Michael Hauser
ao.Univ.Prof. Dipl.-Ing.Dr.techn. Michael Hauser- Telephone:
- +43 1 31336 4759
- Email:
- michael.hauser@wu.ac.at
Affiliation
CV
-
2001
- • Guest Professor, Johannes Kepler University Linz, Department of Statistics 2000-2001
- • Lecturer, Johannes Kepler University Linz, Department of Economics 1998-2000
- Lecturer, University of Vienna, Department of Statistics 1997-2020
- Associate Professor 1987-1997
- Assistent Professor 1981-1987
- Teaching Assistent 1981
- Market Research, Marketing Systems, Essen
Researcher Identifier
-
No researcher identifier found.
Awards and Honors
- 2017
- "Publikation 2017" der Wirtschaftsuniversität Wien für "Profit Persistence and Stock Returns" von ao.Univ.Prof. Dr. Michael Hauser und Dr. Adelina Gschwandter
- 2008
- "Publikation 2008" der Wirtschaftsuniversität Wien für "Modelling Profit Series: Nonstationary and Long Memory" von ao. Univ.Prof. Dr. Michael Hauser und Dr. Adelina Gschwandtner
Classifications
Expertise
- Fractionally integrated processes
Activities
| Position in scientific committee | ||
|---|---|---|
| 2018-2019 | WU, Institute for Statistics and Mathematics - PhD: Monte Carlo Simulation of Boundary Crossing Probabilities with Applications to Finance and Statistics | |
| since 2017 | TU Wien, Fakultät für Informatik - PhD: The Effect of Inventory News Announcements on the Realized Volatility of US Intraday Crude Oil Prices | |
| Position in jury, advisory board, curatorship | ||
| 2017 | Jubiläumsfonds der Oesterreichischen Nationalbank | |
| 2012-2014 | ÖSG - Förderpreis | |
| Membership in scientific association | ||
| since 2008 | World Economics Association | |
| since 2002 | Verein für Socialpolitik | |
| Member of the editorial board | ||
| 2010-2014 | Business and Economics Journal | |
| 2008-2020 | EJCCM - European Journal of Cross-cultural Competence and Management - Mitglied | |
| Reviewer for a scientific journal | ||
| 2020 | Economic Modelling | |
| 2019-2020 | Studies in Nonlinear Dynamics and Econometrics | |
| 2019-2020 | Applied Economics Letters | |
| 2018 | The European Journal of Finance | |
| 2016 | Journal of Economics and Business | |
| 2016 | Journal of Business and Finance | |
| 2016-2020 | International Journal of Managerial Finance | |
| 2016 | EJCCM - European Journal of Cross-cultural Competence and Management | |
| 2015-2017 | Empirica | |
| 2014 | Statistical Papers | |
| 2014 | Resource and Energy Economics | |
| 2014-2019 | Empirical Economics | |
| 2013 | Statistics and Risk | |
| 2013 | European Review of Agricultural Economics | |
| 2013 | Applied Economics | |
| 2013 | Agricultural Economics | |
| 2012 | Review of Industrial Organization | |
| 2012 | Communication in Statistics - Simulation and Computation | |
| 2009 | Statistical Papers - Gutachter | |
| 2006 | Statistical Papers | |
| 2006 | Journal of Modelling in Management | |
| 2004 | Statistical Papers - Gutachter | |
| 2004 | Austrian Journal of Statistics - Gutachter | |
| 2004 | Annals of Tourism Research - Gutachter | |
| 2003 | Journal of Statistical Planning and Inference - Gutachter | |
| 2003-2013 | Empirical Economics - Gutachter | |
| 2003 | Computational Statistics and Data Analysis - Gutachter | |
| Series editor | ||
| 2004 | Annals of Tourism Research - Gutachter | |
| Reviewer for an international conference | ||
| 2015 | NBER-NSF Time Series Conference 2015 | |
| Organization scientific meeting (Conference etc.) | ||
| 2014-2015 | NBER-NSF Time Series Conference 2015 - Member of the organizing committee | |
| Position in administration | ||
| since 2016 | Kommission für Finanzen und Campusmanagement | |
| since 2014 | Departmentkonferenz - Mitglied | |
| 2011-2013 | Sounding Board - Baubeauftragter des Instituts | |
