Published and forthcoming articles

Bank business models at zero interest rates, with André Lucas and Bernd Schwaab, Journal of Business & Economic Statistics, accepted. 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

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 and work in progress

Fire-sale channels, portfolio overlap networks and the credit spread puzzle, with Dieter Wang and Iman van Lelyveld.

Estimating time-varying coefficient VAR models with dynamic factors, with Siem Jan Koopman and Paolo Gorgi.

Regulatory change and financial-real spillovers, with Kirstin Hubrich and Siem Jan Koopman.


Google Scholar: link
SSRN: link