Ao. Univ.-Prof. Dipl.-Ing. Dr. Erhard Reschenhofer

Professor - aktiv

Universität
Universität Wien
Fachbereich
Fakultät für Wirtschaftswissenschaften
Institut
Institut für Statistik und Decision Support Systems
Arbeitsbereiche
Statistics
Land
Österreich
Ort / PLZ
1090 Wien
Strasse
Oskar-Morgenstern-Platz 1
Telefon
0043/1-4277-386-46

Veröffentlichungen

ARTICLES IN JOURNALS

(76) E. Reschenhofer, M.K. Mangat, C. Zwatz, S. Guzmics (2020) Evaluation of current research on stock return predictability. Journal of Forecasting 39 (2), 334-351.
(75) E. Reschenhofer, M.K. Mangat (2020) Detecting long-range dependence with truncated ratios of periodogram ordinates. Communications in Statistics – Theory and Methods. Published online: 20 Jan 2020.
(74) E. Reschenhofer, M.K. Mangat, T. Stark (2020) Improved estimation of the memory parameter. Theoretical Economics Letters 10 (1), 47-68.
(73) M. Chudy, E. Reschenhofer (2019) Macroeconomic forecasting with factor-augmented adjusted band regression. Econometrics 7 (4), 46, 1-14.
(72) M.K. Mangat, E. Reschenhofer (2019) Testing for long-range dependence in financial time series. Central European Journal of Economic Modelling and Econometrics 11, 73–86.
(71) E. Reschenhofer, T. Stark (2019) Forecasting the yield curve with dynamic factors. Romanian Journal of Economic Forecasting XXII (1), 115-129.
(70) E. Reschenhofer (2019) Heteroscedasticity-robust estimation of autocorrelation. Communications in Statistics - Simulation and Computation. 48 (4), 1251–1263.
(69) E. Reschenhofer (2017) Examining the properties of a simple estimator based on transformed Cauchy variables. Journal of Statistics: Advances in Theory and Applications 18 (1), 45-54.
(68) E. Reschenhofer (2017) Using ratios of successive returns for the estimation of serial correlation in return series. Noble International Journal of Economics and Financial Research 02 (09), 125-130.
(67) E. Reschenhofer, T. Sinkovics (2017) Examining the profitability of automatic trading strategies with a focus on trend indicators. Quantitative Finance 17 (7), 979-991.
(66) E. Reschenhofer (2015) Criteria for pairwise variable selection. SOP Transactions on Statistics and Analysis.
(65) E. Reschenhofer (2015) Consistent variable selection in large regression models. Journal of Statistics: Advances in Theory and Applications 14 (1), 49-67.
(64) E. Reschenhofer, M. Chudy (2015) Adjusting band-regression estimators for prediction: shrinkage and downweighting. International Journal of Econometrics and Financial Management 3 (3), 121-130.
(63) E. Reschenhofer, M. Chudy (2015) Imposing frequency-domain restrictions on time-domain forecasts. Journal of Statistical and Econometric Methods 4 (3), 1-16.
(62) E. Reschenhofer, W. Ploberger, G.V. Lehecka (2014) Detecting fuzzy periodic patterns in futures spreads. Statistical Papers 55 (2), 487-496.
(61) E. Reschenhofer (2013) Robust testing for stationarity of global surface temperature. Journal of Applied Statistics 40 (6), 1349-1361.
(60) E. Reschenhofer, M. Lingler (2013) Detecting synchronous cycles in financial time series of unequal length. Journal of Empirical Finance 24, 1-9.
(59) E. Reschenhofer, D. Preinerstorfer, L. Steinberger (2013) Non-monotonic penalizing for the number of structural breaks. Computational Statistics 28 (6), 2585–2598.
(58) E. Reschenhofer, K. Windisch (2013) Further evidence of deficiencies in classical finance. Journal of Applied Finance and Banking 3 (6), 1-24.
(57) E. Reschenhofer (2013) Simple approximations for the distribution of the range of a Brownian motion. Journal of Statistical and Econometric Methods 2 (3), 1-6.
(56) E. Reschenhofer (2013) Log-periodogram regression with odd Fourier frequencies. InterStat July, 2013 # 004.
(55) E. Reschenhofer (2013) Does anyone need a GARCH(1,1)? Journal of Finance and Accounting 1, 48-53.
(54) E. Reschenhofer (2013) Using intraday statistics for the estimation of the return variance. Journal of Finance and Investment Analysis 2 (2), 1-13.
(53) E. Reschenhofer (2013) Linear scale dilation of asset returns. American Journal of Theoretical and Applied Statistics 2 (2), 38-42.
