Michael Stollenwerk

Market Macroeconomics. Financial Econometrics. Realized Covariance Matrices. Economics PhD from Heidelberg University.

[Michael Stollenwerk @mike_st]

My job market paper made it into The Journal of Econometrics! I am so happy!

It is about the comparison and derivation of all probability distributions used (so far) to model realized covariance measures and about a novel probability distribution I propose myself (the t-Riesz distribution family) that has intuitive theoretical properties (it is based on the multivariate t-distribution for intraday returns) and very good empirical fit.

The paper is open source: https://t.co/pCKWYEXqIX

Thank you Christian Conrad, Anne Opschoor, Nestor Parolya, Roxana Halbleib, Michael Rockinger and Torben Andersen for your support on this!

[Michael Stollenwerk @mike_st]

@jeuasommenulle @lugaricano Probably because you can hedge market-wide risk-off with these bets, risk-neutral probabilities don’t match objective ones.

[Renaud Foucart @RenaudFoucart]

1952, French national TV news segment on how Americans, with their new prototypes of flying cars, will soon avoid road congestion https://t.co/Jg4XfYfJm6

[Karina Moessbauer @K_Moessbauer]

Sabri Aydin (91) kam 1961 an einem Freitag an, Montag zeigte man ihm die Zeche, Dienstag fing er an unter Tage zu arbeiten.
Inzwischen hat er 10 Enkel, 16 Urenkel. Alle leben in Duisburg.
MP Hendrik Wüst nahm Aydin mit auf seine Türkei-Reise als Zeichen der Anerkennung. Denn Gastarbeiter wie Aydin sind ein Teil des deutschen Wirtschaftswunders der 60er.

Wüst: „Da gab es keinen Deutschkurs, keinen Integrationskurs.“
Schließlich habe Aydin, „wie viele andere auch, für viele Jahrzehnte hart und fleißig gearbeitet, ohne jemals vom Staat eine Unterstützung zu erhalten“.

[Brian Albrecht @BrianCAlbrecht]

What if instead of "pacing the frontier" we increased liability?

Internalize the externality? Isn't that the starting framework if individual safety incentives don't match group incentives?

[Bob Iaccino @Bob_Iaccino]

I’m officially done being scared of every crisis the news tells me I should be scared of. I’ve reached my crisis limit.

[Renaud Foucart @RenaudFoucart]

Reminder: these kind of figure makes zero economic sense. If you hire little elves to work for free in your hospitals and care homes, they are net recipients. If you raise taxes to pay them, they become contributors. Even true for the private sector: general equilibrium please

[Michael Stollenwerk @mike_st]

@RenaudFoucart Also, it’s beautifully written. Reading it feels so good, especially these days.

[European Commission @EU_Commission]

"We want to bring the relationship with Canada to the highest level possible.

Dear @MarkJCarney, I would like to work with you on opening the door for Canada to be the first associate member of the EU."

— President @vonderleyen at #SOTEU 2026

[Nick Mark MD @nickmmark]

An alternative hypothesis:
- model performance is plateauing
- compute is getting much more expensive
- AI data centers are massively unpopular
- slowing down AI development is a way to explain slowing progress, reduce spending, and try to regain some goodwill.
- This is an effort to save the IPO not humanity.

[Isar Aerospace @isaraerospace]

We’re in orbit! And just made European history: This is the first time a privately developed rocket reached orbit from continental Europe; and a testament to the dedication, expertise, and teamwork of everyone involved.

[Bart Mol @Bart_Mol]

Me explaining AI to friends

[Michael Stollenwerk @mike_st]

The Economist cited Larry Summers’ critique of Acemoglu’s research. Larry Summers, an associate of Jeffrey Epstein, who once wrote in The Economist that "the logic behind dumping a load of toxic waste in the lowest-wage country is impeccable." They could have chosen from a list of respectable researchers who have voiced critique, but The Economist chose Larry Summers.

[Renaud Foucart @RenaudFoucart]

If Large Language Models have:
- no major network effects
- no massive differentiation

Then:
- price = marginal cost
- China and US = subsidising the world by pure kindness <3

[Michael Stollenwerk @mike_st]

But in fact, Europe is a politic community, sharing a common identity, and there are joint projects for which joint financing makes a lot of sense (defense).

Regarding the ‘strong enough to accept fundamentally autistic transfers’ argument. It’s hard for me to see how northern Europeans would take to the streets in protest of joint defense financing. We’d define be ‘strong enough to accept it’.

In contrast, imagine a situation whether there are no Bunds and you’d propose to Bavarians to issue unconditional joint German debt. Would they be ‘strong enough to accept it’?

[Michael Stollenwerk @mike_st]

@HannoLustig Math, holy math. Amen.

[Michael Stollenwerk @mike_st]

@HannoLustig If you marry a less financially well-off person and you don’t make a marriage contract, you need to check your math.

[Michael Stollenwerk @mike_st]

@robin_j_brooks @Sr_GomasII How long have you lived in Germany?

[Michael Stollenwerk @mike_st]

@robin_j_brooks Obvious robustness check. Also, TPI ‚caps‘ all Euro yields, no reason to exclude GR, IT, SP.

[Michael Stollenwerk @mike_st]

@robin_j_brooks