| Books | |
| 2010 | Measurement Error in Nonlinear Models: An Application to Disclosure Limitation Techniques, Applied Econometrics, LIT Verlag Muenster, Germany. |
| Publications in Refereed Journals | |
| forthcoming | Why do equally weighted portfolios beat the value-weighted ones?, (citation BibTeX, link to working paper version), The Journal of Portfolio Management; joint work with Alexander Swade, Mark Shackleton and Harald Lohre. |
| 2024 | Transaction Cost-Optimized Equity Factors Around the World (citation BibTeX, link to working paper version), The Journal of Portfolio Management; 50 (6); 40-73; joint work with Filip Basic, Harald Lohre, Alberto Martin-Utrera and Ingmar Nolte. |
| 2024 | Factor Timing with Portfolio Characteristics, (citation BibTeX, link to working paper version), Review of Asset Pricing Studies; 14 (1); 84-118; joint work with Anastasios Kagkadis, Ingmar Nolte and Nikolaos Vasilas. |
| 2022 | Macro Factor Investing with Style, (citation BibTeX, link to working paper version), The Journal of Portfolio Management; 48(2), 80-104; joint work with Alexander Swade, Mark Shackleton, Harald Lohre, Scott Hixon and Jay Raol. |
| 2021 | High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model, (citation BibTeX, link to working paper version), Journal of Economic Dynamics and Control; 124, 104077; joint work with Yifan Li and Ingmar Nolte. |
| 2019 | What Determines Forecasters’ Forecasting Errors, (citation BibTeX, link to working paper version), International Journal of Forecasting, 35 (1), 11-24; joint work with Ingmar Nolte and Winfried Pohlmeier. |
| 2017 | Diversifying away the Risk of War and Cross-Border Political Crisis (citation BibTeX, link to working paper version), Energy Economics, 64, 494–510; joint work with Ayman Omarf and Tomasz Wisniewski. |
| 2016 | The Information Content of Retail Investors’ Order Flow, (citation BibTeX, link to working paper version), European Journal of Finance, 22 (2), 80-104; joint work with Ingmar Nolte. |
| 2015 | The Dimensions and Locations of High Performance Work Systems: Fresh Evidence from the UK Commission’s 2011 Employer Skills Survey, (citation BibTeX), Human Resource Management Journal, 25(2), 166–183; joint work with Stephen Wood, Mark Burridge, Daniela Rudloff and William Green. |
| 2014 | Sell-Side Analysts’ Career Concerns during Banking Stresses, (citation BibTeX, link to working paper version), Journal of Banking and Finance, 49, 424-441; joint work with Ingmar Nolte and Michalis Vasios. |
| 2012 | How do Individual Investors Trade? (citation BibTeX, link to working paper version), European Journal of Finance, 18 (9-10), 921-947; joint work with Ingmar Nolte. |
| 2008 | Make Assurance Double Sure: Combination of Two Disclosure Limitation Methods and estimation of General Regression Models, (link to working paper version), ASTA Advances in Statistical Analysis, 92(4), 405-422; joint work with Anton Flossmann. |
| 2008 | Perturbation by Multiplicative Noise and the Simulation Extrapolation Method, (link to working paper version), ASTA Advances in Statistical Analysis, 92(4), 375-389; joint work with Elena Biewen and Martin Rosemann. |
| 2007 | Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains, (link to working paper version), British Journal of Political Science, 37, 281-312; joint work with Thomas Koenig, Björn Lindberg and Winfried Pohlmeier. |
| 2005 | Data Masking by Noise Addition and the Estimation of Nonlinear Regression Models, (link to working paper version), Journal of Economics and Statistics, 225(5), 517-528; joint work with Winfried Pohlmeier. |
| Chapters in Books | |
| 2014 | How do Individual Investors Trade? (citation BibTeX, link to working paper version), in: I. Nolte, M. Salmon & C. Adcock (eds.): High Frequency Trading and Limit Order Book Dynamics, Routledge; 1st edition; Reprint from European Journal of Finance, 2012, 18 (9-10), 921-947; joint work with Ingmar Nolte. |
| 2007 | Ökonometrische Analyse mit anonymisierten Mikrodaten, in Zwick, M. and J. Merz: MITAX – Mikroanalysen und Steuerpolitik, 183-193, Statistisches Bundesamt, Band 7, Wiesbaden; joint work with Winfried Pohlmeier. |
| 2006 | Combining Blanking and Noise Addition as a Data Disclosure Limitation Method, (link to working paper version), in Domingo-Ferrer, J. and Franconi, L: Privacy in Statistical Databases, 152-163, Springer Verlag Lecture Notes in Computer Science, LNCS 4302; joint work with Anton Flossmann. |
| 2004 | To Blank or not to Blank? A Comparison of the Effects of Disclosure Limitation Methods on nonlinear Regression estimates, (link to working paper version), in Domingo-Ferrer, J. und Torra, V: Privacy in Statistical Databases, 187-200, Springer Verlag Lecture Notes in Computer Science, LNCS 3050; joint work with Winfried Pohlmeier. |
| 2003 | Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten, in Gnoss R. and G. Ronning: Anonymisierung wirtschaftsstatistischer Einzelndaten, 115-137, Forum der Bundesstatistik, Band 42, Wiesbaden, 2003 |
| Reports | |
| 2013 | High Performance Working in the Employer Skills Surveys, Report for the UK Commission of Employment and Skills; joint work with Stephen Wood, Mark Burridge, William Green, and Daniela Rudloff, Aoife Ni Luanaigh (Senior Research Manager) http://www.ukces.org.uk/publications/er71-hpw-in-the-employer-skills-surveys |