Working Papers

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, Harald Lohre and Ingmar Nolte.
2020 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.
2020 A Generalized Heterogeneous Autoregressive Model using the Market Index Working Paper, Lancaster University Management School;
joint work with Rodrigo Hizmeri, Marwan Izzeldin and Vasileios Pappas.
2020 Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow Sensitivity?, Working Paper, Lancaster University Management School;
joint work with Shushu Liao and Grzegorz Pawlina. 
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.