| since 2008 | Bachelor-Programm - Planpunktverantwortlicher für Ökonometrie | |
| 2004-2014 | Doktoratskommission - Doktoratsbeauftragter des Instituts | |
| Academic advisor | ||
| since 2006 | Univesidad Pontificia Comillas, Madrid | |
| since 2006 | Univesidad Carlos III de Madrid | |
| Supervisor dissertation | ||
| 2012-2013 | Universität Wien, Falkultät f Wirtschaftswissenschaften - Economic Growth and Business Cycles in Liechtenstein - Econometric Investigations Considering the Past, Present, and Future | |
| 2006-2009 | WU Wien, Department of Statistics - Testing for Uncoverd Interest Rate Parity using Smooth Transition Regression (STR-) Models | |
| 2003-2006 | WU Wien, Department of Statistics - Modeling the Relationship between Financial Indicators and Company Performance - An Empirical Study for US-listed Companies | |
| 2002-2005 | WU Wien, Department of Statistics - Market Impact-, Timing und Opportunitätskosten institutioneller Aktientransaktionen als Optimierungsobjekte im Portfoliomanagement | |
| Other occupation | ||
| 2017-2018 | Verlagsgruppe News G.m.b.H - Beratung bei der Erstellung von Umsatzprognosen | |
| since 2005 | Land & Forst Betriebe Österreich - Publikation des Sägerundholzpreisindex für Österreich | |
Publications
Book (monograph)
| 1989 | Hauser, Michael. 1989. Inflation, Arbeitslosigkeit, optimale Politik und die neue klassische Makroökonomik, Eine empirische Analyse für Österreich und eine Kritik. Frankfurt/New York: Campus Verlag. | (Details) |
Journal article
| 2016 | Gschwandtner, Adelina, Hauser, Michael. 2016. Profit persistence and stock returns. Applied Economics 48 (37), 3538-3549. | (Details) | |
| 2011 | Gonzaga, Alex, Hauser, Michael. 2011. A wavelet Whittle estimator of generalized long-memory stochastic volatility. Statistical Methods and Applications 20 23-48. | (Details) | |
| 2008 | Gschwandtner, Adelina, Hauser, Michael. 2008. Modelling profit series: Nonstationarity and long meomory. Applied Economics 40 (11): 1475-1482. | (Details) | |
| Gschwandtner, Adelina, Hauser, Michael. 2008. Modelling Profit Series: Nonstationarity and long Memory. Applied Economics 40 (11): 1475-1482. | (Details) | ||
| 2001 | Hauser, M., Kunst, R. M.. 2001. Forecasting High-frequency Financial Data with the ARFIMA-ARCH Model. Journal of Forecasting 20: 501-518 | (Details) | |
| 1999 | Hauser, M.. 1999. Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study. Journal of Statistical Planning and Inference 80 (1-2): 229-255 | (Details) | |
| Hauser M., Pötscher B.M., Reschenhofer E.. 1999. Measuring persistence in aggregate output: ARMA models, fractionally integrated models and nonparametric procedures. Empirical Economics 24 (2): 243-269 | (Details) | ||
| 1998 | Hauser M., Kunst R.M.. 1998. Fractionally Integrated Models With ARCH Errors With an Application to the 1month Euromarket Interest Rate. Review of Quantitative Finance and Accounting 10 (1): 95-114 | (Details) | |
| 1997 | Reschenhofer, Erhard, Hauser, Michael. 1997. Tests of the Efficient Market Hypothesis. Austrian Journal of Statistics 31-52. | (Details) | |
| Hauser, Michael. 1997. Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study. Empirical Economics 22 247-271. | (Details) | ||
| 1995 | Hauser, Michael, Reschenhofer, Erhard. 1995. Estimation of the fractionally differencing parameter with the R/S method. Computational Statistics and Data Analysis 20 569-579. | (Details) | |
| 1994 | Hauser, Michael, Pötscher, Benedikt M.. 1994. On Gagnon's Criticism of ARMA Models for Real GNP Growth. Economic Notes 23 124-128. | (Details) | |
| Hauser, Michael, Kunst, Robert M., Reschenhofer, Erhard. 1994. Modelling exchange rates: long-run dependence versus conditional heteroscedasticity. Applied Financial Economics 4 233-239. | (Details) |
