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

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

Let's Talk About Risk! The Firm Value Effect of Risk Disclosure for European Energy Utilities (with Maximilian Düsterhöft and Frank Schiemann), submitted. [Working Paper]

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

Non-Standard Errors (with Albert J. Menkveld et al.), submitted. [Working Paper | Project Web Page]

In Preparation

The Effect of News on Stock Market Volatility: A Systematic Literature Review and Synthesis of Methodological Approaches (with Kai Heinrich and Daniel Vieten)

The risk mitigation effect of women directors on the stock price crash risk in Europe (with Tom Dudda and Sebastian Utz)

"Common" Factors of Commodity Futures (with Tom Dudda, Tony Klein, and Duc K. Nguyen)

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

Dynamic Correlation of Precious Metals and Equity Markets: A Mixed Data Sampling Approach (with Tony Klein)