Publications

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