Publications

• „Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall“, Journal of Financial Econometrics, (2018), 16(1): 63-117. (Link) 

• „Classical and Bayesian Inference for Income Distributions using Grouped Data", Oxford Bulletin of Economics and Statistics, (2021, with B. Gribisch), 83(1): 32-65. (Link) 

• „Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach", Journal of Forecasting, (2021, with B. Gribisch), 40(5): 883-910. (Link) 

Dissertation

• "Distributional Modeling of Financial Systemic Risk and Income Data" (2019)

Presentations

• Verein für Socialpolitik (VfS) Annual Conference, Vienna, Austria, September 03-06, 2017. 

•  70th European Meeting of the Econometric Society (ESEM), Lisbon, Portugal, August 21-25, 2017. 

•  9th International Conference on Computational and Financial Econometrics (CFE), London, UK, December 12-14, 2015. 

•  International Association for Applied Econometrics (IAAE) Annual Conference, Thessaloniki, Greece, June 25-27, 2015. 

•  Statistische Woche, Hannover, Germany, September 16-19, 2014. 

Field of research

• Financial Econometrics

• Systemic Risk

• Credit Risk

• Copulas and Dependence Modeling

• Income Distributions

Teaching