Ass.-Prof. Dr. Dennis Umlandt
Assistant Professor of Financial Econometrics
+43 512 507-73106
dennis.umlandt@uibk.ac.at
www.dennisumlandt.de
w.4.04 (SOWI)
nach Vereinbarung
Research
Research Interests
- Financial Econometrics
- Asset Pricing
- International Finance
- Time Series Analysis
Publications
Working Paper
-
Common Factors in Currency Characteristics (with M. Dauber). Available at SSRN
- Time-Varying Factor Risk Premia: A GMM-Based Filtering Approach. Available at SSRN
Publications
-
Dynamic Mixture Vector Autoregressions With Score-Driven Weights (with A. G. Gretener and M. Neuenkirch) . Journal of Applied Econometrics, 2025, 40, no. 4: 455–70 . https://doi.org/10.1002/jae.3119.
- The Impact of Heterogeneous Consumption and Productivity Expectations on Factor Risk Premia (with C. Bauer and P. Symann). Economics Letters, 2025, 247: 112119. https://doi.org/10.1016/j.econlet.2024.112119.
- Score-Driven Asset Pricing: Predicting Time-Varying Risk Premia Based on Cross-Secional Model Performance. Journal of Econometrics, 2023, 237 2C: 105470. https://doi.org/10.1016/j.jeconom.2023.05.007.
- Currency Returns and FX Dealer Balance Sheets (with S. Reitz). Journal of International Economics, 2021, 133: 103541. https://doi.org/10.1016/j.jinteco.2021.103541.
Appointments and Education
Appointments
2022
Assistant Professor (Tenure Track), Department of Banking and Finance, University of Innsbruck
2019 - 2022
PostDoc, Quantitative Finance and Risk Analysis Group , University of Trier
2016 - 2019
Research Assistant, Institute for Quantitative Business and Economics Research, University of Kiel
Education
2016 - 2020
Ph.D. in Quantitative Economics, University of Kiel
2017 - 2019
Advanced Studies Program (ASP) in International Economic Policy Research, Kiel Institute for the World Economy
2014 - 2016
M.Sc in Quantitative Economics, University of Kiel
2013 - 2016
M.Sc in Financial Mathematics, University of Kiel
2012 - 2016
B.Sc in Mathematics, University of Kiel
2010 - 2012
B.Sc in Economics, University of Cologne