Research

Publications

  • Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models, (2017), , Journal of Banking and Finance, coauthored by Paulo Rodrigues (University Maastricht) and Andreas Kaeck (University of Sussex), https://doi.org/10.1016/j.jbankfin.2017.06.010

  • 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), https://doi.org/10.1016/j.jempfin.2017.03.004

  • 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), https://doi.org/10.1016/j.jbankfin.2017.02.003

  • 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, http://dx.doi.org/10.1080/07350015.2014.922471

  • 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

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

  • 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), under submission

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

  • Anticipated Uncertainty, Earnings Announcements and Equity Options: coauthored by Andrew Dubinsky (Goldman Sachs), Michael Johannes (Columbia Business School) and Andreas Kaeck (University of Sussex), under submission

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)

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

Permanent Working Papers

  • 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.