Team

Prof. Dr. Michael Stein

Manager

Prof. Dr. Michael Stein, Juniorprofessor für Finanzmarktökonometrie

Room:
R12 R06 A25
Email:
Consultation Hour:
Nach Vereinbarung. Skype/Fon-Sprechstunde ebenfalls möglich.
Address:
Prof. Dr. Michael Stein
Universität Duisburg-Essen
Fakultät für Wirtschaftswissenschaften
Universitätsstraße 12
45117 Essen

Publications:

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  • De Santis, R.; Stein, M.: Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets. In: Journal of Banking and Finance, forthcoming (2015). Citation Details
  • Rühl, T.; Stein, M.: ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips. In: Journal of Empirical Finance, forthcoming (2015). Citation Details
  • Stein; M.; Piazolo, D.; Stoyanov, S.: Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents. In: Journal of Real Estate Research, forthcoming (2015). Citation Details
  • Rühl, T.; Stein, M.: The Impact of Financial Transaction Taxes: Evidence from Italy. In: Economics Bulletin, forthcoming (2014). Citation Details
  • Stein, M.: German Real Estate Funds: Changes in Return Distributions and Portfolio Favourability. In: Journal of European Real Estate Research, forthcoming (2014). Citation Details
  • Stein, M.; Rachev, S. T.: Dilution of Sector Exposures: When Does Unintended Indexing Happen?. In: Journal of Investment Management, forthcoming (2014). Citation Details
  • Binding, V.: Monte Carlo Cash Flows and Sustainability: How to Decide on Going Green. In: Journal of Sustainable Real Estate, Vol 6 (2014) No 1, p. 143-161. Citation Details
  • Stein, M.: The Impact of Liquidity, Estate, I P Real (Ed.), 2013. Citation Details
  • Stein, M.; Rachev, S. T.: Performance Identification for REITs using Draw Ratios. In: The International Real Estate Review, Vol 16 (2013) No 3, p. 230-251. Citation Details
  • Stein; M.; Islami, M.; Lindemann, J.: Identifying Time Variability in Stock and Interest Rate Dependence. In: Investment Management and Financial Innovations, Vol 10 (2013) No 2, p. 73-83. Citation Details
  • Stein, M.: German Open Ended Real Estate Fund Performance - The Impact of Liquidity. In: Kredit und Kapital, Vol 46 (2013) No 1, p. 119-151. Citation Details
  • Stein; M.; Islami, M.; Lindemann, J.: Identifying Time Variability in Stock and Interest Rate Dependence, Discussion Paper No. 24/2012. Bundesbank, Deutsche (Ed.), 2012. Citation Details
  • Zietz, J.: A Regime-Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors. In: Real Estate Economics, Vol 40 (2012) No 2, p. 317-350. Citation Details
  • Stein, M.; Rachev, S. T.: Flow-Induced Redemption Costs in Funds of Funds. In: Journal of Derivatives Use, Trading, and Regulation, Vol 17 (2011) No 3, p. 253-265. Citation Details
  • Stein, M.; Rachev, S. T.: Style Neutral Funds of Funds: Portfolio Diversification or Deadweight?. In: Journal of Asset Management, Vol 11 (2011) No 6, p. 417-434. Citation Details
  • Stein, M.: The True Cost of Liquidity, Estate, I P Real (Ed.), 2011. Citation Details
  • Stein, M.: Hedge Fonds Strategien in Fixed Income Portfolien. In: Bankarchiv Österreich (2010). Citation Details
  • Stein; M.; Rachev, S. T.; Stoyanov, S. V.: Broad Market Risk for Sector Funds of Funds: A Copula-Based Dependence Approach. In: Journal of Investment Management and Financial Innovation, Vol 7 (2010) No 2, p. 36-44. Citation Details
  • Stein; M.; Rachev, S. T.; Stoyanov, S. V.: R-Ratio Optimization for Heterogeneous Assets using Genetic Algorithm. In: Journal of Investment Management and Financial Innovation, Vol 6 (2009) No 2, p. 117-134. Citation Details
  • Rachev; T., S.; Stein, M.; Sun, W.: Copula Concepts in Financial Markets, 4, pp. 12-15. Institutionell, Portfolio (Ed.), 2009. Citation Details
  • Drobetz, W.: Fixed Income Portfolio Allocation including Hedge Fund Strategies: A Copula Opinion Pooling Approach. In: Journal of Fixed Income, Vol 18 (2009) No 4, p. 78-91. Citation Details
  • Stein; M.; Rachev, S. T.; Sun, W.: The World of Funds of Funds. In: Journal of Investment Management and Financial Innovation, Vol 5 (2008) No 2, p. 7-15. Citation Details
  • Füss; R.; Stein, M.; Kaiser, D.: The Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-Income Markets. In: Gregoriou, Greg N.; Hoppe, Christian (Ed.): Handbook of Credit Portfolio Management. Mc-Graw-Hill, 2008, p. 325-348. Citation Details