| Working Papers |
|
| 2019 |
A
Descriptive Study of High-Frequency Trade and Quote Option Data,
Working Paper,
Lancaster University Management School; joint work with Torben Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Sergey Nasekin, Manh Cuong Pham, Stephen Taylor and Viktor Todorov. |
| 2019 |
Renewal
Based Volatility Estimation, Working Paper, Lancaster University
Management School; joint work with Yifan Li and Sandra Nolte. |
| 2019 |
Estimating Portfolio Risk for Tail
Risk Protection Strategies, Working Paper,
Lancaster University Management School; joint work with David Happersberger and Harald Lohre. |
| 2018 |
High-Frequency Covariance Matrix Estimation Using Price Durations,
Working Paper, Lancaster University
Management School; joint work with Stephen J. Taylor and Xiaolu Zhao. |
| 2018 |
High-Frequency Volatility Modelling:
A Markov-Switching Autoregressive Conditional Intensity Model,
Working Paper,
Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2018 |
Can Capital Adjustment Costs Explain the Decline in Investment-Cash Flow
Sensitivity?, Working Paper, Lancaster University Management School; joint work with Shushu Liao and Grzegorz Pawlina. |
| 2018 |
More Accurate Volatility Estimation
and Forecasts Using Price Durations,
Working Paper, Lancaster University
Management School; joint work with Stephen J. Taylor and Xiaolu Zhao. |
| 2018 |
High-Frequency Volatility Estimation and the Relative Importance of Market
Microstructure Variables: An Autoregressive Conditional Intensity Approach,
Working Paper,
Lancaster University Management School; joint work with Yifan Li and Sandra Nolte. |
| 2017 |
All Things both Great and Small: Transaction Cost Persistence in Corporate
Bonds, Working Paper, Lancaster University Management School; joint work with Redouane Elkamhi and Jonatan Groba. |
| 2017 |
A Least Squares Regression Realised
Covariation Estimation under MMS Noise and Non-Synchronous Trading,
Working Paper, Lancaster University Management School; joint work with Michalis Vasios, Valeri Voev and Qi Xu. (Web-Appendix) |
| 2016 |
Dissecting Volatility Risks in Currency Markets, Working Paper,
Lancaster University
Management School; joint work with Qi Xu and Mark Taylor. |
| 2015 |
Uncovering the Benefit of
High-Frequency Data in Portfolio Allocation, Working Paper, Lancaster University
Management School; joint work with Qi Xu. |
| 2013 |
Profiting from Mimicking Strategies
in Non-Anonymous Markets, Working Paper, Warwick Business School; joint work with Richard Payne and Michalis Vasios. |
| 2013 |
An MCMC Approach to Multivariate
Density Forecasting: An Application to Liquidity, Working Paper, Warwick Business School; joint work with Fabian Krueger. |
| 2011 |
Where Do the Joneses Go on Vacation?
Social Distance and the Influence of Online Reviews on Product Sales,
Working Paper, Warwick Business School; joint work with Leif Brandes and Sandra Nolte. |
| 2009 |
Customer Trading in the Foreign Exchange Market: Empirical Evidence from an
Internet Trading Platform, FERC Working Paper
09-01, Warwick Business School; |
| 2007 |
Estimating High-Frequency Based (Co-)
Variances: A Unified Approach, CoFE Working Paper 07/07,
University of Konstanz; |
| 2006 |
Estimating Liquidity Using Information
on the Multivariate Trading Process, Working Paper, University of
Konstanz; joint work with Katarzyna Bien and Winfried Pohlmeier. |