Institute for Advanced Studies (IHS)

Biographical Information

• Degrees
  Dipl.Ing. ('diploma engineer') Vienna University of Technology, 1981
  Dr. Vienna University of Technology, 1984
  Univ.Doz. (Senior Lectureship, venia legendi) Vienna University of Technology, 1994

Major Fields of Research

Time-series econometrics
(in particular, seasonality, cointegration, ARCH models, model selection)
Applied econometrics

Publications

Selected publications in Journals:

• "Seasonal prediction of European cereal prices: good forecasts using bad models?," (with A. Jumah) Journal of Forecasting, vol. 27(5), pages 391-406.
• "Modeling Fixed Investment and Its Components: An Application of Non-Linear Error Correction," (with Adusei Jumah). In: Christian Dreger and Heinz P. Galler (editors): 'Advances in macroeconomic modeling,' Nomos 2005.
• Decisions on Seasonal Unit Roots (with Michael Reutter), Journal of Statistical Computation and Simulation 72, 403-418 (2002).
• Forecasting High-frequency Financial Data with the ARFIMA-ARCH model (with Michael A. Hauser), Journal of Forecasting 20, 501-518 (2001).
• The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa (with Adusei Jumah), European Review of Agricultural Economics 28, 307-328 (2001).