Team:

Prof. Dr. Michael Stein

Leiter

Prof. Dr. Michael Stein, Juniorprofessor für Finanzmarktökonometrie

Adresse:
Prof. Dr. Michael Stein
Universität Duisburg-Essen
Fakultät für Wirtschaftswissenschaften
Universitätsstraße 12
45117 Essen

Raum:
R12 R06 A25
E-Mail:
Sprechstunde:
Nach Vereinbarung. Skype/Fon-Sprechstunde ebenfalls möglich.

Publikationen:

Publikationsliste herunterladen

  • De Santis, R. and M. Stein: Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets. In: Journal of Banking and Finance, forthcoming (2015).
  • Rühl, T. and M. Stein: ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips. In: Journal of Empirical Finance, forthcoming (2015).
  • Stein, M., D. Piazolo and S. Stoyanov: Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents. In: Journal of Real Estate Research, forthcoming (2015).
  • Rühl, T. and M. Stein : The Impact of Financial Transaction Taxes: Evidence from Italy. In: Economics Bulletin, forthcoming (2014).
  • Stein, M. : German Real Estate Funds: Changes in Return Distributions and Portfolio Favourability. In: Journal of European Real Estate Research, forthcoming (2014).
  • Stein, M. and S.T. Rachev (2014): Dilution of Sector Exposures: When Does Unintended Indexing Happen?. In: Journal of Investment Management, forthcoming (2014).
  • Stein, M., M. Salvador Villa, W. Braun and V. Binding: Monte Carlo Cash Flows and Sustainability: How to Decide on Going Green. In: Journal of Sustainable Real Estate, Jg. 6 (2014) Nr. 1, S. 143-161.
  • Stein, M. : The Impact of Liquidity, IP Real Estate (Hrsg.), 2013.
  • Stein, M. and S.T. Rachev: Performance Identification for REITs using Draw Ratios. In: The International Real Estate Review, Jg. 16 (2013) Nr. 3, S. 230-251.
  • Stein, M., M. Islami and J. Lindemann: Identifying Time Variability in Stock and Interest Rate Dependence. In: Investment Management and Financial Innovations, Jg. 10 (2013) Nr. 2, S. 73-83.
  • Stein, M. : German Open Ended Real Estate Fund Performance - The Impact of Liquidity. In: Kredit und Kapital, Jg. 46 (2013) Nr. 1, S. 119-151.
  • Stein, M.,M. Islami and J. Lindemann: Identifying Time Variability in Stock and Interest Rate Dependence, Deutsche Bundesbank (Hrsg.), 2012.
  • Füss, R., Stein, M. and Zietz, J.: A Regime-Switching Approach to Modeling Rental Prices of U.K. Real Estate Sectors. In: Real Estate Economics, Jg. 40 (2012) Nr. 2, S. 317-350.
  • Stein, M. and S.T. Rachev: Flow-Induced Redemption Costs in Funds of Funds. In: Journal of Derivatives Use, Trading, and Regulation, Jg. 17 (2011) Nr. 3, S. 253-265.
  • Stein, M. and S.T. Rachev : Style Neutral Funds of Funds: Portfolio Diversification or Deadweight?. In: Journal of Asset Management, Jg. 11 (2011) Nr. 6, S. 417-434.
  • Stein, M.: The True Cost of Liquidity, IP Real Estate (Hrsg.), 2011.
  • Drobetz, W., Füss, R. and Stein, M.: Hedge Fonds Strategien in Fixed Income Portfolien. In: Bankarchiv Österreich (2010).
  • Stein, M., S.T. Rachev and S.V. Stoyanov: Broad Market Risk for Sector Funds of Funds: A Copula-Based Dependence Approach. In: Journal of Investment Management and Financial Innovation, Jg. 7 (2010) Nr. 2, S. 36-44.
  • Stein, M., S.T. Rachev and S.V. Stoyanov : R-Ratio Optimization for Heterogeneous Assets using Genetic Algorithm. In: Journal of Investment Management and Financial Innovation, Jg. 6 (2009) Nr. 2, S. 117-134.
  • Rachev, S.T., M. Stein and W. Sun: Copula Concepts in Financial Markets, Portfolio Institutionell (Hrsg.), 2009.
  • Stein, M., Füss, R. and Drobetz, W.: Fixed Income Portfolio Allocation including Hedge Fund Strategies: A Copula Opinion Pooling Approach. In: Journal of Fixed Income, Jg. 18 (2009) Nr. 4, S. 78-91.
  • Füss, R., M. Stein and D. Kaiser: The Strategies of Hedge Funds and Robust Bayesian Portfolio Allocation in Fixed-Income Markets. In: Greg N. Gregoriou and Christian Hoppe (Hrsg.): Handbook of Credit Portfolio Management. Mc-Graw-Hill, 2008, S. 325-348.
  • Stein, M., S.T. Rachev and W. Sun: The World of Funds of Funds. In: Journal of Investment Management and Financial Innovation, Jg. 5 (2008) Nr. 2, S. 7-15.