portrait photo

Michael Hauser

ao.Univ.Prof. Dipl.-Ing.Dr.techn. Michael Hauser
Telephone:
+43 1 31336 4759
Email:
Contact information and photo taken from and editable at WU Directory.

CV

No curriculum entries found.

Researcher Identifier

    No researcher identifier found.

Awards and Honors

2017
"Publikation 2017" der Wirtschaftsuniversität Wien für "Profit Persistence and Stock Returns" von ao.Univ.Prof. Dr. Michael Hauser und Dr. Adelina Gschwandter
2008
"Publikation 2008" der Wirtschaftsuniversität Wien für "Modelling Profit Series: Nonstationary and Long Memory" von ao. Univ.Prof. Dr. Michael Hauser und Dr. Adelina Gschwandtner

Classifications

Expertise

  • Fractionally integrated processes

Activities

Position in scientific committee
  since 2018 WU, Institute for Statistics and Mathematics - PhD: Monte Carlo Simulation of Boundary Crossing Probabilities with Applications to Finance and Statistics
  since 2017 TU Wien, Fakultät für Informatik - PhD: The Effect of Inventory News Announcements on the Realized Volatility of US Intraday Crude Oil Prices
Position in jury, advisory board, curatorship
  2017 Jubiläumsfonds der Oesterreichischen Nationalbank
  2012-2014 ÖSG - Förderpreis
Membership in scientific association
  since 2008 World Economic Association
  since 2002 Verein für Socialpolitik
Member of the editorial board
  2010-2014 Business and Economics Journal
  since 2008 EJCCM - European Journal of Cross-cultural Competence and Management - Mitglied
Reviewer for a scientific journal
  2018 The European Journal of Finance
  2016 Journal of Economics and Business
  2016 Journal of Business and Finance
  2016-2018 International Journal of Managerial Finance
  2016 EJCCM - European Journal of Cross-cultural Competence and Management
  2015-2017 Empirica
  2014 Statistical Papers
  2014 Resource and Energy Economics
  2014-2017 Empirical Economics
  2013 Statistics and Risk
  2013 European Review of Agricultural Economics
  2013 Applied Economics
  2013 Agricultural Economics
  2012 Review of Industrial Organization
  2012 Communication in Statistics - Simulation and Computation
  2009 Statistical Papers - Gutachter
  2006 Statistical Papers
  2006 Journal of Modelling in Management
  2004 Statistical Papers - Gutachter
  2004 Austrian Journal of Statistics - Gutachter
  2004 Annals of Tourism Research - Gutachter
  2003 Journal of Statistical Planning and Inference - Gutachter
  2003-2013 Empirical Economics - Gutachter
  2003 Computational Statistics and Data Analysis - Gutachter
Series editor
  2004 Annals of Tourism Research - Gutachter
Reviewer for an international conference
  2015 NBER-NSF Time Series Conference 2015
Organization scientific meeting (Conference etc.)
  2014-2015 NBER-NSF Time Series Conference 2015 - Member of the organizing committee
Position in administration
  since 2016 Kommission für Finanzen und Campusmanagement
  since 2014 Departmentkonferenz - Mitglied
  2011-2013 Sounding Board - Baubeauftragter des Instituts
  since 2008 Bachelor-Programm - Planpunktverantwortlicher für Ökonometrie
  2004-2014 Doktoratskommission - Doktoratsbeauftragter des Instituts
Academic advisor
  since 2006 Univesidad Pontificia Comillas, Madrid
  since 2006 Univesidad Carlos III de Madrid
Supervisor dissertation
  2012-2013 Universität Wien, Falkultät f Wirtschaftswissenschaften - Economic Growth and Business Cycles in Liechtenstein - Econometric Investigations Considering the Past, Present, and Future
  2006-2009 WU Wien, Department of Statistics - Testing for Uncoverd Interest Rate Parity using Smooth Transition Regression (STR-) Models
  2003-2006 WU Wien, Department of Statistics - Modeling the Relationship between Financial Indicators and Company Performance - An Empirical Study for US-listed Companies
  2002-2005 WU Wien, Department of Statistics - Market Impact-, Timing und Opportunitätskosten institutioneller Aktientransaktionen als Optimierungsobjekte im Portfoliomanagement
Other occupation
  2017-2018 Verlagsgruppe News G.m.b.H - Beratung bei der Erstellung von Umsatzprognosen
  since 2005 Land & Forst Betriebe Österreich - Publikation des Sägerundholzpreisindex für Österreich

