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 Research Report for 2006

Abteilung für Quantitative Finanzmarktforschung

Platz der Alten Synagoge
79085 Freiburg i. Br.
Tel: 0761 - 203 9362 Fax: 0761 - 203 9367
Email eva.luetkebohmert@finance.uni-freiburg.de
http://www.finance.uni-freiburg.de


Scientific Employees

  • Dr. Rene Levinsky
  • Diplom Volkswirt Tobias Brünner
  • Diplom Volkswirt Marco Wölfle
  • Diplom Volkswirt Teja Flotho
  • Diplom Volkswirtin Annette Kern, Koordinatorin Internationale Masterprogramme
  • Diplom Volkswirt Michael Trost
  • Diplom Volkswirt Nikolay Filipov
  • Diplom Volkswirt Ralf Keller
  • M.A. (Finance) Yao Yao
Entries in "Who is Who"

Scientific and Research Projects


  • B. Cross-Listings
    • Project Manager: Prof. Dr. Gehrig, Thomas, Prof. Thierry Foucault
    • Start/End of project: 01.05.2002 until 31.05.2008
    • Project Details
  • C. Incentives and Fund Management
    • Project Manager: Prof. Dr. Thomas Gehrig, Prof. Dr. Lukas Menkhoff
    • Start/End of project: 01.10.2003 until 31.12.2008
    • Project Details
  • D. Innovation and Venture Capital
    • Project Manager: Wölfle Marco
    • Start/End of project: 01.09.2005 until 31.12.2008
    • Project Details
  • D. International and Interregional Consumption Risk Sharing
    • Project Manager: Flotho, Teja
    • Start/End of project: 2002 until 2010
    • Project Details
  • Epistemische Begründung von Rationalitätskonzepten
    • Project Manager: Trost, Michael
    • Start/End of project: 2001 until 2006
    • Project Details
  • International Competition of Trading Platforms
    • Project Manager: Filipov, Nikolay
    • Start/End of project: 01.10.2005 until 31.12.2007
    • Project Details
  • Political Institutions and the Quality of Political Decisions
    • Project Manager: Prof. Thomas Gehrig, Ph.D., Dr. Rene Levinsky
    • Start/End of project: 01.07.2000 until 31.03.2006
    • Project Details
  • Rationality and Trading
    • Project Manager: Prof. Dr. Thomas Gehrig, Prof. Dr. Lukas Menkhoff
    • Start/End of project: 01.10.2001 until 31.12.2006
    • Project Details

