Research interests of Prof. Dr. Runde

Ralf Rundes research interests are mainly in applied econometrics where he had several publications concerning capital market anomalies such as the holiday-effect, the weekend-effect or the weather-effect

(see e.g. “The holiday-effect - yet another capital market anomaly?” (with Walter Krämer), In: Data analysis and statistical inference: Festschrift in Honour of Friedhelm Eicker, Schach, S./Trenkler, G. (Hrsg.), Köln: Eul, , 1992;

“Chaos and the compass rose” (with Walter Krämer), Economics Letters 1997; “Stocks and the weather - an exercise in data mining or yet another capital market anomaly?” (with Walter Krämer), Empirical Economics 1997).

His research interests also include quantitative and empirical analysis of financial markets where he points out the consequences on statistical tests when the probability distribution of stock returns is modelled with a non exiting population variance

(see e.g. “A note on the asymptotic distribution of the F-statistic for random variables with infinite variance”, Statistics & Probability Letters 1993;

“The asymptotic null distribution of the Box-Pierce Q-statistic for random variables with infinite variance - with an application to German stock returns”, Journal of Econometrics 1997;

“Testing for zero autocorrelation when the innovations belong to the normal domain of attraction of a Cauchy law”, Econometric Theory 1999;

“Diagnostic checking in linear processes with infinite variance” (with Walter Krämer), Mathematical and Computer Modelling 2001).

In this context his current research focuses on a new class of probability distributions, the so called fQ-system (“Estimation of unimodal densities based on the f Q-system” (with Axel Scheffner), Statistical Papers 2003).