Publications

Book (monograph)

1989 Hauser, Michael. 1989. Inflation, Arbeitslosigkeit, optimale Politik und die neue klassische Makroökonomik, Eine empirische Analyse für Österreich und eine Kritik. Frankfurt/New York: Campus Verlag. (Details)

Journal article

2016 Gschwandtner, Adelina, Hauser, Michael. 2016. Profit persistence and stock returns. Applied Economics 48 (37), 3538-3549. (Details)
2011 Gonzaga, Alex, Hauser, Michael. 2011. A wavelet Whittle estimator of generalized long-memory stochastic volatility. Statistical Methods and Applications 20 23-48. (Details)
2008 Gschwandtner, Adelina, Hauser, Michael. 2008. Modelling profit series: Nonstationarity and long meomory. Applied Economics 40 (11): 1475-1482. (Details)
  Gschwandtner, Adelina, Hauser, Michael. 2008. Modelling Profit Series: Nonstationarity and long Memory. Applied Economics 40 (11): 1475-1482. (Details)
2001 Hauser, M., Kunst, R. M.. 2001. Forecasting High-frequency Financial Data with the ARFIMA-ARCH Model. Journal of Forecasting 20: 501-518 (Details)
1999 Hauser, M.. 1999. Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study. Journal of Statistical Planning and Inference 80 (1-2): 229-­255 (Details)
  Hauser M., Pötscher B.M., Reschenhofer E.. 1999. Measuring persistence in aggregate output: ARMA models, fractionally integrated models and nonparametric procedures. Empirical Economics 24 (2): 243-­269 (Details)
1998 Hauser M., Kunst R.M.. 1998. Fractionally Integrated Models With ARCH Errors ­ With an Application to the 1­month Euromarket Interest Rate. Review of Quantitative Finance and Accounting 10 (1): 95-114 (Details)
1997 Reschenhofer, Erhard, Hauser, Michael. 1997. Tests of the Efficient Market Hypothesis. Austrian Journal of Statistics 31-52. (Details)
  Hauser, Michael. 1997. Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study. Empirical Economics 22 247-271. (Details)
1995 Hauser, Michael, Reschenhofer, Erhard. 1995. Estimation of the fractionally differencing parameter with the R/S method. Computational Statistics and Data Analysis 20 569-579. (Details)
1994 Hauser, Michael, Pötscher, Benedikt M.. 1994. On Gagnon's Criticism of ARMA Models for Real GNP Growth. Economic Notes 23 124-128. (Details)
  Hauser, Michael, Kunst, Robert M., Reschenhofer, Erhard. 1994. Modelling exchange rates: long-run dependence versus conditional heteroscedasticity. Applied Financial Economics 4 233-239. (Details)

Chapter in edited volume

2003 Hauser, M., Hörmann, W.. 2003. Time Series. In: Automatic Nonuniform Random Variate Generation, Hrsg. Hörmann, W., Leydold, J., Derflinger, G., 345-362. Berlin/Heidelberg: Springer-Verlag (Details)

Contribution to conference proceedings

1994 Hauser, Michael, Hörmann, Wolfgang, Kunst, Robert M., Lenneis, Jörg. 1994. A note on generation, estimation and prediction of stationary processes. In COMPSTAT, Hrsg. Rudolf Dutter and Wilfried Grossmann, 323-329. Heidelberg: Physica-Verlag. (Details)

