Research

Publications

Books and Monographs

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

Handbook Articles and Book Chapters

    "Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series" (with Ostap Okhrin and Alexander Ristig), in:"Copulae in Mathematical and Quantitative Finance; Lecture Notes in Statistics - Proceedings", P. Jaworski, F. Durante, W. K. Härdle (eds.), Springer, 2013. working paper version
    "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data" (with Ruihong Huang), in:"Market Microstructure: Confronting Many Viewpoints – Conference Proceedings", F. Abergel, J.-P. Bouchaud, T. Foucault, C. Lehal, M. Rosenbaum (eds.), Wiley, 2012. working paper version
More…
    "Modelling Financial High Frequency Data Using Point Processes" (with Luc Bauwens), in: “Handbook of Financial Time Series”, T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Springer, 2009. working paper version
    "Stochastic Volatility Estimation Using Markov Chain Simulation" (with Yangguoyi Ou), in: “Applied Quantitative Finance”, 2nd, W. K. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version
    "High-Frequency Volatility and Liquidity" (with Vahidin Jeleskovic), in: “Applied Quantitative Finance”, 2nd, W. K. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version
    "Measuring and Modeling Risk Using High-Frequency Data" (with Wolfgang K. Härdle and Uta Pigorsch), in: “Applied Quantitative Finance”, 2nd, W. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version
Back…

Articles in Journals

    "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence" (with Markus Bibinger, Peter Malec and Markus Reiss), Journal of Business & Economic Statistics, forthcoming. working paper version
More…
Back…

Working Papers

    "The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods" (with Michael Noé and Sarah Zhang), CFS Working Paper No. 580
More…
    "Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes" (with Torben G. Andersen and Gökhan Cebiroglu), CFS Working Paper No. 569
    "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models" (with Ostap Okhrin and Alexander Ristig), Discussion Paper 2014-010, CRC 649, Humboldt-Universität zu Berlin
    "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements" (with Ruihong Huang), Discussion Paper 2012-14, CRC 649, Humboldt-Universität zu Berlin  
Back…

Invited Talks

Invited Plenary and Keynote Talks

  • 44th Economics Conference, Österreichische Nationalbank, Vienna, May 2017
  • Jan Mossin Memorial Symposium on Financial Markets, NHH - Norwegian School of Economics, Bergen, June 2016
  • 3rd Symposium on Financial Engineering and ERM, Hitotsubashi University, Tokyo, March 2015
More…
  • Conference on Time Series and Financial Econometrics, China Association of Econometrics, Southwestern University of Finance and Economics, Chengdu, October 2012
  • Frontiers of Finance Conference", 2012, Warwick Business School, September 2012
  • European Central Bank Conference “Financial Stability: Methodological advances and policy issues”, Frankfurt, June 2012
  • Conference “Asset and Risk Management in the Aftermath of the Financial Crisis”, Lausanne, January 2011
  • Conference “Market Microstructure – Confronting Many Viewpoints”, Paris, December 2010
  • 3rd Annual Conference of Society for Financial Econometrics (SoFiE), Melbourne, June 2010
  • FERC Conference, Warwick, September 2009

