lars Grüne, Willi Semmler, and Malte Sieveking
October 2003
(PDF, 695 KB)

"Assets, Booms, and Recessions: The Interaction of Financial Market, Economic Activity and the Macroeconomy"
Willi Semmler
Manuscript, December 2002
(PDF, 1420 KB)

"Modeling Short Term Interest Rates"
Chih-ying Hsiao and Willi Semmler
September 2002
(PDF, 583 KB)

"Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data"
Carl Chiarella, Willi Semmler, Stefan Mittnik, Peiyuan Zhu
June 2002
(PDF, 923 KB)

"Liquidity, Credit and Output: A Regime Change Model and Empirical Estimations"
Willi Semmler and Levent Koçkesen
December 2001
(PDF, 764 KB)

"Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market"
Carl Chiarella, Peter Flaschel, Reiner Franke and Willi Semmler
September, 2001
(PDF, 345 KB)

"An Evolutionary Portfolio Theory"
Thorsten Hens and Klaus Reiner Schenk-Hoppé
May 2001
(PDF, 391 KB)

"Nonparametric Estimation of Time-Varying Characteristics of Intertemporal Asset Pricing Models" 
Peter Wöhrmann, Willi Semmler, and Martin Lettau
March 2001, revised October 2002
(PDF, 354 KB)

"Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market Restrictions"
Martin Lettau, Gang Gong, and Willi Semmler
August 1999
(PDF, 341 KB)

 
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