Publicly available working papers are listed below. Please send me an e-mail for the other ones.

“Liquidity and credit risk premia in government bond yields”. ECB Working Papers, jointly with J. Ejsing, M.Grothe.  [link]

“Modeling Multivariate Extreme Events Using Self-Exciting Point Processes”. CGS Working Papers, jointly with V. Korniichuk, H. Manner.  [link]

“Measuring Association between Random Vectors”. arXiv, jointly with F. Schmid, J. Schnieders, J. Segers.  [link]

“Modeling spike occurrences in electricity spot prices for forecasting”. METEOR Research Memoranda, jointly with M. Eichler, O. Grothe, H. Manner, D. Tuerk.  [link]

“Liquidity-Based Estimation of Stochastic Volatility under Microstructure Noise”. SSRN, jointly with C. Müller.  [link]