Paper presented at an academic conference or symposium

2016 Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. CFE 2016 10th International Conference on Computational and Financial Econometrics, University of Seville, Spain, 09.12.-11.12. (Details)
2015 Gschwandtner, Adelina, Hauser, Michael. 2015. Profit Persistence and Stock Returns. CFE 2015, London, Großbritannien, 12.12.-14.12. (Details)
2014 Hauser, Michael. 2014. Laudatio. ÖSG Verleihung der Förderpreise, Salzburg, Österreich, 18.06.. Vortrag auf Einladung (Details)
  Gonzaga, Alex, Hauser, Michael. 2014. Estimation of Generalized Long-Memory Stochastic Volatility: Whittle and Wavelets. CFE 2014, 8th International Conference on Computational and Financial Econometrics, Pisa, Italien, 06.12.-08.12. (Details)
2011 Gonzaga, Alex C., Hauser, Michael. 2011. On the Wavelet Coefficients of k-factor Gegenbauer Autoregressive Moving Average Process. Mathematical Society of the Philippines, Annual Convention, Santo Tomas, Philippinen, 20.05.-21.05. (Details)
2009 Gonzaga, Alex, Hauser, Michael. 2009. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. European Meeting of Statisticians, Toulouse, Frankreich, 20.07.-24.07. (Details)
2005 Hauser, Michael, Löcker, Birgit. 2005. Diffusion of Satellite-supported Telematics in European Passenger Cars. 25th International Symposium on Forecasting, San Antonio, TX, Vereinigte Staaten/USA, 12.06.-15.06. (Details)
2002 Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. European Meeting of the Econometric Society, Econometric Society, Venedig, Italien, 25.08-28.08.2002 (Details)
  Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. 26th Annual Conference of the Gesellschaft für Klassifikation, Gesellschaft für Klassifikation, Universität Mannheim, Deutschland, 22.07-24.07.2002 (Details)
  Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. 22nd International Symposium on Forecasting, International Institute of Forecasters, Dublin, Irland, 23.06-26.06.2002 (Details)
2001 Hauser, M.. 2001. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Causality and Exogeneity in Econometrics, European Conferences of the Econom[etr]ics Community, Louvain-la-Neuve, Belgien, 13.12-15.12.2001 (Details)
1999 Hauser, M.. 1999. Forecasting with the ARFIMA-ARCH Model. Foreacsting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management. 6th International Conference on Forecasting Financial Markets, London, Großbritannien, 26.05-28.05.1999 (Details)
1998 Hauser, M.. 1998. Maximum Likelihood Estimation of ARMA and ARFIMA Models: A Monte Carlo Study. Workshop: Long Memory and Financial Time Series, Dortmund, Deutschland, 27.08-28.08.1998 (Details)
  Hauser, M.. 1998. Maximum Likelihood Estimation of ARMA and ARFIMA Models: A Monte Carlo Study. European Meeting of the Econometric Society, Econometric Society, Berlin, Deutschland, 30.08-03.09.1998 (Details)
1997 Hauser, Michael. 1997. Maximum likelihood estimators for ARFIMA models with an application to aggregate output series. Long-Range-Dependence International Workshop, Brisbane, Australien, 28.01.-30.01. (Details)
1995 Hauser, Michael. 1995. Long Range Dependence in International Output Series: A Reexamination. Econometric Society 7th World Congress, Tokyo, Japan, 22.08.-29.08. (Details)
