Asset pricing and macroeconomic allocations under aggregate risk (A04)

• Subject Area: Statistics and Econometrics
• Term: from 2009 to 2021
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791

This project analyzes the transmission channels of macroeconomic shocks and economic policy with a focus on time-varying risk premia. We identify fundamental shocks via implications of non-normality and cointegrating relationships and extend nonlinear cointegrating regression theory towards situations with time-varying second moments.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 823: Statistical Modelling of Nonlinear Dynamic Processes
• Applicant Institution: Technische Universität Dortmund
• Project Heads: Professor Dr. Christoph Hanck, since 7/2017; Professor Dr. Ludger Linnemann; Professor Dr. Andreas Schabert, until 3/2013; Professor Dr. Martin Wagner