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.
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
Articles in Journals
- "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty" (with Stefan Voigt), Journal of Econometrics, forthcoming. CFS Working Paper No. 582 arXiv Download
- "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
- Google Scholar
"Counterparty credit limits: An effective tool for mitigating counterparty risk?" (with Martin D. Gould, Sam D. Howison and Mason A. Porter), CFS Working Paper No. 581 arXiv Download
- "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
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