Working Papers

 

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.
2023 Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures, Working Paper, Lancaster University Management School;
joint work with Yifan Li and Manh Cuong Pham; (Supplementary Material).
2022 The Maximal Range-Return Divergence Statistic, Working Paper, Lancaster University Management School;
joint work with Yifan Li and Sandra Nolte.
2022 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.
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.