  Hauser, Michael. 1995. Semiparametric and Nonparametric Testing for Long Memory with an Application to Exchange Rates. The Sixth Meeting of the European Conference Series in Quantitative Economics and Econometrics (EC)^2, Aarhus, Dänemark, 14.12.-16.12. (Details)
1994 Hauser, Michael. 1994. A Note on the Generation, Estimation and Prediction of Stationary Processes. COMPSTAT 1994 - 11th Symposium on Computational Statistics, Wien, Österreich, 22.08.-26.08. (Details)
  Hauser, Michael, Kunst, Robert M. 1994. Forecasting the Arfima-Arch Model. European Meeting of the Econometric Society, Maastricht, Niederlande, 29.08.-02.09. (Details)
  Hauser, Michael. 1994. Small Sample Properties of the Kullback-Leibler Index for ARFIMA Models. ISF 94 - The Fourteenth Annual International Symposium on Forecasting, Stockholm, Schweden, 12.06.-15.06. (Details)
  Hauser, Michael, Hörmann, Wolfgang. 1994. The Simulation of Stationary Gaussian Processes. International Workshop on Mathematical Methods and Tools in Computer Simulations - MMTCS'94, St.Petersburg, Russische Föderation, 24.05.-28.05. (Details)
1993 Hauser, Michael, Kunst, Robert M. 1993. Fractionally Intergated Models with ARCH Errors. European Meeting of the Econometric Society, Uppsala, Schweden, 22.08.-26-08. (Details)
  Hauser, Michael. 1993. On the selection of moving average and fractionally integrated models. NBER Time Series Seminar, Vienna, Österreich, 21.10.-23.10. (Details)
  Hauser, Michael. 1993. Selection of MA Models. Parametric and Nonparametric Specification Testing, Vienna, Österreich, 01.07.-07.07. (Details)
  Hauser, Michael. 1993. The Nile River Data: Long Range Dependence or a Shift in The Mean? Biometrisches Kolloquium, Wiener Biometrische Sektion der Internationalen Biometrischen Gesellschaft, Wien, Österreich, 15.12. (Details)
1992 Hauser, Michael. 1992. Long Memory in Wiener Wertpapierkursen. Austrian Working Group on Banking and Finance, Graz, Österreich, 03.04.-04.04. (Details)
  Hauser, Michael. 1992. Long Range Dependence in Aggregate Economic Series: An International Comparison. International Symposium on Economic Modelling, Göteborg, Schweden, 18.08.-20.08. (Details)
  Hauser, Michael. 1992. Long Range Dependence in Economic Series: Aggregate Output, Stock Prices and Exchange Rates. IFAC (International Federation of Automatic Control) Workshop on Economic Time Series Analysis and System Identification, ESI'92, Vienna, Österreich, 01.07.-03.07. (Details)
  Hauser, Michael, Pötscher, Benedikt M., Reschenhofer, Erhard. 1992. Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated ARMA Models and Nonparametric Procedures . European Meeting of the Econometric Society, Brussels, Belgien, 24.08.-28.08. (Details)
1989 Hauser, Michael. 1989. Strategisches Entscheidungsmodell in der Pflanzenproduktion. Österreichische Gesellschaft für Operations Research, Wr. Neustadt, Österreich, 07.12. (Details)
1988 Hauser, Michael. 1988. The Existence of Weak and Strong Neutrality of Aggregate Policy in Macro Models with Rational Expectations. 1988 Australian Meeting of the Econometric Society, Canberra, Australien, 28.08.-31.08. (Details)
1982 Hauser, Michael. 1982. Politique de la demand optimisant la perte de bien-etre par inflation et chomage: le cas de l'economie autrichienne. Journees Internationales d'Etude Analyse Structurelle des Modeles Econometriques, Association d'Econometrie Appliquee, Rotterdam, Niederlande, December. (Details)

