• Anticipated Uncertainty, Earnings Announcements and Equity Options (2018), Review of Financial Studies, coauthored by Andrew Dubinsky (Goldman Sachs), Michael Johannes (Columbia Business School) and Andreas Kaeck (University of Sussex), accepted for publication

  • Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns (2018), Journal of Economic Dynamics & Control, coauthored by Paulo Rodrigues (University Maastricht) and Andreas Kaeck (University of Sussex),

  • Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models, (2017),  Journal of Banking and Finance, Volume 83, 85-103 coauthored by Paulo Rodrigues (University Maastricht) and Andreas Kaeck (University of Sussex),

  • Displaced Relative Changes in Historical Simulation: Application to Risk Measures of Interest Rates with Phases of Negative Rates, (2017), Journal of Empirical Finance, Volume 42, 175-198, coauthored by Christian Fries (LMU Munich) and Tobias Nigbur (University of St. Gallen),

  • Network, market, and book-based systemic risk rankings, (2017), Journal of Banking and Finance, Volume 78, May, 84-90, coauthored by Michiel C.W. van de Leur and André Lucas (VU Amsterdam),

  • Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices”, (2015), Journal of Business & Economic Statistics, Volume 33, Number 1, 68-75, co-authored by Paulo Rodrigues, Katja Ignatieva,

  • Hedging Under Model Mis-Specification: All Factors are Equal, But Some are More Equal than Others …”, (2012), Journal of Futures Markets, Vol. 32, No. 5, 397-430, co-authored by Nicole Branger, Eva Krautheim, Christian Schlag, doi:10.1002/fut.20530

Working Papers

  • VIX Derivatives, Hedging and Vol-of-Vol Risk: coauthored by Andreas Kaeck (University of Sussex), under submission

  • A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks: coauthored by Alessandro Pollastri (University Maastricht), Paulo Rodrigues (University Maastricht) and Christian Schlag (Goethe University Frankfurt), revise and resubmit Journal of Empirical Finance

  • Modeling Volatility of Oil Commodity Futures: coauthored by Michael Johannes (Columbia Business School) and Jonathan Stroud (George Washington University)

Work in Progress

  • Option Liquidity in the Cross Section of Options: coauthored by Vincent van Kervel (Pontificia Universidad Catlica de Chile), Paulo Rodrigues (University Maastricht)

  • An Empirical Analysis of Option Implied Recovery: coauthored by Paulo Rodrigues (University Maastricht) and Andreas Kaeck (University of Sussex)

  • Exchange Rates Explained by World Components: coauthored by Adrien Verdelhan (MIT), Andreas Kaeck (University of Sussex)

  • Oil Commodity Futures and the Impact on Fundamentals: coauthored by Lars Loechster (Columbia Business School), Tarun Ramadorai (Oxford University)

Permanent Working Papers

  • Industry Momentum Reloaded: coauthored by Frode Brevik (VU University Amsterdam)

  • Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options, 2012.

  • Does the Institutionalization of Derivatives Trading Spur Economic Growth?:  coauthors by Paulo Rodrigues (University Maastricht), Claudia Schwarz, 2012.

  • Hedging Options in Illiquid Markets: coauthor by Burkart Mönch, 2011.