Publications

• GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests, forthcoming Journal of Banking and Finance (with Nora Laurinaityte, Christoph Meinerding, and Julian Thimme)

• Non-substitutable consumption growth risk, forthcoming Management Science (with Robert F. Dittmar and Julian Thimme)

• The Leading Premium, Review of Financial Studies (36), 2023, 2997-3033 (with Max Croce and Tatyana Marchuk)

• A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks, Journal of Empirical Finance (70), 2023, 322-341 (with Alessandro Pollastri, Paulo Rodrigues, and Norman Seeger)

• Extreme Inflation and Time-Varying Expected Consumption Growth, Management Science (69), 2023, 2972-3002 (with Ilya Dergunov and Christoph Meinerding) 

• Momentum-Managed Equity Factors, forthcoming Journal of Banking and Finance (with Volker Flögel and Claudia Zunft) 

• Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models, Management Science (67), 2021, 7932-7950 (with Michael Semenischev and Julian Thimme) 

• Equilibrium Asset Pricing in Directed Networks, Review of Finance (25), 2021, 777-818 (with Nicole Branger, Patrick Konermann, and Christoph Meinerding) 

• Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach, Computational Economics (58), 2021, 347-394 (with Michael Donadelli, Marcus Jüppner, and Antonio Paradiso) 

• Implied Volatility Duration and The Early Resolution Premium, Journal of Financial Economics (140), 2021, 127-144 (with Julian Thimme and Rüdiger Weber) 

• The Collateralizability Premium, Review of Financial Studies (35), 2020, 5821-5855 (with Hengjie Ai, Kai Li, and Jun Li)

• Optimists and Pessimists in (In-)Complete Markets, Journal of Financial and Quantitative Analysis (55), 2020, 2466-2499 (with Nicole Branger and Patrick Konermann)

• Horizontal Industry Relationships and Return Predictability, Journal of Empirical Finance (53), 2019, 310-330 (with Kailin Zeng)

• Volatility-of-Volatility Risk, Journal of Financial and Quantitative Analysis (54), 2019, 2423-2452 (with Darien Huang, Ivan Shaliastovich, and Julian Thimme).

• Level and Slope of Volatility Smiles in Long-Run Risk Models, Journal of Economic Dynamics and Control (86), 2018, 95-122 (with Niocle Branger and Paulo Rodrigues).

• Temperature Shocks and Welfare Costs, Journal of Economic Dynamics and Control (82), 2017, 331-355 (with Michael Donadelli, Marcus Jüppner, and Max Riedel).

• 'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogenous Investors Exhibit Different Kinds of Filtering Errors, Journal of Economic Dynamics and Control (61), 2015, 303-333 (with Nicole Branger and Lue Wu).

• Hedging Under Model Mis-Specification: All Factors are Equal, But Some are More Equal than Others, Journal of Futures Markets (5), 2012, 397-430 (with Nicole Branger, Eva Krautheim, and Norman Seeger).

• Pricing Two Heterogeneous Trees, Journal of Financial and Quantitative Analysis (46), 2011, 1437-1462 (with Nicole Branger and Lue Wu).

• Discrete-Time Implementation of Continuous-Time Portfolio Strategies, European Journal of Finance (16), 2010, 137-152 (with Nicole Branger and Beate Breuer).

• Optimal Derivatives Strategies with Discrete Rebalancing, Journal of Derivatives (16), 2008, 67-84. (with Nicole Branger and Beate Breuer).

• Optimal Portfolios When Volatility can Jump, Journal of Banking and Finance (32), 2008, 1087-1097 (with Nicole Branger and Eva Krautheim).

• Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?, Journal of Financial and Quantitative Analysis (43), 2008,1055-1090 (with Nicole Branger).

• Discussion of "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices", sbr Schmalenbach Business Review (60), 2008, 249-250.

• Option betas: risk measures for options, International Journal of Theoretical and Applied Finance (10), 2007, 1137-1157 (with Nicole Branger).

• Measuring Financial Integration via Idiosyncratic Risk: What Effects Are We Really Picking Up?, Journal of Money, Credit and Banking (39), 2007, 1267-1273 (with David Parsley).

• Price Impacts of Options Volume, Journal of Financial Markets (8), 2005, 69-87 (with Hans Stoll).

• Internationally Cross-Listed Stock Prices during Overlapping Trading Hours: Price Discovery and Exchange Rate Effects, Journal of Empirical Finance (12), 2005, 139-164 (with Joachim Grammig and Michael Melvin).

• Attainability of European Path Independent Claims in Incomplete Markets, Finance Research Letters (1), 2004, 190-195 (with Nicole Branger and Angelika Esser).

• Why Is the Index Smile So Steep?, Review of Finance (8), 2004, 109-127 (with Nicole Branger).

• Money-Back Guarantees in Individual Pension Accounts: Evidence from the German Pension Reform, in: Mitchell, Olivia; Smetters, Kent: The Pension Challenge: Risk Transfers and Retirement Income Security, Oxford, 2003, 187-214 (with Raimond Maurer).

• An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany, Global Finance Journal (10), 1999, 35-52 (with Austin Murphy).

• An explorative investigation of intraday trading on the German stock market, Financial Markets and Portfolio Management (12), 1998, 13-31 (with Tobias Kirchner).

• Expiration Day Effects of Stock Index Derivatives in Germany, European Financial Management (2), 1996, 69-95.

• Return Variances of Selected German Stocks, Statistical Papers (32), 1991, 353-361.

            You can find my publications in German here.