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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

Coordinators

Professor

Robert Hill, PhD

Institute of Economics

Phone:+43 (0)316 380 - 3442


Professor

Hans Manner, PhD

Institute of Economics

Phone:+43 (0)316 380 - 3446


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