Published and forthcoming articles
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
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 and work in progress
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. TI Discussion Paper No. 18-100/IV: link.
Networking the Yield Curve, with Tatjana Dahlhaus and Tatevik Sekhposyan. Winner of 2018 ECB Lamfalussy Fellowship.
Time-Varying Vector Autoregressive Models with Structural Dynamic Factors, with Siem Jan Koopman and Paolo Gorgi.
Dynamic² clustering of high-dimensional multivariate panel data, with André Lucas and Bernd Schwaab.
Financial integration and business cycle synchronization, with Hannes Boehm and Lena Tonzer.