Scientific publications

Journal Articles:
  • Gehrig, Thomas P.: Wirtschaftspolitisches Forum: Die Stabilität von Finanzmärkten: Wie kann die Wirtschaftspolitik Vertrauen schaffen? Zeitschrift für Wirtschaftspolitik, 2006; 54 (1). (in Druck)
  • Gehrig, Thomas: Stabilität versus Innovationsfähigkeit: Zur Rolle des Finanzsystems Kredit und Kapital, 2006. (in Druck)
  • Gehrig, Thomas, Fohlin, Caroline: Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880-1910. Review of Finance, 2006; 10: 585-610. (in Druck)
  • Gehrig, Thomas P., Menkhoff, Lukas: Extended Evidence on the Use of Technical Analysis in Foreign Exchange International Journal of Finance and Economics, 2006; 11 (4): 327-338. (in Druck)
  • Kestel, Sevtap, Akman,O.: Length-biased Inverse Gaussian Hazard Rate Estimation: A Predictive Density Approach Advances and Applications in Statistics, 2006; 6 (2): 217-233.
Books:
  • Petermann Alexandra: Competition in the Provision of Local Public Goods, Cheltenham, UK and Northampton, MA, USA: Edward Elgar, 1. Auflage, 2006 (Studies in Fiscal Federalism and State-Local Finance (Series-editor´: William Oates)).
Book Chapters:
  • Petermann-Reifschneider Alexandra: Quien extendio a Santiago? Una breve historia del limite urbano 1960-2004. In: Alexander Galetovic (Hrsg.): Santiago: Donde estamos y hacia donde vamos Santiago de Chile: Centro des Estudios Publicos, 2006; 205-230.
Oral Presentations:
  • Gehrig, Thomas: Two at the Top: Quality Differentiation in Markets with Switching Costs 2006 (Universität Bern).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustment for Basel II 2006 (RTF and AIGV Meeting, Amsterdam).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustment for Basel II 2006 (RTF Subgroup Meeting, Banca d'Italia, Rom).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustment for the Basel II-Model 2006 (Stochastik Tage , Frankfurt).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustement for the Basel II-Model 2006 (RTF Subgroup Meeting, Bank of International Settlements, Basel).
  • Gordy Michael, Lütkebohmert Eva: Granularity Adjustement for the Basel II-Model 2006 (Credit Risk Workshop, Freising).
  • Levinsky, Rene: Information Acquisition in Experimental Markets 2006 (Max Planck Institut, Jena).
Conference Papers:
  • Brünner Tobias: Do we really need market makers? Asymmetric information and transactions costs in an unmediated auction market. 2006 (13. Meeting of the German Finance Association).
  • Brünner Tobias: 2. Lindauer Nobelpreisträger Symposium 2006.
  • Flotho, Teja: European Economic Integration and Consumption Risk Sharing 2006 (INFINTY Conference for International Integration Studies, Trinity College, Dublin).
  • Flotho, Teja: European Economic Integration and Consumption Risk-sharing 2006 (35th Annual Meeting of the Canadian Economic Association).
  • Flotho Teja: Interstate risk-sharing in unifed Germany 2006 (8. Göttinger Workshop "Internationale Wirtschaftsbeziehungen").
  • Flotho Teja: Interstate risk-sharing in unified Germany 2006 (3rd Augustin Cournot Doctoral Days (Strasbourg)).
  • Flotho Teja: Interstate risk-sharing in unified Germany 2006 (20. Annual Conference of the Irish Economic Association (Bunclody)).
  • Flotho Teja: Interstate risk-sharing in unified Germany 2006 (5.Annual Meeting of the EEFS (Heraklion)).
  • Flotho Teja: European Economic Integration and Consumption Risk Sharing 2006 (5. Global Conference on Business and Economics (Cambridge)).
  • Flotho Teja: Interstate risk-sharing in unified Germany 2006 (3. Leicester PhD-Conference in Economics).
  • Foucault Thierry (HEC Paris), Gehrig Thomas: Stock Price Informativeness, Cross-Listings, and Investment Decisions 2006 (European Finance Association, Zürich).
  • Gehrig, Thomas: Two at the Top: Qualitiy Differentiation in Markets with Switching Costs 2006 (Industrieökonomischer Ausschuß im VfSP, RWI, Essen).
  • Gehrig, Thomas, Foucault, Thierry: Stock Price Informativeness, Cross-Listings, and Investment Decisions. 2006 (Workshop on the Microstructure of Foreign Exchange and Equity Markets), Bank of Canada, Ottawa (Hrsg).
  • Gehrig Thomas, Güth Werner (MPI Jena), Levinsky Rene: On the Coevolution of Insider Information and Idiosyncratic Beliefs 2006 (Econometric Society European Meeting, Vienna).
  • Kestel, Sevtap, Yucemen, S.: Estimation of Seismic Reliability of Networks with Spatially Correlated Components 2006 (1st European Conference on Earthquake Engineering and Seismology, Geneva).
  • Wölfle, Marco: Time Series Properties of Venture Financing 2006 (ZEW-Workshop: Financing Innovation, Mannheim).
  • Wölfle Marco: 2. Lindauer Nobelpreisträger Symposium 2006.
  • Wölfle Marco: Time Series Properties of Venture Capital Financing 2006 (Jahrestagung der Deutschen Gesellschaft für Finanzierung - DGF).
  • Wölfle Marco: Innovation and Early Stage Ideas 2006 (Tinbergen Institute Confernce, Amsterdam).
Other publications (type Sonstiges):
  • Brünner, Tobias: Asymmetric Information and Transaction Costs in a Call Auction 2006.
  • Brünner Tobias, Fohlin Caroline (Johns Hopkins University, Baltimore), Thomas Gehrig: Trading Costs at the NYSE 1900 - 1910. 2006.
  • Foucault Thierry (HEC Paris), Gehrig, Thomas: Stock Price Informativeness, Cross-Listings, and Investment Decisions CEPR-Discussion Paper 5722, 2006.
  • Gehrig, Thomas, Güth, Werner (MPI Jena), Levinsky, Rene (MPI Jena): On the Co-evolution of Insider Information and Idiosyncratic Beliefs 2006.
  • Gehrig, Thomas, Wölfle, Marco: Time Series Properties of Venture Capital Investments 2006.
  • Gehrig Thomas, Güth Werner (MPI Jena), Levinsky Rene, Uske Tobias (MPI Jena): I want to know - Willingness to pay for (un)conditional veto power 2006.
  • Gehrig Thomas, Güth Werner (MPI Jena), Levinsky Rene (MPI Jena): On th Coevolution of Expertise and Trust in Experts- A Theoretical and Experimental Analysis 2006.
  • Gehrig Thomas, Shy Oz (Haifa U.), Stenbacka Rune (Helsinki): Behavior-based Pricing and Market Dominance 2006.
  • Gehrig Thomas, Stenbacka Rune (Helsinki): Behaviour-Based Price Discrimination as a Device to Strengthen Market Dominance 2006.
  • Lütkebohmert, Eva, Asberg Sommar, P.,, Birn, M.,, Demuynck, J.,, Duellmann, K.,, Foglia, A.,, Gordy, M.B.,, Isogai, T.,, Lotz, C.,, Martin, C.,, Masschelein, N.,, Pearce, C.,, Saurina, J.,, Scheicher, M.,, Schmieder, C.,, Shiina, Y.,, Tsatsaronis, K.,, Walker, H.: Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the Research Task Force project BCBS Publications, 2006; 15.
  • Trost, Michael: Epistemic Foundation of Sequential and Quasi-Perfect Equilibrium - Comments 2006.
  • Trost, Michael: Non-probabilistic epistemic foundation of the elimination process of strictly dominant solvable games 2006.
  • Wölfle Marco: Information Transmission among Commodities: A Volatility Approach to Input Markets 2006.
  • Wölfle Marco, Füss Roland: A Higher-Moment CAPM of the Korean Stock Returns 2006.

