Econometrics and risk management with 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
Reinforcement Learning and Portfolio Allocation: Challenging Traditional Allocation Methods (co-authored) - working paper on SSRN
Global geopolitical risk and ESG performance (co-authored)
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? (co-authored) - 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)
2024
Contemporaneous and lagged connectedness between ESG leaders’ stock across developed and emerging countries, CINSC 2024, Reading, UK, June
Digital Economy and Carbon Productivity, CINSC 2024, Reading, UK, June
2023
Vulnerability of European electricity markets: A quantile connectedness approach, Conference on Climate and Energy Finance 2023, Hannover, Germany, November 3 Session Organiser and Moderator "Geopolitical Risk and Financial Markets," EFMA Meeting 2023, Cardiff, UK, June 28
Reinforcement Learning and Portfolio Allocation, European Financial Management Association Meeting 2023, Cardiff, UK, June 29
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