Publications

Multi-period credit default prediction - A Survival Analysis approach. Dissertation, Shaker Verlag, 2012

Default Probability Estimation in Small Samples - with an Application to Sovereign Bonds. Quantitative Finance, to appear (DOI: 10.1080/14697688.2013.792436, published online: 26 Jun 2013).[Paper as .PDF]

Multi-Period Credit Default Prediction with Time-Varying Covariates. Journal of Empirical Finance, Vol. 21, March 2013, pp. 214-222. [Paper as .PDF]

The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference. International Journal of Forecasting, 2012, Vol. 28, pp. 288-296. [Working paper version as .PDF]

Liquidity and the Dynamic Pattern of Price Adjustment: A Global View (with A. Belke and R. Setzer). Journal of Banking & Finance, 2010, Vol. 34, No. 8, pp. 1933-1945.

Global Liquidity and Asset Prices Revisited (with A. Belke, I. Bordon and T. Hendricks). Institutional Investor's Guide to Global Liquidity II, Spring 2010, pp. 29-39.

Sowing the Seeds for the Subprime Crisis: Does Global Liquidity Matter for Housing and other Asset Prices? (with A. Belke and R. Setzer) International Economics & Economic Policy, 2008, Vol. 5, No. 4, pp. 403-424.

Cash Settlement - An Example. In: Gregoriou (ed.): Encyclopedia of Alternative Investments, CRC Press, 2008.