Refereed Journals

[30] Liquidity Tail Risk and Credit Default Swap Spreads, with F. Irresberger, J. Gabrysch and S. Gabrysch,
European Journal of Operational Research, forthcoming.

[29] Why Do Some Banks Contribute More to Global Systemic Risk?, with D. Bostandzic,
Journal of Financial Intermediation,
35 Part A, 17-40, 2018.

[28] Estimation Window Strategies for Value-at-Risk and Expected Shortfall Forecasting, with T. Berens and D. Ziggel,
Journal of Risk, forthcoming.

[27] Testing Asymmetry in Dependence with Copula-Coskewness, with A. Bücher and F. Irresberger,
North American Actuarial Journal, 21, 267-280, 2017.

[26] Size is everything: Explaining SIFI designations
, with C. Bierth and F. Irresberger,
Review of Financial Economics, 32, 7-19, 2017.

[25] Bank stock performance and bank regulation around the globe, with F. Irresberger and M. Pelster,
European Journal of Finance, 24, 77-113, 2018.

[24] Evaluating Value-at-Risk Forecasts: A New Set of Multivariate Backtests, with D. Wied and D. Ziggel,
Journal of Banking and Finance, 72, 121-132, 2016.

[23] Disclosed Derivatives Usage, Securitization, and the Systemic Equity Risk of Banks, with R. Trapp,
Journal of Banking and Finance, 71, 183-205, 2016.

[22] 
Smooth Nonparametric Bernstein Vine Copulas, with M. Scheffer,
Quantitative Finance, 17, 139-156, 2017
.

[21]
An order of asymmetry in copulas, and implications for risk management, with K.F. Siburg, K. Stehling, and P. Stoimenov,
Insurance: Mathematics and Economics
,
68, 241-247, 2016.

[20] Crisis Sentiment in the U.S. Insurance Sector, with F. Irresberger and F. König,
Journal of Risk and Insurance
, 84
, 1295-1330, 2017.

[19] Is Tail Risk Priced in Credit Default Swap Premia?, with C. Meine and H. Supper,
Review of Finance, 20, 287-336, 2016.


[18] Explaining Bank Stock Performance with Crisis Sentiment, with J. Mühlnickel and F. Irresberger,
Journal of Banking and Finance
,
59, 311-329, 2015.

[17] Do CDS spreads move with commonality in liquidity?, with C. Meine and H.Supper,
Review of Derivatives Research
, 18, 225-261, 2015.

[16] Consolidation and Systemic Risk in the International Insurance Industry, with J. Mühlnickel,
Journal of Financial Stability 15, 187-202, 2015.

[15] Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?, with T. Berens and D. Wied,
Journal of Empirical Finance 32, 135-152, 2015.

[14] Systemic risk of insurers around the globe, with C. Bierth and F. Irresberger,
Journal of Banking and Finance 55, 232-245, 2015.

[13] Forecasting Portfolio-Value-at-Risk with Nonparametric Lower Tail Dependence Estimates, with K.F. Siburg and P. Stoimenov,
Journal of Banking and Finance 54, 129-140, 2015.

[12] Mixture Pair-Copula-Constructions, with M. Scheffer,
Journal of Banking and Finance 54, 175-191, 2015.

[11] A New Set of Improved Value-at-Risk Backtests, with T. Berens, D. Wied, D. Ziggel,
Journal of Banking and Finance 48, 29-41, 2014.

[10] Why do some insurers become systemically relevant?, with J. Mühlnickel,
Journal of Financial Stability 13, 95-117, 2014.

[9] What factors drive systemic risk during international financial crises?, with D. Bostandzic and S. Neumann,
Journal of Banking and Finance 41, 78-96, 2014.

[8] Systemic risk and bank consolidation: International evidence, with D. Bostandzic and S. Neumann,
Journal of Banking and Finance 40, 165-181, 2014.

[7] Identifying Mixture Copula Components Using Outlier Detection Methods and Goodness-of-Fit Tests,
Journal of Risk 14, 61-101, 2014.

[6] Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas, with H. Supper,
Journal of Banking and Finance 37, 3334-3350, 2013.

[5] Copula-GARCH vs. Dynamic Conditional Correlation - an empirical study on VaR and ES forecasting accuracy,
Review of Quantitative Finance and Accounting 41, 179-202, 2013.

[4] Analysing contagion and bailout effects with copulae - Evidence from the subprime and Japanese banking crises,
Journal of Economics and Finance 36, 1-32, 2012.

[3] Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures,
Quarterly Review of Economics and Finance 51, 173-188, 2011.

[2] Copula parameter estimation by Maximum-Likelihood and Minimum-Distance estimators - A simulation study,
Computational Statistics 26, 31-54, 2011.

[1]
Copula Parameter Estimation - Numerical Considerations And Implications For Risk Management,
Journal of Risk 13, 17-53, 2010.