| Publications in Refereed Journals |
|
| 2012 |
Least Squares
Inference on Integrated Volatility and the Relationship between
Efficient Prices and Noise, (citation
BibTeX, link to
working paper version), Journal of Business & Economic Statistics, 30 (1), 94-108; (Web-Appendix); joint work with Valeri Voev. |
| 2012 |
A Detailed
Investigation of the Disposition Effect and Individual Trading Behavior: A Panel
Survival Approach, (citation BibTeX, link to
working paper version), |
| 2012 |
How do Individual Investors
Trade? (citation BibTeX, link to
working paper version),
European Journal of Finance, (forthcoming); joint work with Sandra Nolte. |
| 2011 |
Trading Dynamics on the Foreign
Exchange Market: A Latent Factor Panel Intensity Approach, (citation
BibTeX, link to
working paper version),
Journal of Financial Econometrics, 9, 685-716; (Web-Appendix); joint work with Valeri Voev. |
| 2011 |
Cross Hedging Under Multiplicative Basis Risk, (citation
BibTeX, link to
working paper version), Journal of Banking and Finance, 35, 2956-2964; joint work with Axel Adam-Mueller. |
| 2011 |
Improved Inference in
Regression with Overlapping Observations, (citation
BibTeX, link to
working paper version),
Journal of Business Finance and Accounting, 38, 657-683; joint work with Mark Britten-Jones and Anthony Neuberger. |
| 2011 |
An Inflated Multivariate Integer Count Hurdle Model: An Application to Bid and Ask
Quote Dynamics,
(citation BibTeX, link to working paper version),
|
| 2008 |
Modelling a Multivariate Transaction Process,
(citation BibTeX, link to working paper version),
|
| 2007 |
Using Forecasts of Forecasters to Forecast,
(citation BibTeX, link to working paper version),
International Journal of Forecasting, 23, 15-28; joint work with Winfried Pohlmeier. |
| 2006 |
Modelling Financial Transaction Price Movements: A Dynamic Integer
Count Data Model,
(citation BibTeX, link to working paper version),
|
| Chapters in Books |
|
| 2008 |
A Multivariate Integer Count Hurdle Model: Theory and Application to
Exchange Rate Dynamics, (citation
BibTeX, link to
working paper version), in: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics, Studies in Empirical Economics, 31-48, Springer, Berlin; joint work with Katarzyna Bien, Winfried Pohlmeier. |
| 2008 |
Modelling Financial Transaction Price Movements: A Dynamic Integer
Count Data Model,
(citation BibTeX, link to working paper version),
in: L. Bauwens, W. Pohlmeier & D. Veredas (eds.), Recent Developments in High Frequency Financial Econometrics, Studies in Empirical Economics, 167-197, Springer, Berlin; joint work with Roman Liesenfeld and Winfried Pohlmeier. Reprint from Empirical Economics, 2006, 30(4), 795-825. |