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 Measurement (with Xiang Gao, Kees Koedijk, and Zhan Wang). [CEPR Discussion Paper | Working Paper]

  • Chinese Finance Annual Meeting (2022)


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

  • SoFiE Summer School (Chicago, 2020); International Association for Applied Econometrics Annual Conference (Montreal, 2018), Commodity and Energy Markets Association (CEMA) Annual Meeting (Rome, 2018), Verein für Socialpolitik Annual Meeting (2018), International Ruhr Energy Conference (Essen, 2017), European Stability Mechanism (Luxembourg, 2017), John von Neumann Institute (Ho Chi Minh City, 2017)


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

  • Keynote: TSFS International Conference in Finance and Accounting (Monastir, 2019)

  • Commodity and Energy Markets Association (CEMA) (Madrid, 2021), 10th International Research Meeting in Business and Management (Nice, 2020), Vietnam Symposium in Banking and Finance (Hanoi, 2019)


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.), R&R. [Working Paper | Project Web Page]


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

  • Best PhD Paper Award, Annual Conference of the British Accounting and Finance Association (Doctoral Masterclass)

  • Keynote: V International Workshop, Higher School of Economics (Moscow, 2022, online)

  • Annual Meeting of the Commodity & Energy Markets Association (Chicago, 2022); International Association for Applied Econometrics Annual Conference (London, 2022); 8th International Symposium of Environment and Energy Finance Issues (Paris, 2022); 5th Commodity Markets Winter Workshop (St. Johan im Pongau, 2022); 6th Vietnam Symposium in Banking and Finance (Hanoi, 2021, online); HvB PhD Seminar (Chemnitz, 2021); Utrecht University (2021); Annual Conference of the British Accounting and Finance Association (Doctoral Masterclass, online, 2021); Econometric Research in Finance (Warsaw, 2021); 10th INREC (Essen, 2021); TU Dresden (2018); TU Chemnitz (2018); Queen's University Belfast (2018)


In Preparation

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

  • Utrecht University (2021); UNC-Chapel Hill (2022); Zeppelin University, Friedrichshafen (2022)


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

  • Zafin Finance and Sustainability Conference (Warsaw, 2022); Conference on INternational Finance; Sustainable and Climate Finance and Growth (Naples, 2022); Workshop on Carbon Finance (Hagen, 2022); ENERDAY (Dresden, 2022)