Research and Talks

• Econometrics and risk management incl. applications to investment management and corporate finance

• Volatility modeling and forecasting

• Energy and carbon ecoonomics, and the interplay of energy and carbon prices and financial markets

• Correlation and financialization of commodity markets

• Machine and statistical learning applied to risk management, forecasting and nowcasting of economic indicators

Common Drivers of Commodity Markets (co-authored) - working paper on SSRN

Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning (with J. Luo, Q. Ji, T. Walther)  - working paper on SSRN

Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods - working paper on SSRN 

On the Financialization of CO2 Markets (co-authored)

Emissions Pricing and Flight-to-Safety Episodes

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (with L. Charfeddine and T. Walther) - WP on ResearchGate

Market Expectations of the EU Emissions Trading System (co-authored)

The Impact of Oil Prices on Dividend Policy of Energy Producing Firms (co-authored)

Link to Publications

2022

Safe-Haven for Energy Prices? Characteristics of European Carbon Futures Markets, International Conference on Sustainability, Environment, and Social Transition in Economics and Finance, Paris, France, December 13

Reinforcement Learning and Portfolio Allocation, Entrepreneurship, Finance and Innovation Symposium, Hanoi, Vietnam, December 1

Keynote, Risk2022 - 8th Workshop on Risk Management and Insurance Research, "Non-Standard Errors," Barcelona, Spain, October 20

Reinforcement Learning and Portfolio Allocation, CFRG Cardiff FinTech Conference 2022, Cardiff, UK, October 12

Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods, European Alternative Finance Research Conference 2022, Utrecht, Netherlands, October 6, accepted talk.

Common and not-so-common drivers of commodity futures,  International Association for Applied Econometrics 2022 Annual Conference, London, UK, June 21

Financialization of CO2 Futures Markets, 1st CINSC, Naples, Italy, June 13

Non-standard errors, Symposium on Modern Finance and Risk Management, Dresden, Germany, May 19

Predictions of U.S. Nonfarm Payroll Changes, Royal Economic Society Annual Conference, April 13

2021

Common Drivers of Commodity Futures, Econometric Research in Finance, September 17

Common Drivers of Commodity Futures, 10th INREC Climate Finance and Energy Markets, September 15

2020

Recovering Market Expectations and Risk Premiums in the EU Emissions Trading System Phase III, Econometrics Research Seminar, Universitat de Barcelona, March 2

2019

Agricultural Commodity Futures Markets: Jumps, Speculation, and Morality, Research Seminar, Universidad de Santiago de Compostela/IBADER, Spain, July 4

The Impact of SHFE's Night Trading Session, Finance Research Seminar, University St. Gallen, Switzerland, April 23

The Impact of SHFE's Night Trading Session, 3rd Commodity Markets Winter Workshop, Hannover, Germany, February 21

2018

A Cross Section of Expected Cryptocurrency Returns based on (Dis-)Continuous Betas, Computational and Financial Econometrics, Pisa, Italy, December 15

The Impact of SHFE's Night Trading Session, Symposium on Risk Management, Technische Universtität Dresden, Germany, December 1

Oil Price Shocks and U.S. GDP Growth: Is This Time Different?, Commodity and Energy Markets Association (CEMA) Annual Meeting, Rome, Italy, June 20

Bitcoin is not the New Gold – A Comparison of Volatility, Correlation, and Portfolio Performance, INFINITI Conference, Poznan, Poland, June 11

2017

Are Cryptocurrencies the New Gold? – A Portfolio- and Volatility-Based Analysis, 2017 Crypto-currencies in a digital economy Workshop, Humboldt University, Berlin, Germany, November 17 

Oil Price Shocks and U.S. GDP Growth: Is This Time Different?, International Ruhr Energy Conference, Essen, Germany, September 13

Oil Price Shocks and GDP Growth, Research Seminar of the European Stability Mechanism, Luxembourg, September 8

Trend Contagion in WTI and Brent Spot and Futures Prices, 40th Annual IAEE International Conference, Singapore, June 19

Trend Contagion in WTI and Brent Spot and Futures Prices, 5th International Symposium on Environment and Energy Finance Issues, Paris, France, May 22

Dynamic Correlation of Precious Metals and Flight-to-Quality in Developed Markets, HypoVereinsbank PhD Seminar, Berlin, Germany, April 7

2016 

True or Spurious Long Memory in European Non-EMU Currencies, 43rd Macromodels International Conference, Lodz, Poland, November 15

Conditional Variance Dynamics of Gold and other Precious Metals, Economics Seminar, Fogelman College of Business and Economics, University of Memphis, September 9

On the Application of Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, HSC Seminar on Stochastic and Numerical Methods, Wrocław University of Technology, Poland, 2016, May 25

Long Memory Models, Joint Seminar on Capital Markets and Risk Management, TU Dresden and UE Wroclaw, Wroclaw, Poland, May 23

On the Application of Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, HypoVereinsbank PhD Seminar, Halle, Germany, April 22

On the Application of Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, Workshop of the German Operations Research Society (GOR e.V.), WG FIFI, April 2016, Augsburg, Germany, April 4

2015

Oil Price Volatility Forecast with Mixture Memory GARCH, HypoVereinsbank PhD Seminar, Riga, Latvia, October 3

Oil Price Volatility Forecast with Mixture Memory GARCH, Energy Finance Conference 2015, London, UK, September 10

Oil Price Volatility Forecast with Mixture Memory GARCH, International Ruhr Energy Conference, Essen, Germany, March 25