PUBLICATIONS
Can we give the Maximum Sharpe Ratio Portfolio a Chance? (2024). With W. Pohlmeier,
In: Knoth, S., Okhrin, Y., Otto, P. (eds) Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science. Springer, Cham.
https://doi.org/10.1007/978-3-031-69111-9_16
Bagged Pretested Portfolio Selection (2023). With W. Pohlmeier,
Journal of Business and Economic Statistics 41 (4), 1116 - 1131, https://doi.org/10.1080/07350015.2022.2110880
Codes
Valid Inference for Treatment Effect Parameters under Irregular Identification and Extreme Propensity Scores (2021).
With P. Heiler, Journal of Econometrics 222 (2), 1083-1108. https://doi.org/10.1016/j.jeconom.2020.03.025
Codes
Testing Out-of-Sample Portfolio Performance (2019). With W. Pohlmeier,
International Journal of Forecasting, 35 (2), 540-554. https://doi.org/10.1016/j.ijforecast.2018.09.010
Codes
WORKING PAPERS
Linear Weight Estimator for the Global Minimum Variance Portfolio. With Y.Li, I.Nolte and S. Nolte, working paper
Bagged Value-at-Risk and Expected Shortfall Forecast Combination. With R.Halbleib and W.Pohlmeier, working paper
Market-Driven Forecast Combination. With A. Tetereva, working paper
Conditional Method Confidence Set. With L. Bauer, working paper
OTHER
Non-standard errors (2024).
With A. Menkveld and 341 co-authors, The Journal of Finance. https://doi.org/10.1111/jofi.13337
The use of Active Learning systems for stimulus selection and response modelling in perception experiments (2023)
with M. Einfeldt, Sevastjanova, R., Zahner-Ritter, K., & Braun, B., Computer Speech & Language, 83, 101537, https://doi.org/10.1016/j.csl.2023.101537
Reliable estimates of interpretable cue effects with Active Learning in psycholinguistic research (2021)
with M. Einfeldt, Sevastjanova, R., Zahner-Ritter, K., & Braun, B. Interspeech 2021 (pp. 1743-1747).
http://dx.doi.org/10.21437/Interspeech.2021-1524
Tonal and non-tonal configurations of German rhetorical and information-seeking questions
with M. Einfeldt, Sevastjanova, R., Zahner-Ritter, K., James A., Dehé N., & Braun, B., working paper