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
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
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.