(52) E. Reschenhofer, M. Schilde, E. Oberecker, E. Payr, H.T. Tandogan, L.M. Wakolbinger (2012) Identifying the determinants of foreign direct investment: a data-specific model selection approach. Statistical Papers 53 (3), 739-752.
(51) E. Reschenhofer (2011) Amplitude-phase relationship in stock index returns. International Research Journal of Applied Finance II (9), 1029-1034.
(50) E. Reschenhofer, C. Holzmann (2010) How do apparently successful trading strategies really work? The Open Business Journal 3, 57-63.
(49) E. Reschenhofer (2010) Forecasting volatility: double averaging and weighted medians. International Journal of Computational Economics and Econometrics 1 (3/4), 317-326.
(48) W. Ploberger, E. Reschenhofer (2010) Testing for cycles in multiple time series. Journal of Time Series Analysis 31 (6), 427-434.
(47)   E. Reschenhofer (2010) Further evidence on the turn-of-the-month effect. Business and Economics Journal 2010, BEJ-16, 1-5.
(46) E. Reschenhofer, M. Cerman, A. Gulyas, J. Mauerhofer, L. Stefan (2010) Can price-earnings ratios really forecast stock returns? Evidence from historical U.S. data 1871-2009. Global Journal of Finance and Management 2 (2), 307-320.
(45) E. Reschenhofer: Discriminating between nonnested models (2010) Far East Journal of Theoretical Statistics 31 (2), 117 -133.
(44) E. Reschenhofer (2009) Super-whiteness of returns spectra. Journal of Data Science 7, 423-431.
(43) E. Reschenhofer (2008) Frequency domain modeling with piecewise constant spectra. Journal of Modern Applied Statistical Methods 7 (2), 467-470.
(42) E. Reschenhofer (2008) Combining generalized Kolmogorov-Smirnov tests. InterStat June, 2008 # 004.
(41) E. Reschenhofer (2006) Relationship between optimal penalties and decay rates. Far East Journal of Theoretical Statistics 20 (1), 1-12.
(40) E. Reschenhofer (2006) Selecting selection methods. InterStat July,   2006 # 003.
(39) D.V. Meisel, R.A. Byrne, M. Kuba, J. Mather, W. Ploberger, E. Reschenhofer (2006) Contrasting activity patterns of two related octopus species, Octopus macropus and Octopus vulgaris. Journal of Comparative Psychology 120 (3), 191-197.
(38) E. Reschenhofer (2004) Robust tests of the random walk hypothesis. Quantitative Finance 4 (6), 57-60.
(37) E. Reschenhofer (2004) On subset selection and beyond. Advances and Applications in Statistics 4 (3), 265-286.
(36)   E. Reschenhofer (2004) Unexpected features of financial time series: Higher-order anomalies and predictability. Journal of Data Science 2, 1-15.
(35) E. Reschenhofer (2003) Analysis of economic growth: structural breaks, superrandomness, and nonlinear forecasting. Allgemeines Statistisches Archiv (now: AStA Advances in Statistical Analysis) 87, 1-22.
(34) E. Reschenhofer, L. Benkherouf (2003) Automatic continuous smoothing. Advances and Applications in Statistics 3 (1), 15-32.
(33) E. Reschenhofer (2001) The bimodality principle. Journal of Statistics Education 9 (1).
(32) E. Reschenhofer (2001) Reference priors versus reverse reference priors: The role of invariance. The Egyptian Statistical Journal 44 (1), 26-38.
(31) E. Reschenhofer (2000) Modification of autoregressive fractionally integrated moving average models for the estimation of persistence. Journal of Applied Statistics 27 (1), 113-118.
(30) E. Reschenhofer (1997-1999) Some remarks on the entropy maximization principle. Estadistica 49-51 (152-157), 131-165.
(29) E. Reschenhofer (1999) Improved estimation of the expected Kullback-Leibler   discrepancy in case of misspecification. Econometric Theory 15 (3), 377-387.
(28) M.A. Hauser, B.M. Pötscher, E. Reschenhofer (1999) Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures. Empirical Economics 24 (2),   243-269.
(27) E. Reschenhofer (1997) Detecting synchronous rhythms. Biometrical Letters 34 (1), 1-8.
(26) E. Reschenhofer, M.A. Hauser (1997) Tests of the efficient markets hypothesis. Österreichische Zeitschrift für Statistik (Austrian Journal for Statistics) 26 (1), 31-52.
(25) E. Reschenhofer (1997) Generalization of the Kolmogorov-Smirnov test. Computational Statistics & Data Analysis 24 (4), 433-441.
