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.
    "Modelling Irregularly Spaced Financial Data – Theory and Practice of Dynamic Duration Models" , Lecture Notes in Economics and Mathematical Systems, Vol. 539, Springer, Berlin, 2004.

Handbook Articles and Book Chapters

    “High-Frequency Trading: Costs and Benefits”, in Proceedings of the 44th Economics Conference, Österreichische Nationalbank, forthcoming.
    "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
    "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

Articles in Journals

    "How Effective Are Trading Pauses?" (with Akos Horvath), Journal of Financial Economics, forthcoming. working paper version
    "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

Working Papers

    "The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods" (with Michael Noé and Sarah Zhang), CFS Working Paper No. 580
    "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  

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
  • 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

  • University of Cologne, December 2017
  • Royal Holloway College, University of London, December 2017
  • “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