• Publications
  • Influence
Measuring Persistence in Volatility Spillovers
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatilityExpand
Robots worldwide: The impact of automation on employment and trade
The impact of robots on employment and trade is a highly discussed topic in the academic and public debates. Particularly, there are concerns that automation may threat jobs in emerging countriesExpand
The Labour Market in Germany: Reforms, Recession and Robustness
This article discusses the German labour market development during the Great Recession as well as in the years before and until 2015. Germany’s labour market witnessed a strong upswing during theExpand
Analyzing U.S. Output and the Great Moderation by Simultaneous Unobserved Components
This paper seeks to determine the causal interaction between structural trend and cycle innovations in an unobserved components framework of aggregate output. For the purpose of identification, IExpand
Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns
We introduce the structural conditional correlation (SCC) methodology to the foreign flows literature to identify the contemporaneous return–flow interaction and provide new evidence using the firstExpand
Forecasting labour supply and population: an integrated stochastic model
"This paper presents a stochastic integrated model to forecast the German population and labour supply until 2060. Within a cohort-component approach, the population forecast applies principalExpand
Structural Conditional Correlation
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that theExpand
On GDP-employment decoupling in Germany
"This paper investigates the time-varying relationship between German output and employment growth, in particular their decoupling in recent years. We estimate a correlated unobserved componentsExpand
Constructing a new leading indicator for unemployment from a survey among German employment agencies
The article investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of theExpand
Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data
This paper introduces a new method for identifying the simultaneity between returns and trading flows. The proposed method enables us to identify the intraday interaction using daily data, andExpand