Special Scientific Activities

Ehrung:
  • Dr. Rene Levinsky: Berufung zum Forschungsprofessor (W2) am Max Planck Institut of Economics in Jena, 01.05.2006.
  • Dr. Sevtap Kestel: Berufung zum Assistant Professor, Illinois State University, 01.08.2005 bis 01.08.2007.
  • Prof. Thomas P. Gehrig, Ph.D.: Nomination Committee of the Lindau Nobelpreisträger Symposium, 01.04.2006.
  • Professor Thomas P. Gehrig, Ph.D.: Member of the Executive Board, European Association for Research in Industrial Economics (EARIE), 01.09.2005 bis 31.08.2011.
Herausgeberschaften:
  • Prof. Thomas P. Gehrig, Ph.D.: Associate Editor, Economica, 01.12.1995 bis 31.12.2008.
Veranstaltung:
  • Prof. Thomas P. Gehrig, Ph.D.: Program Committee, Econometric Society - European Meeting in Vienna, 01.01.2006 bis 31.08.2006.
  • Prof. Thomas P. Gehrig, Ph.D.: Program Committee, European Finance Association, Zürich, Annual Meeting 2006, Zurich, 16.12.2005 bis 31.08.2006.
  • Prof. Thomas P. Gehrig, Ph.D.: Prodekan der Wirtschafts- und Verhaltenswissenschaftlichen Fakultät und Sprecher der Wirtschaftswissenschaftlichen Institute (Lastfaktor), 01.10.2004 bis 30.09.2008.
  • Prof. Thomas P. Gehrig, Ph.D.: Sprecher der Integrierten Masterstudiengänge (Lastfaktor), 01.06.2001 bis 31.03.2008.
Fakultaet:
  • Professor Dr. Thomas P. Gehrig: Koordinator des Master of Finance, 01.07.2002 bis 31.08.2010.

