Empirical Analysis of Asset Markets and the Macroeconomy
1 - Measurement and Modeling of Real Estate Markets
The main research areas include:
- the construction of hedonic house price indices (including higher frequency indices)
- price-rent ratios and the detection of departures from equilibrium in the housing market
- valuing real estate for taxation purposes
- modling risk and return in the housing market
- using machine learning methods to identify trends in the housing market
2 - Macroeconomic Measurement
The main research areas include:
- spatial chaining of price indices in international comparisons of prices and income
- the linking of regions in the World Bank’s International Comparisons Program
- the treatment of owner-occupied housing in the CPI
- the housing market’s role in monetary policy
3 - Quantitative Analysis of Financial Markets
The main research areas include:
- forecasting asset prices
- portfolio performance measurement
- volatility and dependence modeling and forecasting
- contagion in financial markets
4 - Econometric Methods
- Copula models
- Time-varying parameter models
- IVX and MIDAS regressions
(International) Cooperations
- Prasada Rao, University of Queensland, Australia
- Alicia Rambaldi, University of Queensland, Australia
- Chihiro Shimizu, Nihon University, Japan, and MIT, USA
- Sofie Waltl, LISER, Luxembourg
- Daniel Melser, Monash University, Australia
- Iqbal Syed, Massey Business School, New Zealand
Koordinatoren
Robert Hill, PhD
Institut für Volkswirtschaftslehre
Hans Manner
Institut für Volkswirtschaftslehre