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Publikationen

  • Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices (2019, with M. Stollenwerk), accepted manuscript: Quantitative Finance.
  • Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns, Journal of Empirical Finance, (2019), (with J.P. Hartkopf, Roman Liesenfeld).
  • A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns, Journal of Financial Econometrics, (2019), (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, SSRN).