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

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review (with Miriam Breitenstein and Duc K. Nguyen), submitted. [Working Paper]

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

In Preparation

Hidden Markov Model for Time Series of Financial Returns with Leverage Effect (with Paul Bui Quang and Tony Klein)

Asset Classes and Portfolio Diversification: Evidence from Stochastic Spanning Approach (with Nikolas Topaglou and Duc K. Nguyen)

Practices of Risk-Disclosure: An Empirical Analysis of European Energy Utilities (with Maximilian Düsterhöft and Frank Schiemann)

Stranded Asset Risk: The Impact of the Coal Phase-Out on the German Coal Industry (with Miriam Breitenstein, Carl-Philipp Anke, and Duc K. Nguyen)

Empirical Analysis of Illiquidity Premia of German Real Estate Securities (with Thomas Paul and André Küster-Simic)

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

Synthesising forecasts of load and variable renewable generation for day-ahead, intraday, and balancing market modelling (with Will Zappa and Machteld van den Broek)

Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches (with co-authors)