Published and forthcoming articles
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
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
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.
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. Tinbergen Institute Discussion Paper No. 18-100/IV: link.
Dynamic clustering of multivariate panel data, with André Lucas and Bernd Schwaab. Tinbergen Institute Discussion Paper No. 20-009/III: link.
Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe, with Hannes Boehm and Lena Tonzer. Tinbergen Institute Discussion Paper No. 20-008/III, link. IWH Discussion Paper, No. 2, 2020: 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.
Time-Varying Vector Autoregressive Models with Structural Dynamic Factors, with Siem Jan Koopman and Paolo Gorgi.
Self-driving autoencoders for yield curve modelling, with Marcin Zamojski.