Scientific Dissertations

Degree Dissertations
  • Gerbrandt, Henry: Price Discovery for Cross-Listed Securities of Emerging Eastern European Countries, 2006.
  • Hsiao-Ni Liu: Hausbankbeziehungen im Wettbewerb, 2006.
Master
  • Kadioglu, Didem: The Internal Ratings Approach to Credit Risk Measurement: Justification, Scope and Limitations., 2006.
  • Liu, Kai: Venture Financing in China: Status Quo and Prospects, 2006.
  • Pekin-Yücksel, Heval: The Role of Operational Risk in Banking Regulation, 2006.
  • Qu, Wenhui: Contagion - Is there a Need to Regulate Global Financial Markets?, 2006.
  • Zhao, Guihai: Technological Innovation in the Brokerage Market, 2006.




Guest Scientists:

  • Dr. Petermann-Reifschneider, Alexandra, Santiago de Chile, Chile, Forschungsaufenthalt, 09.06.2006 bis 10.06.2006
  • Dr. Ringbom, Staffan, HECER, Helsinki, Finnland, Forschungsseminar, 26.04.2006 bis 29.04.2006
  • Dr. Vittoria Levati, MPI Economics, Jena, Forschungsaufenthalt, 27.07.2006 bis 28.07.2006
  • Iryna Butina, Izmail, Ukraine, DAAD-Stipendium, 01.10.2005 bis 30.09.2006
  • Maria Gabriela Pico, Quito, Ecuador, DAAD-Stipendium, 01.10.2005 bis 30.09.2007
  • Olena Nikita, Ukraine, DAAD-Stipendium, 01.10.2006 bis 31.07.2007
  • Prof. Dr. Clemens Puppe, U. Karlsruhe, Forschungsseminar, 09.02.2006
  • Prof. Dr. Dalia Marin, LMU München, Forschungsseminar, 16.02.2006 bis 17.02.2006
  • Prof. Dr. Jens Wüstemann, Universität Mannheim, Forschungsseminar, 29.06.2006
  • Prof. Dr. Lukas Menkhoff, Universität Hannover, Forschungsaufenthalt, 06.07.2006 bis 09.07.2006
  • Prof. Dr. Norbert Schulz, Universität Würzburg, Forschungsseminar, 02.02.2006
  • Prof. Dr. Ulrich Blum, Insitut der Wirtschaft, Halle, Vortrag im Forschungsseminar, 01.06.2006
  • Prof. Dr. Yvan Lengwiler, U. Basel, Schweiz, Forschungsseminar, 19.01.2006
  • Prof. Dres.h.c. Martin Hellwig, Ph.D, MPI Bonn, Festvortrag, 20.10.2006 bis 21.10.2006
  • Professor Dr. Hans-Helmut Kotz, Deutsche Bundesbank, Frankfurt, Forschung über Liquiditätsrisiken sowie gemeinsame Seminare und fortgeschrittene Lehrveranstaltungen zur Banken- und Finanzmarktregulierung, 2005 bis 2009
  • Professor Robert Hauswald, American University, Washington, USA, Forschungsaufenthalt, 20.02.2006 bis 25.02.2006
  • Professor Rune Stenbacka, HECER, Helsinki, Finnland, Forschungsprojekt, 21.03.2006 bis 25.03.2006