Determinants of Time Varying Co-movements among International Stock Markets during Crisis and Tranquil Periods(with Mobarek, A., Bobarek, B., Muradoglu,G.,)
Journal of Financial Stability 2016, 24, 1-11. Published paper; SSRN version
Macro-Finance Determinants of the Long-Run Stock-Bond Correlations: The DCC-MIDAS Specification(with Hossein Asgharain, Charlotte Christiansen)
Journal of Financial Econometrics 2016, 14 (3), 617-642. Published paper; SSRN version
Effective of Macroeconomic Uncertainty on the stock and bond markets (with Hossein Asgharain, Charlotte Christiansen)
Finance Research Letters 2015,Vol. 13, No. May, p.10-16. Published paper; SSRN version
Importance of the Macroeconomic Variables for Volatility Prediction: A GARCH-MIDAS Approach (with Hossein Asgharian and Javed Farrukh)
Journal of Forecasting 2013, 32, 7, p.600-612 Published paper; Working paper version
EMU Equity Markets' Return Varianceand Spill Over Effects from Short-term Interest Rates
Quantitative Finance 2013, Vol. 13, No.3,451-470 Published paper; SSRN version
Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach
Journal of international Financial Markets 2013 , Institutions & Money, Vol. 23, February, 12-32. Published paper; Working paper version
A NonParametrical GARCH Model of Crude Oil Price Return Volatility(with Sandy Suardi)
Energy Economics 2012, Vol. 34, Nr. 2, 618-626. Published paper
VIX Futures Calendar Spreads (with Lars Norden)
Journal of Futures Markets, 2018, Vol 38, Page 822-838. Published paper; SSRN version
Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing
(with Hossein Asgharain, Charlotte Christiansen and Weining Wang)
Journal of International Financial Markets, Institutions, and Money, forthcoming; SSRN version
Hedge and Safe Haven Investing with Investment Styles (with Ian Khrashchevskyi, Jarkko Peltomäki)
Journal of Asset Management (2019), Vol. 20, no 5, p. 351-364
Pricing cryptocurrency options (with Weining Wang, Cathy Chen, Wolfgang Härdle)
Journal of Financial Econometrics, forthcoming; SSRN version
Modelling and forecasting Short-Term Interest Rate Volatility: A Semi-Parametrical Approach
(with Sandy Suardi)
Journal of Empirical Finance 2011, Vol. 18, Nr. 4, 692-710. Published paper; Working paper version