Refereed Journal Articles
Adaptive joint distribution learning. forthcoming SIAM Journal on Mathematics of Data Science (SIMODS) (2024). with D. Filipovic and M. Multerer
Fast empirical scenarios. forthcoming Journal of Computational Mathematics and Data Science (2024), with M. Multerer and R. Sen
Optimal Investment and Equilibrium Pricing under Ambiguity. forthcoming Review of Finance (2024), with M. Anthropelos
Constrained polynomial likelihood. forthcoming Journal of Business & Economic Statistics (2023), with C. Almeida and R. Masini
Dispersion of Beliefs Bounds: Sentimental Recovery. forthcoming Management Science (2023), with A. Pazarbasi and G. Vilkov
On the nature of jump risk premia. forthcoming Management Science (2022), with P. Orlowski and F. Trojani
Low Risk Anomalies?. Journal of Finance (2020) 75, 2673-2718 with Christian Wagner and Josef Zechner
An Anatomy of the Market Return. Journal of Financial Economics (2019) 132, 325-350
(Almost) Model-Free Recovery. Journal of Finance (2019) 74, 323-370, with Fabio Trojani
Divergence and the Price of Uncertainty. Journal of Financial Econometrics (2018) 9, 1-56, with Fabio Trojani
The Economic Value of Predicting Bond Risk Premia: Can Anything Beat the Expectations Hypothesis. Journal of Empirical Finance (2016) 37, 247-267, with Lucio Sarno and Christian Wagner
Generalized Risk Premia. Journal of Financial Economics (2015) 116, 487-504
Asset Pricing with Nonlinear Risk Premia. Journal of Financial Econometrics (2014) 12, 479-506, with Aleksandar Mijatovic
The Skew Risk Premium in the Equity Index Market. Review of Financial Studies (2013) 26, 2174-2203, with Roman Kozhan and Anthony Neuberger
Density Approximations for Multivariate Affine Jump-Diffusion Processes. Journal of Econometrics (2013) 176, 93-111, with Damir Filipovic and Eberhard Mayerhofer
Properties of Foreign Exchange Risk Premia. Journal of Financial Economics (2012) 105, 279-310, with Lucio Sarno and Christian Wagner
Flexing the Default Barrier. Quantitative Finance (2011) 11, 1729-1743, with Gregor Dorfleitner and Tanja Veza
Bayesian Inference of Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions. Journal of Financial Econometrics (2010) 8, 450-480, with Osnat Stramer and Matthew Bognar
Globally Optimal Parameter Estimates for Nonlinear Diffusion Processes with Expected Likelihood. Annals of Statistics (2010) 8, 215-245, with Aleksandar Mijatovic
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk. Journal of Financial and Quantitative Analysis (2010) 45, 1517-1547, with Leopold Soegner and Tanja Veza
Pricing Options with Green's Functions when Volatility, Interest Rate, and Barriers Depend on Time. Quantitative Finance (2008) 8, 119-133, with Gregor Dorfleitner, Arne Buch and Kurt Hawlitschek