Rengel, Malte

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[["dc.bibliographiccitation.firstpage","257"],["dc.bibliographiccitation.issue","2"],["dc.bibliographiccitation.journal","Journal of Applied Economics"],["dc.bibliographiccitation.lastpage","281"],["dc.bibliographiccitation.volume","17"],["dc.contributor.author","Hansen, Marc"],["dc.contributor.author","Herwartz, Helmut"],["dc.contributor.author","Rengel, Malte"],["dc.date.accessioned","2018-11-07T09:32:46Z"],["dc.date.available","2018-11-07T09:32:46Z"],["dc.date.issued","2014"],["dc.description.abstract","We propose a dynamic generalization of the Capital Asset Pricing Model (CAPM) that allows for a time-varying market price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility approach is employed to determine market risk. The advocated state space model takes autoregressive dynamics of the MPR and predetermined state variables into account. For the case of the DAX, the major German stock index, the empirical analysis strongly underpins time variation of risk compensation. The MPR is conditioned upon the EURIBOR, a national and an international term spread, returns of the Dow-Jones-Industrial-Average-Index (DOW), and a dummy variable hinting at excess activity of noise traders. Moreover, we document forecasting results based on a short horizon trading strategy. The proposed model is characterized by strong market timing ability."],["dc.identifier.isi","000348672600004"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/31818"],["dc.notes.status","zu prüfen"],["dc.notes.submitter","Najko"],["dc.publisher","Univ Cema"],["dc.relation.issn","1667-6726"],["dc.relation.issn","1514-0326"],["dc.title","STATE DEPENDENCE OF AGGREGATED RISK AVERSION: EVIDENCE FOR THE GERMAN STOCK MARKET"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dc.type.peerReviewed","yes"],["dc.type.status","published"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.firstpage","843"],["dc.bibliographiccitation.issue","2"],["dc.bibliographiccitation.journal","Economic Inquiry"],["dc.bibliographiccitation.lastpage","877"],["dc.bibliographiccitation.volume","55"],["dc.contributor.author","Henzel, Steffen R."],["dc.contributor.author","Rengel, Malte"],["dc.date.accessioned","2018-11-07T10:25:51Z"],["dc.date.available","2018-11-07T10:25:51Z"],["dc.date.issued","2017"],["dc.description.abstract","Uncertainty about the future course of the economy is a potential driver of aggregate fluctuations. To identify the distinct dimensions of uncertainty in the macroeconomy, we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors that account for the common dynamics in this dataset. These factors are interpreted as macroeconomic uncertainty. The first factor captures business cycle uncertainty, while the second factor represents oil and commodity price uncertainty. While both types of uncertainty generate a decline in output, time-varying oil and commodity price uncertainty is more important for fluctuations in real activity. However, nonlinearities seem to amplify the effect of business cycle uncertainty during the global financial crisis. (JEL C32, C38, E32)"],["dc.description.sponsorship","German Research Foundation [CA 833/2, HE 2188/3-1]"],["dc.identifier.doi","10.1111/ecin.12422"],["dc.identifier.isi","000395715800012"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/42938"],["dc.notes.status","zu prüfen"],["dc.notes.submitter","PUB_WoS_Import"],["dc.publisher","Wiley"],["dc.relation.issn","1465-7295"],["dc.relation.issn","0095-2583"],["dc.title","DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dc.type.peerReviewed","yes"],["dc.type.status","published"],["dspace.entity.type","Publication"]]

[["dc.bibliographiccitation.firstpage","1655"],["dc.bibliographiccitation.issue","8"],["dc.bibliographiccitation.journal","Journal of money credit and banking"],["dc.bibliographiccitation.lastpage","1690"],["dc.bibliographiccitation.volume","48"],["dc.contributor.author","Herwartz, Helmut"],["dc.contributor.author","Rengel, Malte"],["dc.contributor.author","Xu, Fang"],["dc.date.accessioned","2018-11-07T10:04:49Z"],["dc.date.available","2018-11-07T10:04:49Z"],["dc.date.issued","2016"],["dc.description.abstract","Persistent variations of the log price-to-dividend ratio (PD) and their economic determinants have attracted a lively discussion in the literature. We suggest a gradually time-varying state process to govern the persistence of the PD. The adopted state-space approach offers favorable model diagnostics and finds particular support in out-of-sample stock return prediction. We show that this slowly evolving mean process is jointly shaped by the consumption risk, the demographic structure, and the proportion of firms with traditional dividend payout policy during the past 60 years. In particular, the volatility of consumption growth plays the dominant role."],["dc.description.sponsorship","German Research Foundation [HE 2188/8-1]"],["dc.identifier.doi","10.1111/jmcb.12370"],["dc.identifier.isi","000392504400003"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/38777"],["dc.notes.status","zu prüfen"],["dc.notes.submitter","Najko"],["dc.publisher","Wiley-blackwell"],["dc.relation.issn","1538-4616"],["dc.relation.issn","0022-2879"],["dc.title","Local Trends in Price-to-Dividend RatiosAssessment, Predictive Value, and Determinants"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dc.type.peerReviewed","yes"],["dc.type.status","published"],["dspace.entity.type","Publication"]]

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[["dc.bibliographiccitation.firstpage","A131"],["dc.bibliographiccitation.journal","Astronomy and Astrophysics"],["dc.bibliographiccitation.volume","643"],["dc.contributor.author","Fossati, L."],["dc.contributor.author","Shulyak, D."],["dc.contributor.author","Sreejith, A. G."],["dc.contributor.author","Koskinen, T."],["dc.contributor.author","Young, M. E."],["dc.contributor.author","Cubillos, P. E."],["dc.contributor.author","Lara, L. M."],["dc.contributor.author","France, K."],["dc.contributor.author","Rengel, M."],["dc.contributor.author","Cauley, P. W."],["dc.contributor.author","Turner, J. D."],["dc.contributor.author","Wyttenbach, A."],["dc.contributor.author","Yan, F."],["dc.date.accessioned","2021-04-14T08:31:43Z"],["dc.date.available","2021-04-14T08:31:43Z"],["dc.date.issued","2020"],["dc.identifier.doi","10.1051/0004-6361/202039061"],["dc.identifier.uri","https://resolver.sub.uni-goettingen.de/purl?gro-2/83692"],["dc.notes.intern","DOI Import GROB-399"],["dc.relation.eissn","1432-0746"],["dc.relation.issn","0004-6361"],["dc.title","A data-driven approach to constraining the atmospheric temperature structure of the ultra-hot Jupiter KELT-9b"],["dc.type","journal_article"],["dc.type.internalPublication","yes"],["dspace.entity.type","Publication"]]