Professor at the Department of Statistics and Operations Research, University of Vienna
Financial econometrics, financial high-frequency data, market microstructure analysis, estimation of volatility and correlation, liquidity and order book modeling, systemic risk analysis, financial network analysis
"How Effective Are Trading Pauses?" (with Akos Horvath), Journal of Financial Economics, forthcoming
“Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence” (with Markus Bibinger, Peter Malec and Markus Reiss), Journal of Business & Economic Statistics, forthcoming.
"Systemic Risk Spillovers in the European Banking and Sovereign Network" (with Frank Betz, Tuomas Peltonen and Melanie Schienle), Journal of Financial Stability, 25, 206-224, 2016.
"Financial Network Systemic Risk Contributions" (with Julia Schaumburg and Melanie Schienle), Review of Finance, 19 (2), 685-738, 2015.
"Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency" (with Markus Bibinger, Peter Malec and Markus Reiß), Annals of Statistics, 42 (4), 1312-1346, 2014.
"Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence" (with Mark Podolskij), Journal of Business & Economic Statistics, 31 (2), 165-183, 2013.