- Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, with Bibinger, M. and Neely, C., forthcomming Journal of Econometrics, 2019. Federal Reserve Bank of St. Louis Working Paper, 2017-012A. PDF
- Common price and volatility jumps in noisy high-frequency data, with Bibinger, M., Electronic Journal of Statistics, 12, 2018-2073, 2018. pdf
- Forward guidance and the predictability of monetary policy - a wavelet based jump detection approach, Journal of the Royal Statistical Society: Series C, 65, pages 299-314, 2016. PDF
- ECB monetary policy surprises: identification through cojumps in interest rates, with Bibinger, M., Linzert, T. Journal of Applied Econometrics, 31, pages 613-629, 2016. PDF; ECB Working paper No 1674. PDF.
- Econometrics of cojumps in high-frequency data with noise, with Bibinger, M., Journal of Econometrics, 184(2), pages 361-378, 2015. PDF
- Assessing the Anchoring of Inflation Expectations, with Strohsal, T., Journal of International Money and Finance, 50, pages 33-48, 2015. PDF