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 paperWorking paper 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

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, Vol.74, 101412; 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

The Effect of Uncertainty on Volatility and Correlation (with Asgharian Hossein and Charlotte Christiansen), forthcoming at the Journal of Banking and Finance. SSRN version is here.

Pricing cryptocurrency options (with Weining Wang, Cathy Chen, Wolfgang Härdle)

Journal of Financial Econometrics, 2020, Vol. 18, p250-279,  SSRN version