| 2024 | The Impact of Misleading Corporate Communication on Stock Performance, Working Paper, Lancaster University Management School; joint work with Lewei He, Harald Lohre and Chelsea Yao. |
| 2024 | The risk of falling short: Implementation Shortfall variance in portfolio construction, Working Paper, Lancaster University Management School; joint work with Filip Basic, Alberto Martin-Utrera and Sandra Nolte. |
| 2024 | Decoupling Interday and Intraday Volatility Dynamics with Price Durations, Working Paper, Lancaster University Management School; joint work with Yifan Li, Sandra Nolte and Shifan Yu. |
| 2024 | A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation, Working Paper, Lancaster University Management School; joint work with Ekaterina Kazak, Yifan Li and Sandra Nolte. |
| 2024 | Power Sorting, Working Paper, Lancaster University Management School; joint work with Anastasios Kagkadis, Harald Lohre, Sandra Nolte and Nikolaos Vasilas. Best Paper Award: Chicago Quantitative Alliance 30th Annual Academic Competition. |
| 2024 | Realized Candlestick Wicks, Working Paper, Lancaster University Management School; joint work with Yifan Li, Sandra Nolte and Shifan Yu. |
| 2024 | Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times, Working Paper, Lancaster University Management School; joint work with Yifan Li, Sandra Nolte and Shifan Yu. |
| 2022 | The Maximal Range-Return Divergence Statistic, Working Paper, Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2021 | Volatility Estimation and Sampling Efficiency: An Intrinsic Time Approach, Working Paper, Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2021 | Combining expected shortfall and value-at-risk forecasts using machine learning techniques, Working Paper, Lancaster University Management School; joint work with David Happersberger, Harald Lohre and Maximilian Stroh. |
| 2021 | The relevance of high-frequency news analytics for lower-frequency investment strategies, Working Paper, Lancaster University Management School; joint work with David Happersberger and Harald Lohre. |
| 2021 | Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps, Working Paper, Lancaster University Management School; joint work with Rodrigo Hizmeri and Marwan Izzeldin. |
| 2019 | Renewal Based Volatility Estimation, Working Paper, Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2018 | High-Frequency Covariance Matrix Estimation Using Price Durations, Working Paper, Lancaster University Management School; joint work with Stephen J. Taylor and Xiaolu Zhao. |
| 2018 | High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables: An Autoregressive Conditional Intensity Approach, Working Paper, Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2017 | A Least Squares Regression Realised Covariation Estimation under MMS Noise and Non-Synchronous Trading, Working Paper, Lancaster University Management School; joint work with Michalis Vasios, Valeri Voev and Qi Xu; (Web-Appendix). |
| 2016 | Dissecting Volatility Risks in Currency Markets, Working Paper, Lancaster University Management School; joint work with Qi Xu and Mark Taylor. |
| 2015 | Uncovering the Benefit of High-Frequency Data in Portfolio Allocation, Working Paper, Lancaster University Management School; joint work with Qi Xu. |
| 2013 | Profiting from Mimicking Strategies in Non-Anonymous Markets, Working Paper, Warwick Business School; joint work with Richard Payne and Michalis Vasios. |
| 2013 | An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity, Working Paper, Warwick Business School; joint work with Fabian Krueger. |
| 2011 | Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales, Working Paper, Warwick Business School; joint work with Leif Brandes and Sandra Nolte. |
| 2009 | Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform, FERC Working Paper 09-01, Warwick Business School; joint work with Sandra Lechner. |
| 2007 | Estimating High-Frequency Based (Co-) Variances: A Unified Approach, CoFE Working Paper 07/07, University of Konstanz; joint work with Valeri Voev. |
| 2006 | Estimating Liquidity Using Information on the Multivariate Trading Process, Working Paper, University of Konstanz; joint work with Katarzyna Bien and Winfried Pohlmeier. |