Chapter in edited volume
| 2003 | Hauser, M., Hörmann, W.. 2003. Time Series. In: Automatic Nonuniform Random Variate Generation, Hrsg. Hörmann, W., Leydold, J., Derflinger, G., 345-362. Berlin/Heidelberg: Springer-Verlag | (Details) |
Contribution to conference proceedings
| 1994 | Hauser, Michael, Hörmann, Wolfgang, Kunst, Robert M., Lenneis, Jörg. 1994. A note on generation, estimation and prediction of stationary processes. In COMPSTAT, Hrsg. Rudolf Dutter and Wilfried Grossmann, 323-329. Heidelberg: Physica-Verlag. | (Details) |
Paper presented at an academic conference or symposium
| 2016 | Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. CFE 2016 10th International Conference on Computational and Financial Econometrics, University of Seville, Spain, 09.12.-11.12. | (Details) | |
| 2015 | Gschwandtner, Adelina, Hauser, Michael. 2015. Profit Persistence and Stock Returns. CFE 2015, London, Großbritannien, 12.12.-14.12. | (Details) | |
| 2014 | Hauser, Michael. 2014. Laudatio. ÖSG Verleihung der Förderpreise, Salzburg, Österreich, 18.06.. Vortrag auf Einladung | (Details) | |
| Gonzaga, Alex, Hauser, Michael. 2014. Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets. CFE 2014, 8th International Conference on Computational and Financial Econometrics, Pisa, Italien, 06.12.-08.12. | (Details) | ||
| 2011 | Gonzaga, Alex C., Hauser, Michael. 2011. On the Wavelet Coefficients of k-factor Gegenbauer Autoregressive Moving Average Process. Mathematical Society of the Philippines, Annual Convention, Santo Tomas, Philippinen, 20.05.-21.05. | (Details) | |
| 2009 | Gonzaga, Alex, Hauser, Michael. 2009. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. European Meeting of Statisticians, Toulouse, Frankreich, 20.07.-24.07. | (Details) | |
| 2005 | Hauser, Michael, Löcker, Birgit. 2005. Diffusion of Satellite-supported Telematics in European Passenger Cars. 25th International Symposium on Forecasting, San Antonio, TX, Vereinigte Staaten/USA, 12.06.-15.06. | (Details) | |
| 2002 | Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. European Meeting of the Econometric Society, Econometric Society, Venedig, Italien, 25.08-28.08.2002 | (Details) | |
| Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. 26th Annual Conference of the Gesellschaft für Klassifikation, Gesellschaft für Klassifikation, Universität Mannheim, Deutschland, 22.07-24.07.2002 | (Details) | ||
| Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. 22nd International Symposium on Forecasting, International Institute of Forecasters, Dublin, Irland, 23.06-26.06.2002 | (Details) | ||
| 2001 | Hauser, M.. 2001. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Causality and Exogeneity in Econometrics, European Conferences of the Econom[etr]ics Community, Louvain-la-Neuve, Belgien, 13.12-15.12.2001 | (Details) | |
| 1999 | Hauser, M.. 1999. Forecasting with the ARFIMA-ARCH Model. Foreacsting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management. 6th International Conference on Forecasting Financial Markets, London, Großbritannien, 26.05-28.05.1999 | (Details) | |
| 1998 | Hauser, M.. 1998. Maximum Likelihood Estimation of ARMA and ARFIMA Models: A Monte Carlo Study. Workshop: Long Memory and Financial Time Series, Dortmund, Deutschland, 27.08-28.08.1998 | (Details) | |
| Hauser, M.. 1998. Maximum Likelihood Estimation of ARMA and ARFIMA Models: A Monte Carlo Study. European Meeting of the Econometric Society, Econometric Society, Berlin, Deutschland, 30.08-03.09.1998 | (Details) | ||
| 1997 | Hauser, Michael. 1997. Maximum likelihood estimators for ARFIMA models with an application to aggregate output series. Long-Range-Dependence International Workshop, Brisbane, Australien, 28.01.-30.01. | (Details) | |