(24) E. Reschenhofer (1996) Prediction with vague prior knowledge. Communications in Statistics – Part A: Theory and Methods 25 (3), 601-608.
(23) E. Reschenhofer (1996) Approximating the Bayes factor. Statistics & Probability Letters 30 (3), 241-245.
(22) E. Reschenhofer (1996) On the asymptotic behavior of Akaike's BIC. Statistics & Probability Letters 27 (2), 171-175.
(21) M.A. Hauser, E. Reschenhofer (1995) Estimation of the fractionally differencing parameter with the R/S method. Computational Statistics & Data Analysis 20 (5), 569-579.
(20) E. Reschenhofer (1995) Use of phase for the detection of hidden periodicities. Biometrical Journal 37 (8), 957-964.
(19) M.A. Hauser, B.M. Pötscher, E. Reschenhofer (1994) On Gagnon's criticism of ARMA models for real GNP growth. Economic Notes 23 (1), 125-129.
(18) M.A. Hauser, R.M. Kunst, E. Reschenhofer (1994) Modelling exchange rates: Long-run dependence versus conditional heteroscedasticity. Applied Financial Economics 4 (3), 233-239.
(17) E. Reschenhofer (1994) Is the GNP fractionally integrated? Statistical Papers 35 (1), 309-322.
(16) R. Dittrich, E. Reschenhofer, I.M.Bomze (1993) Behavior of the length test for medium sample sizes. Communications in Statistics – Part A: Theory Methods 22 (9), 2517-2525.
(15) E. Reschenhofer, I.M. Bomze (1992) Testing for white noise against   multimodal spectral alternatives. Journal of Time Series Analysis 13 (5), 435-439.
(14) E. Reschenhofer (1991) Bayesian derivation of Akaike's information criterion. Metron XLIX (1-4), 145-150.
(13) R.M. Kunst, E. Reschenhofer, K. Rodler (1991) Analysis of Austrian stocks: testing for stability and randomness. Empirical Economics 16 (4), 465-477.      
(12) E. Reschenhofer, I.M. Bomze (1992) Length tests for goodness-of-fit. Biometrika 78 (1), 207-216. (Amendment: Biometrika 79 (4), 859, 1992)
(11) J.G.D. Birkmayer, M. Daunderer, E. Reschenhofer: Quecksilberdepots im Organismus korrelieren mit der Anzahl der Amalgamfüllungen. Deutsche Zeitschrift für Biologische Zahnmedizin 6, 57-61, 1990.
(10) W. Birkmayer, J.G.D. Birkmayer, C. Vrecko, B. Paletta, E. Reschenhofer, E. Ott (1990) Nicotinamide adenine dinucleotide (NADH) as medication for Parkinson's disease. Experience with 415 patients. New Trends in Clinical Neuropharmacology IV (1), 7-24.
(9) E. Reschenhofer (1989) Adaptive test for white noise. Biometrika 76 (3), 629-632.
(8) B.M. Pötscher, E. Reschenhofer (1989) Distribution of the Coates-Diggle test statistic in case of replicated observations. Statistics 20 (3), 417-421.
(7) B.M. Pötscher, E. Reschenhofer (1988) Discrimination between two spectral densities in case of replicated observations. Journal of Time Series Analysis 9 (3), 221-224.
(6) E. Reschenhofer, R. Vollmer, M. Deistler (1987) Segmentation of the EEG by minimization of the total gain in information. Neuropsychobiology 18, 155-159.
(5) I. Veit, M. Dietzel, O.M. Lesch, P. Hermann, L. Birsak, E. Reschenhofer (1986) Polytoxikomane Patienten im neuroendokrinologischen Tagesprofil. Wiener Medizinische Wochenschrift 136, 19-20, 500-504.
(4) M. Dietzel, O.M. Lesch, E. Reschenhofer (1986) Seasonal variation of melatonin differs in depressed patients and healthy controls. Clinical Neuropharmacology 9, 199-201.
(3) M. Gruska, E. Reschenhofer, N. Klammer, B. Rudas, W. Marktl (1986) Chronobiological study on the circadian rhythm of blood gastrin in non-synchronized young healthy males as tested by different statistical methods. Journal of Interdisciplinary Cycle Research (now: Biological Rhythm Research) 17 (4), 275-280.
(2) M. Deistler, O. Prohaska, E. Reschenhofer, R. Vollmer (1986) Procedure for identification of different stages of EEG background activity and its application to the detection of drug effects. Electroencephalography and Clinical Neurophysiology (now: Clinical Neurophysiology) 64, 294-300.
(1) E. Reschenhofer (1985) A remark on the recursive estimation of ARMA order. Metrika 32 (1), 93-96. (Correction: Research Report No. 45, Department of Econometrics, Vienna University of Technology, 1986)

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