| 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 Ingmar Nolte. |
| 2024 | Decoupling Interday and Intraday Volatility Dynamics with Price Durations, Working Paper, Lancaster University Management School; joint work with Yifan Li, Ingmar 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 Ingmar Nolte. |
| 2024 | Power Sorting, Working Paper, Lancaster University Management School; joint work with Anastasios Kagkadis, Harald Lohre, Ingmar Nolte and Nikolaos Vasilas. |
| 2024 | Realized Candlestick Wicks, Working Paper, Lancaster University Management School; joint work with Yifan Li, Ingmar 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 Ingmar 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. |
| 2020 | An Integrated Approach to Currency Factor Timing?, Working Paper, Lancaster University Management School; joint work with Ananthalakshmi Ranganathan, Harald Lohre and Houssem Braham. |
| 2019 | Renewal Based Volatility Estimation, Working Paper, Lancaster University Management School; joint work with Yifan Li and Ingmar Nolte. |
| 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 Ingmar Nolte. |
| 2016 | Entrepreneur’s Wealth, Firm Performance and Cost of Capital: A Bayesian Approach to the Capital Structure of Entrepreneurial Ventures; joint work with Andrea Moro and Alexandra Dias. |
| 2014 | Industry Survival Rate, Entrepreneur Historical Performance and Personal Wealth: A Probabilistic Model for Optimizing SMEs Capital Structure; joint work with Andrea Moro. |
| 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 Ingmar 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 Ingmar Nolte. |
| 2008 | Multiplicative Measurement Error and the Simulation Extrapolation Method, IAW-Diskussionspapier, N° 39; joint work with Elena Biewen and Martin Rosemann. |
| 2007 | The multiplicative Simulation Extrapolation Approach, Working Paper, University of Konstanz. |
| 2003 | Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten, University of Konstanz, CoFE Working Paper No 03/04; joint work with Winfried Pohlmeier. |
| 2003 | A modelisation of the anchoring effect in closed-ended questions with follow-up, University of Strasbourg, BETA Document de travail No 2003/07; joint work with Anne Rozan and Francois Laisney. |