Forschung

Publications

"A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets", with Gabriel Rodríguez and Florian Stockler, International Review of Economics and Finance, forthcoming.
"Exploring sharing coecients in energy communities: A simulation-based study", with Anna Eisner and Camilla Neumann, Energy and Buildings, 297, 113447, 2023.
"A changepoint analysis of UK house price spillovers", with Dominik Blatt and Kausik Chaudhuri, Regional Studies, 57(7), 1223-1238, 2022.
"Stockmarket returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models", with Julia Kielmann and Aleksey Min, Empirical Economics, 62, 1543-1574, 2022.
"Model and Moment Selection in Factor Copula Models", with Fang Duan and Dominik Wied, Journal of Financial Econometrics, 20(1), 45-75, 2022.
"A monitoring procedure for detecting Structural Breaks in Factor Copula Models", with Florian Stark and Dominik Wied, Studies in Nonlinear Dynamics & Econometrics, 25(4), 171-192, 2020.
"Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts", with Jonas Dovern, Journal of Applied Econometrics, 35, 440-456, 2020.
"Asymmetries in Business Cycles and the Role of Oil Prices", with Betty C. Daniel, Christian M. Hafner and Leopold Simar. Macroeconomic Dynamics, 23(4), 1622-1648, 2019.
"Testing for Structural Breaks in Factor Copula Models", with Florian Stark and Dominik Wied. Journal of Econometrics, 208(2), 324-345, 2019.
"Forecasting Portfolio Conditional Quantiles with Nonlinear Dynamic Dependence: Evidence from Electricity Markets with Extreme Price Movements", with Farzad Alavi Fard, Armin Pourkhanali and Laleh Tafakori. Energy Economics, 78, 143-164, 2019.
"The "wrong skewness" problem in stochastic frontier models: A new approach", with Christian M. Hafner and Leopold Simar. Econometric Reviews, 37(4), 380-400, 2018.
"Forecasting realized variance measures using time-varying coefficient models", with Jeremias Bekierman. International Journal of Forecasting, 34(2), 276-287, 2018.
"Modeling and forecasting multivariate electricity price spikes", with Dennis Turk and Michael Eichler, Energy Economics, 60, 255-265, 2016.
"Modeling high dimensional time-varying dependence using dynamic D-vine models", with Carlos Almeida and Claudia Czado. Applied Stochastic Models in Business and Industry, 32, 621-638, 2016.
"Modeling and forecasting the outcomes of NBA Basketball games", Journal of Quantitative Analysis in Sports, 12(1), 31-41, 2016.
"Detecting financial contagion in multivariate systems", with Dominik Blatt and Bertrand Candelon. Journal of Banking and Finance, 59, 1-13, 2015.
"Modeling Multivariate Extreme Events Using Self-Exciting Point Processes", with Oliver Grothe and Volodymyr Korniichuk. Journal of Econometrics, 182(2), 269-289, 2014.
"Models for short term forecasting of spike occurrences in Australian electricity markets: a comparative study", with Michael Eichler, Oliver Grothe, and Dennis Tuerk. Journal of Energy Markets, 7(1), 2014.
"Analyzing the severity of accidents on the German Autobahn", with Laura Wunsch-Ziegler. Accident Analysis and Prevention, 57, 40-48, 2013.
"A survey on time-varying copulas: Specication, simulations and estimation", with Olga Reznikova. Econometric Reviews, 31(6), 654-687, 2012.
"Dynamic Stochastic Copula Models: Estimation, Inference and Applications", with Christian M. Hafner. Journal of Applied Econometrics, 27(2), 269-295, 2012.
"Multivariate Time Series Models for Asset Prices", with Christian M. Hafner, in: J.-C. Duan, W.K. Hardle, J. Gentle (Eds.), Handbook of Computational Finance, Springer Verlag, 89-115, 2011.
"On factors related to car accidents on German Autobahn connectors", with Martin Garnowski. Accident Analysis and Prevention, 43, 1864-1871, 2011.
"Tails of correlation mixtures of elliptical copulas", with Johan Segers. Insurance: Mathematics and Economics, 48, 153-160, 2011.
"Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas", with B. Candelon, Pacific Economic Review, 15(3), 364-384, 2010.
"Testing for Asymmetric Dependence", Studies in Nonlinear Dynamics & Econometrics, 14(2), 2010.

Working Papers

"Estimating IPAT Models using Panel Data", (2023) with Beate Deixelberger and Tobias Eibinger, Graz Economics Papers 2022-4 (R&R at Journal of Environmental Economics and Management).
"The Eﬀectiveness of Policy Measures to Reduce CO2 Emissions from Passenger Cars in Austria”, (2022) with Tobias Eibinger, Graz Economics Papers 2022-4 (under revision).
"Copula-based multivariate distributions and dependence modeling", (2021) (to be published as a book chapter in Selected Topics in Cross Section and Panel Data Econometrics, Springer).
"Testing for Co-jumps in High-frequency Asset Prices", (2016) with Markus Kösler.
"Services Liberalisation in Germany - Overview and the Potential of Deregulation", (2015), with Oliver Arentz, Leonard Münstermann, Clemens Recker, Steffen Roth and Achim Wambach.
"Robust estimation of threshold autoregressions and the law of one price", (2015) with Benjamin Tischler.
"Forecasting international stock market correlations: Does anything beat a CCC?", (2010) with Olga Reznikova.
"Estimation and Model Selection of Copulas with an Application to Exchange Rates", (2007) METEOR research memorandum RM/07/056.