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Michael Sigmund

Dr. Michael Sigmund
Contact information and photo taken from and editable at WU Directory.

CV

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Researcher Identifier

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Awards and Honors

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Classifications

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Expertise

    No expertises found.

Activities

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Publications

Journal article

2019 Sigmund, Michael, Ferstl, Robert. 2019. Panel vector autoregression in R with the package panelvar. The Quarterly Review of Economics and Finance. (Details)
  Steininger, Lea, Sigmund, Michael. 2019. Reciprocity in Bank Regulatory Reforms and Income Inequality - First Evidence from a Panel Vector Autoregression Analysis. Empirical Economics. (Details)
  Schmitz, Stefan W., Sigmund, Michael. 2019. The interaction between bank solvency and funding costs: A crucial effect in stress tests. Economic Notes. 48 (2) (Details)
2017 Sigmund, Michael. 2017. Can bank-specific variables predict contagion effects? Quantitative Finance. 17 (12), 1805-1832. (Details)
  Sigmund, Michael. 2017. How Do Macroeconomic and Bank-specific Variables Influence Profitability in the Austrian Banking Sector? Evidence from a Panel Vector Autoregression Analysis. Economic Notes. 46 (3), 555-586. (Details)
2014 Hofmarcher, Paul, Kerbl, Stefan, Grün, Bettina, Sigmund, Michael, Hornik, Kurt. 2014. Model uncertainty and aggregated default probabilities: New evidence from Austria. Applied Economics, 46, (8), 871-879. (Details)

Chapter in edited volume

2019 Sigmund, Michael. 2019. Quantile Panel Estimation of Financial Contagion Effects. In: Panel Data Econometrics: Empirical Applications, Hrsg. Mike Tsionas, 639-664. United Kingdom: Elsevier. (Details)

Paper presented at an academic conference or symposium

2016 Sigmund, Michael. 2016. Can bank-specific variables predict contagion effects? Vietnam Symposium in Banking and Finance, Hanoi, Vietnam, 17.11-18.11. (Details)
  Sigmund, Michael. 2016. Can bank-specific variables predict contagion effects? Portsmouth-Fordham Conference on Banking & Finance, Portsmouth, Großbritannien, 24.09-25.09. (Details)
  Sigmund, Michael. 2016. The interaction between bank solvency and funding costs: A crucial effect in stress tests. European Finance and Banking Conference, Bologna, Italien, 01.09-02.09. (Details)
  Sigmund, Michael. 2016. The interaction between bank solvency and funding costs: A crucial effect in stress tests. IFABS 2016 Barcelona Conference, Barcelona, Spanien, 01.06-02.06. (Details)
2015 Sigmund, Michael. 2015. Can bank-specific variables predict contagion effects? RiskLab/BoF/ESRB Conference on Systemic Risk Analytics, Helsinki, Finnland, 24.09-25.09. (Details)
2013 Sigmund, Michael. 2013. Finance and Economics Conference. Lupcon Center for Business Research, Frankfurt, Deutschland, 04.06-06.06. (Details)
  Sigmund, Michael. 2013. Macroeconomic, market and bank-specific determinants of the net interest margin in austria. Surrey-Fordham Conference on Banking, Finance, Money and Institutions: The Post Crisis Era, Surrey, Großbritannien, 02.11-03.11. (Details)
2011 Hofmarcher, Paul, Grün, Bettina, Hornik, Kurt, Kerbl, Stefan, Sigmund, Michael. 2011. Modeling Aggregated Default Probabilities via Penalized Regression Methods. Workshop "Financial Markets & Risk'', Universität Innsbruck, Obergurgl, Österreich, 14.04.-16.04.. (Details)

Working/discussion paper, preprint

2012 Hofmarcher, Paul, Kerbl, Stefan, Grün, Bettina, Sigmund, Michael, Hornik, Kurt. 2012. Model Uncertainty and Aggregated Default Probabilities: New Evidence from Austria. Research Report Series, Institute for Statistics and Mathematics, Report 116. open access (Details)

Projects

  • No projects found.