Bücher

• Econometrics of Financial High-Frequency Data, Springer, Berlin, 2012.
• Applied Quantitative Finance (mit Wolfgang K. Härdle and Ludger Overbeck), 2^nd ed., Springer, Berlin, 2008
• Modelling Irregularly Spaced Financial Data – Theory and Practice of Dynamic Duration Models, Lecture Notes in Economics and Mathematical Systems, Vol. 539, Springer, Berlin, 2004.

Publikationen in wissenschaftlichen Zeitschriften

• Non-Standard Errors (mit 342 Koautoren aus 34 Ländern), Journal of Finance, forthcoming
• Corrigendum to “Local mispricing and microstructural noise: A parametric perspective" [J. Econometrics 230 (2022), 510-534] (mit Torben G. Andersen, Ilya Archakov und Gökhan Cebiroglu), Journal of Econometrics, 232, 598-603, 2023Maximum-Likelihood Estimation Using the Zig-Zag Algorithm (mit Ostap Okhrin und Alexander Ristig), Journal of Financial Econometrics, 2022, in press
• Local mispricing and microstructural noise: A parametric perspective" (mit Torben G. Andersen, Ilya Archakov und Gökhan Cebiroglu), Journal of Econometrics, 230 (2), 510-534, 2022
• A Descriptive Study of High-Frequency Trade and Quote Option Data (mit Torben G. Andersen, Ilya Archakov, Leon Grund, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Stephen Taylor und Viktor Todorov), Journal of Financial Econometrics, 19 (1), 128-177, 2021
• Counterparty credit limits: An effective tool for mitigating counterparty risk? (mit Martin D. Gould, Sam D. Howison und Mason A. Porter), Applied Mathematical Finance, 27:6, 520-548, 2020
• Multivariate Dynamic Intensity Peaks-Over-Threshold Models (mit Rodrigo Herrera Leiva), Journal of Applied Econometrics, 35, 248-272, 2020.
• Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? (mit Gökhan Cebiroglu und Ulrich Horst), Market Microstructure and Liquidity, 5, 2050002 (52 pages), 2019.
• Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty (mit Stefan Voigt), Journal of Econometrics, 212, 221-240, 2019.
• Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence (mit Markus Bibinger, Peter Malec und Markus Reiss), Journal of Business & Economic Statistics, 37, 419-435, 2019.
• How Effective Are Trading Pauses? (mit Akos Horvath), Journal of Financial Economics, 131, 378-403, 2019.
• Dynamic Conditional Correlation Multiplicative Error Processes (mit Taras Bodnar), Journal of Empirical Finance, 36, 41-67, 2016.
•  Systemic Risk Spillovers in the European Banking and Sovereign Network (mit Frank Betz,  Tuomas Peltonen und Melanie Schienle), Journal of Financial Stability, 25, 206-224, 2016.
• Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (mit Wolfgang K. Härdle und Andrija Mihoci), Journal of Applied Econometrics, 30 (4), 529-550, 2015
• Financial Network Systemic Risk Contributions (mit Julia Schaumburg und Melanie Schienle), Review of Finance, 19 (2), 685-738, 2015.
• Do High-Frequency Data Improve High-Dimensional Portfolio Allocation? (mit Lada M. Kyj und Peter Malec), Journal of Applied Econometrics, 30, 263-290, 2015.
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (mit Markus Bibinger, Peter Malec und Markus Reiß), Annals of Statistics, 42 (4), 1312-1346, 2014.
• Forecasting Systemic Impact in Financial Networks (mit Julia Schaumburg und Melanie Schienle), International Journal of Forecasting, 30 (3), 781-794, 2014.
• Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes (mit Peter Malec und Melanie Schienle), Journal of Financial Econometrics, 12 (1), 89-121, 2014.
• Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models (mit Axel Groß-Klußmann), Journal of Forecasting, 32, 724-742, 2013.
• Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence (mit Mark Podoskij), Journal of Business and Economic Statistics, 31, 165-183, 2013.
•  Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields (mit Yangguoyi Ou), Journal of Banking and Finance, 36, 2988-3007, 2012.
• Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics (mit Wolfgang K. Härdle und Andrija Mihoci), Journal of Empirical Finance, 19, 610-625, 2012.
• A blocking and regularization approach to high dimensional realized covariance estimation (mit Lada M. Kyj und Roel Oomen), Journal of Applied Econometrics, 27, 625-645, 2012.
• Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model (mit Fuyu Yang), Computational Statistics and Data Analysis”, 56, 3774-3792, 2012.
• The Market Impact of a Limit Order (mit Ruihong Huang), Journal of Economic Dynamics and Control, 36, 501-522.
• Price Adjustment to News with Uncertain Precision (mit Dieter Hess und Christoph Müller), Journal of International Money and Finance, 31, 337-355, 2012.
• The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility (mit Dieter Hess und David Veredas),  Journal of Banking and Finance, 35, 2733-2746, 2011.
• When Machines Read the News:  Using Automated Text Analytics to Quantify High Frequency News-Implied Market Reactions (mit Axel Groß-Klußmann), Journal of Empirical Finance, 18, 321-340, 2011.
•  Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model, Journal of Economic Dynamics and Control, 32, 3978-4009, 2008.
• Modelling the Buy and Sell Intensity in a Limit Order Book Market (mit Anthony D. Hall), Journal of Financial Markets, 10 (3), 249-286, 2007.
• A Dynamic Semiparametric Proportional Hazard Model (mit Frank Gerhard), Studies in Nonlinear Dynamics & Econometrics, 11(2), Article 1, http://www.bepress.com/snde/vol11/iss2/art1.
• Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery (mit Dieter Hess), Journal of Financial and Quantitative Analysis, 42(1), 189-208, 2007.
•  Stochastic Conditional Intensity Processes (mit Luc Bauwens), Journal of Financial Econometrics, 4, 450-493, 2006.
• Order Aggressiveness and Order Book Dynamics (mit Anthony D. Hall), Empirical Economics, 30, 973-1005, 2006.
• Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities, Journal of Financial Econometrics, 1(2), 189-215, 2003.
• Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations (mit Joachim Inkmann), Journal of Asset Management, 4(3), 173-198, 2003.
• Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions (mit Stefan Klotz), Journal of Economic Behavior and Organization, 52, 97-113, 2003.
•  Volatility Estimation on the Basis of Price-Intensities (mit Frank Gerhard), Journal of Empirical Finance, 9, 57-89, 2002.
•  The Processing of non-anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report (mit Dieter Hess), Review of Finance, 6, 133-161, 2002. 
• Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities (mit Winfried Pohlmeier), Journal of the German Statistical Association (Allgemeines Statistisches Archiv), 86, 5-30, 2002.