Modeling Realized Covariance Measures with Heterogeneous Liquidity: A Generalized Matrix-Variate Wishart State-Space Model (2021, with J.P. Hartkopf), accepted manuscript: Journal of Econometrics.
Modeling and Forecasting Realized Portfolio Weights, Journal of Banking & Finance, (2021), (with V. Golosnoy). (link)
Sample and Realized Minimum Variance Portfolios: Estimation, Statistical Inference, and Tests, WIREs Computational Statistics, (2021), (with V. Golosnoy and M.I. Seifert). (link)
Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach Journal of Forecasting, (2020), 40(5), 883-910, (with T. Eckernkemper). (link)
Classical and Bayesian Inference for Income Distributions using Grouped Data, Oxford Bulletin of Economics and Statistics, (2020), 83(1), (with T. Eckernkemper). (link)
Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices, Quantitative Finance, (2019), 5, 799-821, (with M. Stollenwerk). (link)
Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns, Journal of Empirical Finance, (2019), 55, 1-20 (with J.P. Hartkopf, Roman Liesenfeld). (link)
A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns, Journal of Financial Econometrics, (2019), 19, 496-530 (with J. Bekierman) (link)
Exponential Smoothing of Realized Portfolio Weights, Journal of Empirical Finance, (2018), 53, 222-237 (with V. Golosnoy, M.I. Seifert) (link)
A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility, Empirical Economics, (2017), 1-31 (link)
Multivariate Wishart Stochastic Volatility and Changes in Regime, Advances in Statistical Analysis, (2016), 100, 4, 443–473 (link)
Estimating Stochastic Volatility Models Using Realized Measures, Studies in Nonlinear Dynamics & Econometrics, (2016), 20, 3, 279-300, (with J. Bekierman) (link)
Intra-daily volatility spillovers in international stock markets, Journal of International Money and Finance, (2015), 53, 9-114 (with V. Golosnoy, R. Liesenfeld). (link)
The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility, Journal of Econometrics, (2012), 167, 211-223 (with V. Golosnoy, R. Liesenfeld). (link).