Forschung:

Research Interests

• Quantitative Risk Management
• Electricity Exchange Markets
• Asset Pricing
• Econometrics
• Multivariate Statistics

Publikationen:

Artikel:

• "Robust Estimation of Integrated Variance and Quarticity under Flat Price and No Trading Bias", Journal of Energy Markets (2011), 4, 51-90.
• "The Effect of Infrequent Trading on Detecting Price Jumps", (with Karl Mosler) Advances in Statistical Analysis (2011), 95, 27-58.
  

Working Papers:

• "Explaining Time-Varying Risk of Electricity Forwards: Trading Activity and News Announcements", 2011.

Books:

• "Quadratic Variation of Financial Asset Prices – Theoretical Approaches and Empirical Evidence on Power Derivatives." Schriftenreihe: Innovative betriebswirtschaftliche Forschung und Praxis, Band 291, 146 Seiten, Verlag Dr. Kovac (Hamburg), zugleich Dissertation, Universität zu Köln, 2011.