Research Interests

• Asset Pricing and Financial Econometrics
• Financial Markets and International Economics
• Monetary and Financial Stability

Refereed Publications

• Hertrich, M. (2019), A Novel Housing Price Misalignment Indicator for Germany, German Economic Review, Vol. 20(4): e759-e794.
• Hertrich, M. and H. Zimmermann (2017), On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective, Journal of Money, Credit and Banking, Vol. 49(2-3), 567-578.
• Hertrich, M. (2016), The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone, Review of Economics, Vol. 67(1), 91-120.
• Hertrich, M. (2016), The Distribution of Exchange Rates under a Minimum Exchange Rate Regime, Journal of Applied Economics, Vol. 19(2), 351-361.
• Hertrich, M. (2016), A Note on Credit Spread Forwards, Journal of Advanced Studies in Finance, Vol. 7(1(13)), 77-81.
• Hertrich, M. (2015), A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier, Swiss Journal of Economics and Statistics, Vol. 151(3), 227-260.
• Hertrich, M. (2015), Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets, International Journal of Applied Economics, Vol. 12(2), 1-46 .
• Hertrich, M. and D. Veestraeten (2013), Valuing Stock Options when Prices are Subject to a Lower Boundary: A Correction, Journal of Futures Markets, Vol. 33(9), 889-890.

Other Working Papers and Publications

• Hertrich, M., Foreign Exchange Interventions under a One-Sided Target Zone Regime and the Swiss Franc, Discussion Paper, under review.
• Hertrich, M., Quantitative Modelling of the EUR/CHF Exchange Rate during the Target Zone Regime of September 2011 to January 2015: A Correction, Discussion Paper, under review.
• Hertrich, M. and H. Zimmermann (2015), On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective, WWZ Working Paper 2015/09.
• Hertrich, M. (2013), Financial Time Series Forecasting using Wavelets.
• Hertrich, M. (2013), Multi-Moment Capital Asset Pricing Models for the Swiss Stock Market.
• Hertrich, M. (2012), The Dynamics of Liquidity and Credit Risk.
• Hertrich, M. (2010), Empirische Analyse der Abhängigkeiten zwischen Realen und Finanzwirtschaftlichen Schocks.
• Hertrich, M. (2009), Inflationsindexierte Anleihen, Hamburg: Igel Verlag Fachbuch, ISBN-13: 978-3868150971.

Refereeing (Selection)

• Studies in Nonlinear Dynamics and Econometrics
• Österreichische Nationalbank
• Journal of Money, Credit and Banking
• Journal of International Money and Finance
• Journal of Futures Markets
• Journal of Risk
• Swiss Journal of Economics and Statistics
• Swiss National Bank Working Paper.

Awards

• Best Master’s Thesis of the Year 2008 Award
• Young Scientist Award of the Year 2008 (2. Prize) of the Basel Private Bankers for Outstanding Master’s Theses