Chair’s Publication included in the list: Editors' choice: notable articles (co-)authored by female researchers of the Journal of Banking and Finance
The publication “International Stochastic Discount Factors and Covariance Risk” was included in the list “Editors' choice: notable articles (co-)authored by female researchers” of the Journal of Banking and Finance. Those involved in the publication were Dr. Michael Herold and Prof. Dr. Matthias Muck (both Chair for Banking and Financial Control at the University of Bamberg) as well as Prof. Dr. Nicole Branger (Professor at the Chair for Derivatives and Financial Engineering at the University of Münster).
The list was issued to advocate gender equality in academia and research in finance. For this purpose the editors of the journal were asked to name three articles that had been published in the journal and where female researchers were involved.
The reasons for choosing the article “International Stochastic Discount Factors and Covariance Risk” are as follows:
"This is one of more technical articles that we publish, co-authored by Nicole Branger who has been an associate editor of the journal for more than 8 years. It introduces a new affine model, encompassing the Heston model, that is more robust to sampling variation than previous models for stock market and exchange-rate joint dynamics. The Sharpe ratios for US, European and Japanese stock markets also have greater explanatory power, in-sample and out of sample." [Co-Editor, Carol Alexander]
Further information can be found on the website of the Journal of Banking and Finance
The publication can be found here.
The website of the Chair for Derivatives and Financial Engineering can be found here.