Invited Talks

  • “Financial Econometrics Conference”, Heidelberg University, September 2017
  • Conference on “Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences”, Lausanne, June 2017
  • Conference on “Big Data in Predictive Dynamic Econometric Modeling”, University of Pennsylvania, Philadelphia, May 2017
  • Vienna University of Economics and Business, May 2017
  • Technical University of Dresden, January 2017
  • University of Aarhus, November 2016
  • Universita Pompeu Fabra, Barcelona, September 2016
  • Humboldt-Universität zu Berlin, September 2016
  • Commodity Futures Trading Commission, Washington, September 2016
  • Conference on “New Developments in Measuring and Forecasting Financial Volatility”, Durham, September 2016
  • Duke University, September 2016
  • Bank of Italy, Rome, September 2016
  • Symposium on Financial Engineering and Risk Management (FERM), Guangzhou, June 2016
  • Karlsruhe Institute of Technology, April 2016
  • Lancaster Business School, November 2015
  • Conference on “Econometrics of High-Dimensional Risk Networks”, Stevanovich Center, University of Chicago, October 2015
  • 2nd International Workshop in Financial Econometrics, Salvador, Brazil, October 2015
  • Workshop “The Mathematics and Statistics of Quantitative Risk Management”, Mathematisches Forschungsinstitut Oberwolfach, September 2015
  • Vienna Graduate School of Finance, Vienna University of Economics and Business, April 2015
  • Oesterreichische Nationalbank, Vienna, April 2015
  • Tinbergen Institute, Amsterdam, March 2015
  • CREST, Paris, February 2015
  • University of Regensburg, January 2015
  • Conference “Market Microstructure: Confronting Many Viewpoints”, Paris, December 2014
  • Empirical Market Microstructure Conference, University of Cambridge, November 2014
  • Vienna University of Economics and Business, October 2014
  • Financial Statistics Conference, Stevanovich Center, University of Chicago, September 2014
  • HEC Lausanne, September 2014
  • Leibniz University Hannover, June 2014
  • Workshop "Measuring and Modeling Financial Risk with High Frequency Data", European University Institute, Florence, June 2014
  • IESEG School of Management, Paris, May 2014
  • University of St. Gallen, 2014
  • Institute for Advanced Studies, Vienna, 2014
  • Conference "Statistics for Stochastic Processes and Analysis of High Frequency Data", University Pierre and Marie Curie, Paris, 2013
  • University of Pennsylvania, Philadelphia, 2013
  • Workshop “Measuring and Modeling Financial Risk with High Frequency Data”, European University Institute, Florence, 2013
  • Financial Econometrics Conference, Toulouse School of Economics, 2013 (Discussion)
  • Landesbank Berlin, January 2013
  • 9th International Institute of Forecasters' Workshop, Federal Reserve Bank of San Francisco, 2012
  • Oxford Man Institute, 2012
  • Fifth Erasmus Liquidity Conference, Erasmus University, Rotterdam, July 2012 (Discussion)
  • Financial Econometrics Conference, Toulouse School of Economics, 2012
  • CREATES, University of Aarhus, 2011
  • Cass Business School, London, 2011
  • “Conference on Macro and Financial Economics: Theory and Applications”, Brunel University, 2011
  • “Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant”, Toulouse School of Economics (Discussion), 2011
  • Ecole Polytechnique Paris, 2011
  • University of Manchester, 2011
  • Center for Research in Econometric Analysis of Time Series (CREATES), University of Aarhus, 2010
  • Symposium on High-Frequency Data, Dortmund, 2010
  • University of Leicester, 2010
  • Capital Fund Management, Paris, 2010
  • Conference on “Volatility and Systemic Risk”, Stern School of Business, New York University, 2010
  • University of Melbourne, 2010, 2005
  • Market Microstructure Conference, University of Technology, Sydney, 2010
  • University of Tasmania, Hobart, 2010
  • University of Technology, Sydney, 2010, 2005
  • Singapore Management University, 2010
  • Leibniz-Universität Hannover, 2009
  • Erasmus University Rotterdam, 2009
  • University of Würzburg, 2009
  • Stevanovich Center – CREATES Conference on “Financial Econometrics and Statistics: Current Themes and New Directions”, Skagen, Denmark, 2009
  • University of Valencia, 2009
  • Freie Universität Berlin, 2009
  • University of Copenhagen, 2008, 2004
  • Georg-August Universität Göttingen, 2008
  • Deutsche Bundesbank, 2008
  • Tilburg University, 2008
  • XMU Economics & Finance Workshop, Xiamen University, 2008
  • Annual Meeting German Econometric Council, Rauischholzhausen, 2008
  • University of Zurich, 2008
  • EURANDOM, Eindhoven, 2007
  • Sal. Oppenheim, Frankfurt, 2007
  • University of Mannheim, 2007
  • Aarhus School of Business, 2007
  • Humboldt-Princeton Conference, Humboldt-Universität zu Berlin, Berlin, 2007 
  • COMISEF Workshop “Quantitative Finance”, Birkbeck College, London, 2007
  • CCFEA Summer School, University of Essex, 2007
  • SITE Workshop on “Economic Analysis of High-Frequency Data and the Impact of Economic News”, Stanford University, 2007
  • University of Bonn, 2007
  • ESF Workshop “High-Frequency Econometrics and the Analysis of Foreign Exchange Markets, University of Warwick, 2006
  • ECARES, Université Libre de Bruxelles, 2005
  • Stockholm School of Economics, 2005
  • Arne Ryde Workshop in Financial Economics, Lund University, 2005
  • Leeds University Business School, 2005
  • Workshop “High-Frequency Econometrics and Market Microstructure”, Warwick Business School, 2005
  • University of Cologne, 2005
  • University of Southern Denmark, 2004
  • Copenhagen Business School, Denmark, 2004
  • Conference on “Econometric Forecasting and High-Frequency Data Analysis”, National University of Singapore, 2004
  • Centre for Economic and Business Research, Copenhagen, 2004
  • University of Kiel, 2003
  • University of Münster, 2003
  • CREST, INSEE, Paris, 2003
  • University of Rotterdam, 2003
  • University of Sydney, Sydney, 2003
  • University of Technology, Sydney, 2003
  • Center of Operations Research and Econometrics (CORE), Université Catholique, Louvain-la-Neuve, 2003

