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“Ranking ranks: a ranking algorithm for bootstrapping from the empirical copula”. 2012, Computational Statistics, accepted, jointly with T. Blumentritt.
“Estimating correlation and covariance matrices by weighting of market similarity”. 2011, Quantitative Finance, accepted, jointly with M. C. Münnix, R. Schäfer.
“Spatial dependence in wind and optimal wind power allocation: a copula based analysis”. 2011, Energy Policy 39(9), jointly with J. Schnieders.
“Kendall's W reconsidered”. 2011, Communications in Statistics - Simulation and Computation 40(2), jointly with F. Schmid.
“Scaling of Levy-Student processes”. 2010, Physica A: Statistical Mechanics and its Applications 389(7), jointly with R. Schmidt.
“Liquidity-Based Estimation of Stochastic Volatility under Microstructure Noise”. 2009, SSRN Working Paper 1116753, jointly with C. Müller.
“Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Lévy Processes and the Dependence of Jumps”. 2008, Dissertation, University of Cologne.
“Liquiditätsrisiken statt Preisrisiken: Steuerung von Clearingzahlungen bei Future-Portfolios”. 2007, emw – Zeitschrift für Energie, Markt, Wettbewerb 6/2007, jointly with C. Müller, G. Schiller.
“Motion-Detecting Modular Microscope System”. 2007, Patent Publ. WO/2007/128433, jointly with G. Berger, H. Deitmar, C. Denz, F. Holtmann, V.V. Krishnamachari.
“Measurement of Density Changes in Fluid Flow by an Optical Nonlinear Filtering Technique”. 2006, Proc. 12th Intern. Symposium on Flow Visualization, ISBN 0-9533991-8-4, jointly with F. Holtmann, V.V. Krishnamachari, H. Deitmar, M. Eversloh, M. Wördemann und C. Denz.
“Modellierung von Energiepreisrisiken durch Bindefristen bei öffentlichen Ausschreibungen”. 2006, emw – Zeitschrift für Energie, Markt, Wettbewerb 6/2006, jointly with C. Müller, F. Müsgens.
“Echtzeitbestimmung von Geschwindigkeits- und Dichtefeldern in Mikroströmungen mit Hilfe optisch nichtlinearer Bildaufnahme”. 2006, Lasermethoden in der Strömungsmesstechnik, Hrg. D. Dopheide, H. Müller, V. Strunck, B. Ruck, A. Leder, GALA Verlag 2006, ISBN 3-9805613-3-X, jointly with F. Holtmann, M. Wördemann, M. Eversloh, H. Deitmar, V.V. Krishnamachari und C. Denz.
“Bayesian Estimation of Volatility with Moment-Based Nonlinear Stochastic Filters”. 2006, Diskussionsbeitrag Nr. 401 / Diskussionsbeiträge Fakultät für Wirtschaftswissenschaft FernUniversität in Hagen, jointly with H. Singer.
“Novelty Filtering with a Photorefractive Lithium-Niobate Crystal”. 2005, Appl. Phys. Lett. 87, jointly with V. V. Krishnamachari, H. Deitmar, C. Denz.
“A Lithium-Niobate-Based Photorefractive Novelty Filter Microscope and its Application in Micro-Fluid Flow Diagnostics”. 2005, Photorefractive effects, materials, and devices, OSA Tops 99, jointly with V. V. Krishnamachari, H. Deitmar, C. Denz.
Diploma Theses:
Physics: “Realisation eines bildgebenden Messverfahrens für die Analyse von Strömungen und Mischungsvorgängen auf der Basis photorefraktiver Strahlkopplung”, 2005, WWU Münster.
Economic sciences: “Einsatz nichtlinearer stochastischer Filter bei der Modellierung von Strompreisen und -derivaten”, 2005, FU Hagen.
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