Working Papers

"Grant me the serenity to accept the things I cannot change,

Courage to change the things I can,

  And wisdom to know the difference."

— Reinhold Niebuhr

Working Papers

Relative Investor Sentiment (with Xiang Gao, Kees Koedijk, and Zhan Wang), submitted. [CEPR Discussion Paper | Working Paper]

Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches (with Jiawen Luo, Qiang Ji, and Tony Klein), R&R. [Working Paper]

Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach (with Nikolas Topaglou and Duc K. Nguyen), submitted. [Working Paper]

The Time-varying Relationship between Illiquidity and Stock Returns: Evidence from Germany (with Thomas Paul and Abdullah Aryoubi), submitted. [Working Paper]

Common Drivers of Commodity Futures? (with Tom Dudda, Tony Klein, and Duc K. Nguyen), submitted. [Working Paper]

Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods (with Matus Lavko and Tony Klein), submitted. [Working paper]

In Preparation

Macroeconomic Determinants of Realized Volatility: A Machine Learning Approach (with Andrii Babii and Yi Cui)

The Financialization of the European Futures Market for Carbon Emission Allowances (with Tom L. Dudda, Tony Klein, and Florentina Paraschiv)

Permanent Working Paper

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (with Lanouar Charfeddine and Tony Klein). [Working Paper]