Research and Talks
Research Interests
Financial econometrics and risk management incl. applications to investment management and corporate finance
Volatility modeling and forecasting
Energy and carbon finance, and the interplay of energy and carbon prices and corporate finance
Correlation and financialization of commodity markets
Machine learning applied to risk management, forecasting, nowcasting, and sustainable investment
Working Paper
Non-Standard Errors (contributed) - 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)
The Impact of Oil Prices on Dividend Policy of Energy Producing Firms (co-authored)
External volatility, Co-Volatility, and Risk Transmissions between Global Futures Markets (co-authored)
Common Drivers of Commodity Markets (co-authored)
Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning (with J. Luo, Q. Ji, T. Walther) - working paper on SSRN
Publications
Talks and Conference Contributions
2022
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, 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