Published and forthcoming articles
Dynamic clustering of multivariate panel data, with Igor Custodio João, André Lucas and Bernd Schwaab. Journal of Econometrics, in press. link. Tinbergen Working Paper version: link
Dynamic nonparametric clustering of multivariate panel data, with Igor Custodio João, André Lucas, and Bernd Schwaab. Journal of Financial Econometrics, forthcoming. Tinbergen Institute Discussion Paper No. 21-040/III: 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. recent version: 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. recent version: 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
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.
Networking the Yield Curve, with Tatjana Dahlhaus and Tatevik Sekhposyan. Winner of an ECB Lamfalussy Fellowship in 2018. ECB Working paper No. 2532: link.
Joint modelling and estimation of global and local cross-sectional dependence in large panels, with Quint Wiersma and Siem Jan Koopman. TI Discussion Paper No. 21-008/III: link.
Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors, with Siem Jan Koopman and Paolo Gorgi. TI Discussion Paper No. 21-056/III: link.
Self-driving neural networks for yield curve modelling, with Marcin Zamojski.
A Recursive-Design Residual Block Bootstrap for Semi-Strong GARCH processes, with Eric Beutner and Barend Spanjers.
Growth-at-Risk forecasting using sequence-to-sequence neural networks, with Lukas Hoesch and Sicco Kooiker.
Predicting volatility using optimal combinations of realized measures, with Paolo Gorgi and Rolf Steenmetser.
Google Scholar: link
Web of Science: link