Poster presented at an academic conference or symposium

2016 Hauser, Michael. 2016. Using profit persistence to predict stock returns: An alternative model. ITISE 2016 International Work-Conference on Time Series Analysis, Granada, Spain, 27.06.-29.06. (Details)
2010 Hauser, Michael. 2010. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. Fourlet 2010, Fourier Meets Wavelets, Karlsruhe, Deutschland, 05.09.-07.09. (Details)
1997 Hauser, Michael. 1997. Maximum Likelihood Estimation of Low Order ARFIMA Models: A Monte Carlo Study. 8th (EC)^2 Conference on Finite Sample and Asymptotic Methods in Econometrics, Amsterdam, Niederlande, 11.12.-13.12. (Details)

Working/discussion paper, preprint

2014 Gschwandtner, Adelina, Hauser, Michael. 2014. Profit Persistence and Stock Return. (Details)
2011 Gschwandtner, Adelina, Hauser, Michael, WU, Youchang. 2011. Profit Persistence and Stock Returns. (Details)
2009 Gonzaga, Alex, Hauser, Michael. Forthcoming. A Wavelet Whittle Estimator of Generalized Long-memory Stochastic Volatility. (Details)
2001 Hauser, M.. 2001. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Working Paper, Department of Statistics, Vienna University of Economics and Business Administration (Details)
2000 Hauser, M., Kunst, R. M.. 2000. Forecasting High-Frequency Financial Data with the ARFIMA-ARCH Model. Preprint (Details)

Book or article review

2001 Hauser, M.. 2001. Besprechung von: Dynamic Nonlinear Econometric Models - Asymptotic Theory, von Pötscher, B.M. and Prucha, I.R., Springer, 1997. Statistical Papers 42: 134 (Details)

Lecture notes/article in lecture notes

2009 Hauser, Michael. 2009. Angewandte Ökonometrie/Ökonometrie 3. Wien: Eigenverlag. (Details)

Media report

2011 Hauser, Michael. 2011. Ökonometrische Modellspezifikation and positivistische Sparsamkeit. (Details)

Unpublished lecture

2005 Hauser, Michael, Unger, Georg. 2005. Computerfarming - ein Entscheidungsmodell für die zukünftige landwirtschaftliche Betriebsoptimierung. Zentrale-Ein- und Verkaufsgenossenschaft landwirtschaftlicher Betriebe, Großenzersdorf, 25.01. (Details)
2002 Hauser, M.. 2002. A partitioning approach to the specification of large VAR models: With an application to the DAX30 series. Martin-Luther-Universität Halle-Wittenberg, 15.02.2002 (Details)
2001 Hauser, Michael, Kunst, Robert M.. 2001. Fractionally Integrated Models with ARCH Errors. Ökonometrisches Forschungseminar, IHS, Wien, 01.12. (Details)
  Hauser, M.. 2001. Probleme bei der Spezifikation von ARMA Modellen. Gastvortrag an der Johannes Kepler Universität Linz, Linz, Österreich, 19.06.2001 (Details)
2000 Hauser, M.. 2000. Datenreduktion mittels Clustermethoden für die Prognose von Finanzreihen. Vortrag bei der SIEMENS Österreich AG, Wien, Österreich, 29.08.2000 (Details)
1993 Hauser, Michael. 1993. Die Nilflußdaten: Langfristige Abhängigkeiten oder eine Verschiebung im Mittel?. Ökonometrisches Forschungsseminar, IHS, Wien, 02.12. (Details)
1992 Hauser, Michael. 1992. Testing for Long Memory in Short-Run Dependent and Heteroscedastic Data. Ökonometrisches Forschungsseminar, IHS, Wien, 12.11. (Details)
  Hauser, Michael, Pötscher, Benedikt M., Reschenhofer, Erhard. 1992. Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated Models and Nonparametric Procedures. Ökonometrisches Forschungsseminar, IHS, Wien, 10.06. (Details)
1991 Hauser, Michael. 1991. Nichtganzzahlig integrierte Prozesse. Ökonometrisches Forschungsseminar, IHS, Wien, 20.06. (Details)

Miscellaneous

2018 Hauser, Michael. 2018. Sägerundholzpreisindex 2009. http://www.holzpreisindex.at. (Details)

Projects

2009
Profit Persistence, Entry and Exit, Asset Prices (2009-2014) (Details)
2000
Clustering (financial) time series according to their predictability by automatically chosen predictors (2000-2002) (Details)