| 1995 | Hauser, Michael. 1995. Long Range Dependence in International Output Series: A Reexamination. Econometric Society 7th World Congress, Tokyo, Japan, 22.08.-29.08. | (Details) | |
| Hauser, Michael. 1995. Semiparametric and Nonparametric Testing for Long Memory with an Application to Exchange Rates. The Sixth Meeting of the European Conference Series in Quantitative Economics and Econometrics (EC)^2, Aarhus, Dänemark, 14.12.-16.12. | (Details) | ||
| 1994 | Hauser, Michael. 1994. A Note on the Generation, Estimation and Prediction of Stationary Processes. COMPSTAT 1994 - 11th Symposium on Computational Statistics, Wien, Österreich, 22.08.-26.08. | (Details) | |
| Hauser, Michael, Kunst, Robert M. 1994. Forecasting the Arfima-Arch Model. European Meeting of the Econometric Society, Maastricht, Niederlande, 29.08.-02.09. | (Details) | ||
| Hauser, Michael. 1994. Small Sample Properties of the Kullback-Leibler Index for ARFIMA Models. ISF 94 - The Fourteenth Annual International Symposium on Forecasting, Stockholm, Schweden, 12.06.-15.06. | (Details) | ||
| Hauser, Michael, Hörmann, Wolfgang. 1994. The Simulation of Stationary Gaussian Processes. International Workshop on Mathematical Methods and Tools in Computer Simulations - MMTCS'94, St.Petersburg, Russische Föderation, 24.05.-28.05. | (Details) | ||
| 1993 | Hauser, Michael, Kunst, Robert M. 1993. Fractionally Intergated Models with ARCH Errors. European Meeting of the Econometric Society, Uppsala, Schweden, 22.08.-26-08. | (Details) | |
| Hauser, Michael. 1993. On the selection of moving average and fractionally integrated models. NBER Time Series Seminar, Vienna, Österreich, 21.10.-23.10. | (Details) | ||
| Hauser, Michael. 1993. Selection of MA Models. Parametric and Nonparametric Specification Testing, Vienna, Österreich, 01.07.-07.07. | (Details) | ||
| Hauser, Michael. 1993. The Nile River Data: Long Range Dependence or a Shift in The Mean? Biometrisches Kolloquium, Wiener Biometrische Sektion der Internationalen Biometrischen Gesellschaft, Wien, Österreich, 15.12. | (Details) | ||
| 1992 | Hauser, Michael. 1992. Long Memory in Wiener Wertpapierkursen. Austrian Working Group on Banking and Finance, Graz, Österreich, 03.04.-04.04. | (Details) | |
| Hauser, Michael. 1992. Long Range Dependence in Aggregate Economic Series: An International Comparison. International Symposium on Economic Modelling, Göteborg, Schweden, 18.08.-20.08. | (Details) | ||
| Hauser, Michael. 1992. Long Range Dependence in Economic Series: Aggregate Output, Stock Prices and Exchange Rates. IFAC (International Federation of Automatic Control) Workshop on Economic Time Series Analysis and System Identification, ESI'92, Vienna, Österreich, 01.07.-03.07. | (Details) | ||
| Hauser, Michael, Pötscher, Benedikt M., Reschenhofer, Erhard. 1992. Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated ARMA Models and Nonparametric Procedures . European Meeting of the Econometric Society, Brussels, Belgien, 24.08.-28.08. | (Details) | ||
| 1989 | Hauser, Michael. 1989. Strategisches Entscheidungsmodell in der Pflanzenproduktion. Österreichische Gesellschaft für Operations Research, Wr. Neustadt, Österreich, 07.12. | (Details) | |
| 1988 | Hauser, Michael. 1988. The Existence of Weak and Strong Neutrality of Aggregate Policy in Macro Models with Rational Expectations. 1988 Australian Meeting of the Econometric Society, Canberra, Australien, 28.08.-31.08. | (Details) | |
| 1982 | Hauser, Michael. 1982. Politique de la demand optimisant la perte de bien-etre par inflation et chomage: le cas de l'economie autrichienne. Journees Internationales d'Etude Analyse Structurelle des Modeles Econometriques, Association d'Econometrie Appliquee, Rotterdam, Niederlande, December. | (Details) |
