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Prof. Dr.  Jantje Sönksen

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Publications

  1. 2024
  2. Published

    Nonstandard Errors

    Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J., Bach, A., Baidoo, E., Bakalli, G., Barbon, A., Baschchenko, O., Bindra, P. C., Bjonnes, G. H., Black, J., Black, B. S., Bohorquez, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C. T., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M., Chincarini, L., Chordia, T., Chow, S. C., Clapham, B., Colliard, J., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., De Blasis, R., De Nard, G., Declerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y., Drummond, P., Dudda, T. L., Dumitrescu, A., Dyakov, T., Haubo Dyhrberg, A., Dzielinski, M., Eksi, A., El Kalak, I., ter Ellen, S., Eugster, N., Evans, M. D. D., Farrell, M., Felez-Vinas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L. R., Gomez, T., Gorbenko, A., Gücbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., van Kervel, V., Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Lajaunie, Q., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, M. H., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente, G., Loff, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martinaeu, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L. L., O'Neill, P., Obaid, K., Odegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Perignon, C., Pfiffer, C., Philip, R., Plihal, T., Prakash, P., Press, O., Prodromou, T., Prutnins, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Reno, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodriguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeznik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppe, K. R., Schertler, A., Schneider, M., Schroeder, F., Schuerhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe , J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S., Zhang, S. S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, S., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, M., Avetikian, A. & Wu, Z., Jun 2024, In: Journal of Finance. p. 2339-2390 52 p.

    Research output: Contribution to journalArticleResearchpeer review

  3. Testing the Conditional CAPM using Cross-sectional Regressions: A Multi-task Learning Approach

    Grammig, J., Hanenberg, C., Schlag, C. & Sönksen, J., 16 Apr 2024, (E-pub ahead of print) 67 p.

    Research output: Working paper/PreprintWorking paper/Discussion paper

  4. 2022
  5. Machine Learning for Asset Pricing

    Sönksen, J., 7 Sept 2022, Econometrics with Machine Learning. Chan, F. & Mátyás, L. (eds.). Springer International Publishing AG, Vol. 53. p. 337–366 29 p.

    Research output: Chapter in book/report/conference proceedingContribution to book/anthologyResearch

  6. Estimating the SARS-CoV-2 Infection Fatality Rate by Data Combination: The Case of Germany's First Wave

    Dimpfl, T., Sönksen, J., Bechmann, I. & Grammig, J., 1 May 2022, In: Econometrics Journal. 25, 2, p. 515-530 16 p.

    Research output: Contribution to journalArticleResearchpeer review

  7. 2021
  8. Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach

    Sönksen, J. & Grammig, J., May 2021, In: Journal of econometrics. 222, 1, p. 805-832 28 p.

    Research output: Contribution to journalArticleResearchpeer review

  9. 2020
  10. Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

    Grammig, J., Hanenberg, C., Schlag, C. & Sönksen, J., 24 Feb 2020, (E-pub ahead of print) 90 p. (University of Tübingen Working Papers in Business and Economics; no. 130).

    Research output: Working paper/PreprintWorking paper/Discussion paper