Ausgewählte Publikationen (siehe CV für eine vollständige Liste)

Working papers


Work in progress & andere

  • Fast Extraction of Common Factors from Heterogeneous Data
  • IVX-Based Panel Predictive Regressions for Stock Returns, with C. Hanck
  • Testing the Predictability of Stock Returns with Smoothly Varying Deterministic Mean, with M. Hosseinkouchak
  • Cross-Sectional Error Dependence in Panel Quantile Regressions, with M. Hosseinkouchak
  • Identification and Estimation of Dynamic Factor Models, with J. Breitung
  • Monitoring Value-at-Risk and Expected Shortfall Forecasts, with Y. Hoga
  • Spurious Long-Range Dependence in Realized Volatilities? A panel examination, with C. Pigorsch and A.I. Tarcolea
  • Long Autoregressions under Asymmetric Loss, with A. Titova
  • Testing the Marginal Normality of Heteroskedastic Series, with R. Kruse
  • Do persistent predictors predict stock returns directionally? with C. Leschinski
  • Fractional Integration and Cointegration Testing Using the Sample Mean (not working on it anymore)
  • Corrigendum to "Testing predictive regression models with nonstationary regressors" (Zongwu Cai and Yunfei Wang, Journal of Econometrics 178, 4-14)