Selected Conference Presentations

  • Econometric Society European Meeting, Toulouse, August 2014
  • 7th Annual Meeting of the Society for Financial Econometrics, Rotman School of Management, University of Toronto, June 2014
  • Tinbergen-SoFiE Conference "The price of liquidity - the liquidity of price", Tinbergen Institute, University of Amsterdam, 2012
  • 4th Annual Meeting of the Society for Financial Econometrics, Chicago, 2011
  • SoFiE – CREATES Conference Measuring and Predicting Risk from Financial High-Frequency Data, Aarhus, 2010
  • EC^2 Conferences, 2009 (Aarhus), 2003 (London), 2002 (Bologna)
  • Econometric Society European Meetings, 2009 (Barcelona), 2006 (Vienna), 2003 (Stockholm), 2002 (Venice), 1999 (Santiago de Compostela)
  • Annual Meeting of the Society for Financial Econometrics, 2009 (Geneva)
  • 4th World Conference of the International Association for Statistical Computing (IASC), Yokohama, 2008
  • International Conference on Price, Liquidity and Credit Risk, University of Konstanz, 2008
  • International Symposium on Business and Industrial Statistics, Prague, 2008
  • Annual Meetings of the German Economic Association, 2006 (Bayreuth), 2003 (Zurich), 2002 (Innsbruck), 2001 (Magdeburg), 2000 (Berlin), 1999 (Mainz)
  • International Conference on High-Frequency Finance, University of Konstanz, 2006
  • International Conference on Finance, University of Copenhagen, 2005
  • American Eastern Finance Association Meetings, 2005 (Norfolk), 2004 (Mystic)
  • Conference on “New Frontiers in Financial Volatility Modelling”, Florence, 2003
  • International Conference on “Market Microstructure and High-Frequency Data in Finance”, Sandbjerg, 2001
  • International Conference on “The Econometrics of Financial Markets”, Delphi, 2001
  • World Congress of the Econometric Society, Seattle, 2000
  • Conference of the Swiss Society for Financial Market Research (SGF), Zurich, 2000
  • Symposium on Microstructure and High Frequency Data, Paris, 1998
Back…