Robert Ferstl



  • financial econometrics
  • optimization under uncertainty
  • scenario generation
  • fixed income

Ausgewählte Publikationen

Ferstl, R., Utz, S., Wimmer, M. (2012). The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study. BuR-Business Research, Vol. 5, No. 1, 25–41.

Ferstl, R., Weissensteiner, A. (2011). Asset-liability management under time-varying investment opportunities. Journal of Banking & Finance, Vol. 35, No. 1, 182–192.

Ferstl, R., Hayden, J. (2010). Zero-Coupon Yield Curve Estimation with the Package termstrc. Journal of Statistical Software, Vol. 36, No. 1, 1–34.

Ferstl, R., Weissensteiner, A. (2010). Cash management using multi-stage stochastic programming. Quantitative Finance, Vol. 10, No. 2, 209–219.

Burger, A., Buehler, S., Ferstl, R. (2010). The investment effects of price caps under imperfect competition: A note. Economics Letters, Vol. 106, No. 2, 92–94.

Ferstl, R., Weissensteiner, A. (2010). Backtesting short-term treasury management strategies based on multi-stage stochastic programming. Journal of Asset Management, Vol. 11, No. 2, 94–112.

Ferstl, R. (2007). Spatial filtering with EViews and MATLAB. Austrian Journal of Statistics, Vol. 36, No. 1, 17–26.