Research and Talks

• Parameter estimation in jump diffusion processes

• Financial risk management & portfolio theory

• Volatility modeling and forecasting

• Energy finance

• Correlation and financialization of commodity markets

• Integration of ML in applied risk management

Night Trading with Futures in China: The Case of Aluminum and Copper (with N. Todorova) - working paper on SSRN

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)

Floating Rate Notes and Stakeholder Activities during Zero and Negative Interest Rate Regimes (co-authored) working paper on SSRN

External volatility, Co-Volatility, and Risk Transmissions between Global Futures Markets (co-authored)

Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches (with J. Luo, Q. Ji, T. Walther)

Link to Publications

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, International Association for Applied Econometrics Annual Conference, Montreal, Canada, June 28*

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

Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH, 2nd Vietnam Symposium in Banking and Finance, Ho Chi Minh City, Vietnam, October 26*

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

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, 43rd Macromodels International Conference, Lodz, Poland, November 15*

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

True or Spurious Long Memory in European Non-EMU Currencies, HypoVereinsbank PhD Seminar, Berlin, Leipzig, October 21*

True or Spurious Long Memory in European Non-EMU Currencies, 2nd Wrocław Conference in Finance, Wroclaw, Poland, September 28*

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, Statistische Woche, Augsburg, Germany, September 13*

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

Fast Fractional Differencing in Modeling Long Memory of Conditional Variance, Vietnam International Conference in Finance, Da Nang, Vietnam, June 10*

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

Empirical Evidence of Long Memory and Asymmetry in the EUR/PLN Exchange Rate Volatility, Wroclaw Conference in Finance, Wroclaw, Poland, September 23*

Empirical Evidence of Long Memory and Asymmetry in the EUR/PLN Exchange Rate Volatility, Science meets Social Science (S3) Seminar, Wroclaw University of Technology, Poland, September 22*

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

* Presentation by Co-Author