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Statistik: mehr als Erbsen zählen

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Project A4: Asset pricing and macroeconomic allocations under aggregate risk

Project leaders

Christoph Hanck

Ludger Linnemann

Martin Wagner





This project analyzes the transmission channels of macroeconomic shocks and economic policy with a focus on time-varying risk premia. We identify fundamental shocks via implications of non-normality and cointegrating relationships and extend nonlinear cointegrating regression theory towards situations with time-varying second moments.