Aktuelle Forschungspapiere
Papers under revision
- Robust inference under time-varying volatility: A real-time evaluation of professional forecasters (with Matei Demetrescu and Christoph Hanck, 2nd revision submitted to the Journal of Applied Econometrics)
Research papers
- A robust evaluation of macro-financial predictive content for realized volatility
- Investigating bubbles in commodity prices by market expectations and determinants of dynamic persistence (with Tam Nguyen-Huu and Christoph Wegener)
- Improved and extended nowcasting techniques for financial volatility (with Yuze Liu)
- Testing distributional assumptions in time-varying location-scale models (with Matei Demetrescu)
- Trouble with the bubble? Risk management in an explosive environment (with Dominique Guegan and Christoph Wegener)
- Regime-specific exchange rate predictability and the role of uncertainty (with Joscha Beckmann)
- Discriminating between true and spurious long memory processes: A new test based on non-linear transformations (with Niels Haldrup)