The long-run consumption risk (LRR) model is a popular approach to resolve various asset pricing puzzles, but its econometric analysis is complicated and often relies on simulation-based methods. This study addresses inherent identification problems and offers a solution by proposing a two-step...

After the implementation of Regulation NMS in 2007, the U.S. equity market became highly fragmented. The traditional exchanges, in particular the New York Stock Exchange (NYSE), lost substantial trading volume to the off-exchange market. We investigate the extent to which this development has...

Assessing the infection fatality rate (IFR) of SARS-CoV-2 is one of the most controversial issues during the pandemic. Due to asymptomatic or mild courses of COVID-19, many infections remain undetected. Reported case fatality rates - COVID-19-associated deaths divided by number of detected...

Using density forecast evaluation techniques we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration...

This paper aims at a critical assessment of the DSGE asset pricing approach. By employing partial indirect inference, we acknowledge that parts of a model are misspecified, while others retain the claim to capture economic reality, namely the ability to price assets traded in real markets....

Xetra BEST, operated by Deutsche Borse AG as a part of the Xetra trading system, allows participating banks and brokers to internalize retail customer orders. This paper provides an empirical assessment of the market quality of Xetra BEST. For this purpose, we develop a trade indicator model of...

Abstract: This paper addresses two issues: 1) where does price discovery occur for firms that are traded simultaneously in the U.S. and in their home markets and 2) what explains the differences across firms in the share of price discovery that occurs in the U.S? The answer to the first question...

In this paper, we propose measures for characterizing the expected and unexpected cost of trading that can be applied to analyze automated electronic auction markets. Using a unique database which contains the full state of the order book for three stocks (Daimler-Chrysler, Deutsche Telekom and...