Research

Google Scholar         ORCID ID: 0000-0002-8322-360X          ResearchGate          GitHub 

Publications

• Regressions Under Adverse Conditions, with Yannick Hoga (2025).

Journal of Business & Economic Statistics. Paper, R Package SystemicRisk, Replication Code

• Testing Forecast Rationality for Measures of Central Tendency, with Andrew J. Patton and Patrick W. Schmidt (2025).

The Review of Economics and Statistics. Paper, Working Paper, R Package fcrat,  Replication Code

• Characterizing M-estimators, with Tobias Fissler and Johanna Ziegel (2024),

Biometrika. Paper 

• Evaluating Probabilistic Classifiers: The Triptych, with  Tilmann Gneiting, Alexander I. Jordan and Peter Vogel (2024),

International Journal of Forecasting. Paper, R Package triptych, Replication Code  

• Osband's Principle for Identification Functions, with Tobias Fissler and Johanna Ziegel (2024), 

Statistical Papers. Paper

• A safe Hosmer-Lemeshow test, with Alexander Henzi, Marius Puke and Johanna Ziegel (2024).

The New England Journal of Statistics in Data Science. Paper, Replication Code  

• Honest Calibration Assessment for Binary Outcome Predictions, with Lutz Dümbgen, Alexander Henzi, Marius Puke and Johanna Ziegel (2023).

Biometrika. Paper, R Package calibrationband, Replication Code

• Model Diagnostics and Forecast Evaluation for Quantiles, with Tilmann Gneiting, Daniel Wolffram, Johannes Resin, Kristof Kraus, Johannes Bracher, Veit Hagenmeyer, Alexander I. Jordan, Sebastian Lerch, Kaleb Phipps and Melanie Schienle (2023), 

Annual Review of Statistics and its Application. Paper, Replication Code 

• On Testing Equal Conditional Predictive Ability under Measurement Error, with Yannick Hoga (2023), 

Journal of Business & Economic Statistics. Paper

• Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary, with Xiaochun Liu and Julie Schnaitmann (2023),

 Journal of Financial Econometrics. Paper, Replication Code based on R package esencmp and R package esregression 

• Realized Quantiles, with Roxana Halbleib (2022), 

Journal of Business & Economic Statistics. Paper  

• Regression Based Expected Shortfall Backtesting, with Sebastian Bayer (2022), 

Journal of Financial Econometrics.  Paper,  R Package esback,  Replication Code 

• Stable Reliability Diagrams for Probabilistic Classifiers, with Tilmann Gneiting and Alexander I. Jordan (2021), 

Proceedings of the National Academy of Sciences. Paper,  R Package reliabilitydiag,  Replication Code

• Forecast Encompassing Tests for the Expected Shortfall, with Julie Schnaitmann (2021), 

International Journal of Forecasting.  Paper, Replication Code based on R package esencmp and R package esregression

• A Joint Quantile and Expected Shortfall Regression Framework, with Sebastian Bayer (2019), 

Electronic Journal of Statistics.  Paper,  R Package esreg,  Replication Code 

Working Papers

• Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models, with Roxana Halbleib, Jeannine Polvika, Jasper Rennspies , Sina Streicher and Axel Friedrich Wolter (2023). revise & resubmit at Journal of Econometrics. Paper, Replication Code

• Shift-Dispersion Decompositions of Wasserstein and Cramér Distances, with Johannes Resin, Daniel Wolffram and Johannes Bracher (2024). revise & resubmit at Statistical Science. Paper, Replication Code 

• Dynamic CoVaR Modeling and Estimation, with Yannick Hoga (2024). revise & resubmit at Journal of Business & Economic Statistics. Paper,  R Package SystemicRisk, Replication Code 

• Kullback-Leibler-Based Characterizations of Score-Driven Updates, with Ramon de Punder and Rutger-Jan Lange (2024). Paper

• Measuring Dependence between Events, with Marc-Oliver Pohle and Jan-Lucas Wermuth (2024). Paper,  R Package BCor, Replication Code 

• The Efficiency Gap, with Tobias Fissler and Johanna Ziegel (2022). Paper 

Software Packages

• R Package BCor, with Marc-Oliver Pohle and Jan-Lucas Wermuth, available at Github

• R Package triptych, with Alexander I. Jordan, available at CRAN 

• R Package SystemicRisk, with Yannick Hoga, available at Github

• R Package calibrationband, with Alexander Henzi and Marius Puke, available at CRAN

• R Package reliabilitydiag, with Alexander I. Jordan, available at CRAN 

• R Package fcrat, with Andrew J. Patton and Patrick W. Schmidt, available at Github 

• R Package esencmp, with Julie Schnaitmann, available at Gitlab

• R Package esback, with Sebastian Bayer, available at CRAN 

• R Package esreg, with Sebastian Bayer, available at CRAN