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
Accounting for Missing Values in Score-Driven Time-Varying Parameter Models (with André Lucas and Anne Opschoor), Economics Letters, 148, November 2016, pp. 96–98. link. Tinbergen Working Paper version: link
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
Bank business models at zero interest rates (with André Lucas and Bernd Schwaab), Tinbergen Institute Discussion Paper No. 16-066/IV. link
Do negative interest rates make banks less safe? (with André Lucas, Federico Nucera, and Bernd Schwaab), Tinbergen Institute Discussion Paper No. 17-041/IV. link
Financial contagion through portfolio overlap and interbank lending (with Dieter Wang and Iman van Lelyveld).
Estimating time-varying VAR models with dynamic factors (with Siem Jan Koopman).
Regulatory change and financial-real spillovers (with Kirstin Hubrich and Siem Jan Koopman).