Published and forthcoming articles

Increased persistence of warm and wet winter weather in recent decades in north-western Europe, with Barend Spanjers, Eric Beutner, and Dim Coumou, Communications Earth & Environment, 2025, 6, 1, 760. link.

Evaluation of molecular detection for respiratory syncytial viruses in World Health Organization Europe region laboratories, 2020-2023, with Lance Presser, Amani Yousef, Elaine McCulloch, and Adam Meijer. Journal of Clinical Virology, 2025, 105832. link.

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors, with Siem Jan Koopman and Paolo Gorgi. Journal of Econometrics, 244(2), 2024, 105750. link. TI Discussion Paper No. 21-056/III: link.

Dynamic nonparametric clustering of multivariate panel data, with Igor Custodio João, André Lucas, and Bernd Schwaab. Journal of Financial Econometrics, 22(2), 2024, pp. 335–374. link. Tinbergen Institute Discussion Paper No. 21-040/III: link.

Dynamic clustering of multivariate panel data, with Igor Custodio João, André Lucas and Bernd Schwaab. Journal of Econometrics, 237(2), 2023, 105281. link. Tinbergen Working Paper version: link

Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe, with Hannes Boehm and Lena Tonzer. IMF Economic Review, 70, 2022, pp. 698–734. link. Tinbergen Institute Discussion Paper No. 20-008/III, link.

Bank business models at zero interest rates, with André Lucas and Bernd Schwaab, Journal of Business & Economic Statistics, 37(3), 2019, pp. 542-555. link. ECB Working Paper No 2084: link

Do negative interest rates make banks less safe? with André Lucas, Federico Nucera, and Bernd Schwaab, Economics Letters, 159, 2017, pp. 112-115. link. ECB Working Paper No 2098: link

Spillover dynamics for systemic risk measurement using spatial financial time series models, with Francisco Blasques, Siem Jan Koopman, and André Lucas, Journal of Econometrics, 195(2), 2016, pp.211–223. link.  recent version: pdf, web appendix

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models, with André Lucas and Anne Opschoor, Economics Letters, 148, 2016, pp. 96–98. link. Tinbergen Working Paper version: link

Beyond dimension two: A test for higher-order tail risk, with Carsten Bormann and Melanie Schienle, Journal of Financial Econometrics, 14(3), 2016, pp.  552–580. link. recent version: pdf
Winner of the 2019 Engle Prize.

Financial Network Systemic Risk Contributions, with Nikolaus Hautsch and Melanie Schienle, Review of Finance, 19(2), 2015, pp. 685–738. link. recent version: pdf

Forecasting systemic impact in financial networks, with Nikolaus Hautsch and Melanie Schienle, International Journal of Forecasting, 30, 2014, pp. 781–794. link. recent version: pdf

Predicting extreme Value at Risk: Nonparametric quantile regression with refinements from extreme value theory, Computational Statistics & Data Analysis 56(12), 2012, pp. 4081-4096. link. recent version: pdf

Working papers

Clustering extreme value indices in large panels, joint with Chenhui Wang, Juan Juan Cai, and Yicong Lin. TI Discussion Paper No. 25-029/III: link.

Bootstrapping GARCH Models Under Dependent Innovations, with Eric Beutner and Barend Spanjers. TI Discussion Paper No. 2024-008/III: link.

Networking the Yield Curve, with Tatjana Dahlhaus and Tatevik Sekhposyan. Winner of an ECB Lamfalussy Fellowship in 2018. ECB Working paper No. 2532: link.

Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence, with Quint Wiersma and Siem Jan Koopman. TI Discussion Paper No. 21-008/III: link.

Do information contagion and business model similarities explain bank credit risk commonalities? with Dieter Wang and Iman van Lelyveld. DNB Working Paper No. 619: link. Tinbergen Institute Discussion Paper No. 18-100/IV: link.

Smooth marginalized particle filters for dynamic network effects models, with Dieter Wang. Tinbergen Institute Discussion Paper No. 20-023/III: link.

Ongoing work

Self-driving neural networks for yield curve modelling, with Sicco Kooiker, Marcin Zamojski, and Janneke van Brummelen.

Tensor autoregressions with time-varying parameters, with Quint Wiersma.

Increased persistence in temperature anomalies intensifies global warming trends, with Barend Spanjers, Eric Beutner, and Dim Coumou.

R package TVP-VAR, with Gijs Smeets and Lennart Hoogerheide. 

Estimating probabilities for extreme heatwaves in Europe: A multivariate EVT framework, with Chenhui Wang, Juan Juan Cai, and Yicong Lin.

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