Poster presented at an academic conference or symposium
| 2016 | Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. ITISE 2016 International Work-Conference on Time Series Analysis, Granada, Spain, 27.06.-29.06. | (Details) | |
| 2010 | Hauser, Michael. 2010. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. Fourlet 2010, Fourier Meets Wavelets, Karlsruhe, Deutschland, 05.09.-07.09. | (Details) | |
| 1997 | Hauser, Michael. 1997. Maximum Likelihood Estimation of Low Order ARFIMA Models: A Monte Carlo Study. 8th (EC)^2 Conference on Finite Sample and Asymptotic Methods in Econometrics, Amsterdam, Niederlande, 11.12.-13.12. | (Details) |
Working/discussion paper, preprint
| 2014 | Gschwandtner, Adelina, Hauser, Michael. 2014. Profit Persistence and Stock Return. | (Details) | |
| 2011 | Gschwandtner, Adelina, Hauser, Michael, WU, Youchang. 2011. Profit Persistence and Stock Returns. | (Details) | |
| 2009 | Gonzaga, Alex, Hauser, Michael. Forthcoming. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. | (Details) | |
| 2001 | Hauser, M.. 2001. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Working Paper, Department of Statistics, Vienna University of Economics and Business Administration | (Details) | |
| 2000 | Hauser, M., Kunst, R. M.. 2000. Forecasting High-Frequency Financial Data with the ARFIMA-ARCH Model. Preprint | (Details) |
Book or article review
| 2001 | Hauser, M.. 2001. Besprechung von: Dynamic Nonlinear Econometric Models - Asymptotic Theory, von Pötscher, B.M. and Prucha, I.R., Springer, 1997. Statistical Papers 42: 134 | (Details) |
Lecture notes/article in lecture notes
| 2009 | Hauser, Michael. 2009. Angewandte Ökonometrie/Ökonometrie 3. Wien: Eigenverlag. | (Details) |
Media report
| 2011 | Hauser, Michael. 2011. Ökonometrische Modellspezifikation and positivistische Sparsamkeit. | (Details) |
Unpublished lecture
| 2005 | Hauser, Michael, Unger, Georg. 2005. Computerfarming - ein Entscheidungsmodell für die zukünftige landwirtschaftliche Betriebsoptimierung. Zentrale-Ein- und Verkaufsgenossenschaft landwirtschaftlicher Betriebe, Großenzersdorf, 25.01. | (Details) | |
| 2002 | Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Martin-Luther-Universität Halle-Wittenberg, 15.02.2002 | (Details) | |
| 2001 | Hauser, Michael, Kunst, Robert M.. 2001. Fractionally Integrated Models with ARCH Errors. Ökonometrisches Forschungseminar, IHS, Wien, 01.12. | (Details) | |
| Hauser, M.. 2001. Probleme bei der Spezifikation von ARMA Modellen. Gastvortrag an der Johannes Kepler Universität Linz, Linz, Österreich, 19.06.2001 | (Details) | ||
| 2000 | Hauser, M.. 2000. Datenreduktion mittels Clustermethoden für die Prognose von Finanzreihen. Vortrag bei der SIEMENS Österreich AG, Wien, Österreich, 29.08.2000 | (Details) | |
| 1993 | Hauser, Michael. 1993. Die Nilflußdaten: Langfristige Abhängigkeiten oder eine Verschiebung im Mittel?. Ökonometrisches Forschungsseminar, IHS, Wien, 02.12. | (Details) | |
| 1992 | Hauser, Michael. 1992. Testing for Long Memory in Short-Run Dependent and Heteroscedastic Data. Ökonometrisches Forschungsseminar, IHS, Wien, 12.11. | (Details) | |
| Hauser, Michael, Pötscher, Benedikt M., Reschenhofer, Erhard. 1992. Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated Models and Nonparametric Procedures. Ökonometrisches Forschungsseminar, IHS, Wien, 10.06. | (Details) | ||
| 1991 | Hauser, Michael. 1991. Nichtganzzahlig integrierte Prozesse. Ökonometrisches Forschungsseminar, IHS, Wien, 20.06. | (Details) |
Miscellaneous
| 2018 | Hauser, Michael. 2018. Sägerundholzpreisindex 2009. http://www.holzpreisindex.at. | (Details) |