Working papers under revision or initial review

Bank to sovereign risk spillovers across borders:
Evidence from the ECB's Comprehensive Assessment
, joint with Johannes Breckenfelder.
R&R, Journal of Empirical Finance.
(Most recent version: November 2017) (SSRN) (Web Appendix)
A study of risk spillover from the banking to the sovereign sector within and across borders in the euro area.
Market participants understand that euro area countries (taxpayers) share the burden of rescuing foreign banks in distress.

Work in progress

Score-driven tail shape, with application to bond yields at a high frequency, joint with Andre Lucas and Xin Zhang.
(a previous version)
A score-driven framework to model the time variation in the tail shape parameter of a Generalized Pareto Distribution.
ECB bond purchases between 2010-2012 had an impact on higher-order moments of bond yield changes as well.

Risk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
(in progress)

Nonlinear dynamic factor models with interacting levels and variance, joint with Geert Mesters and Siem Jan Koopman.
(in progress)

Dynamic^2 clustering of high-dimensional multivariate panel data, joint with Andre Lucas and Julia Schaumburg.
(in progress)

External presentations


* WHU Business School, Vallendar, Finance seminar, 22 Jan 2018

* Conference on "Bank business models", Bundesbank, Frankfurt 20-21 Feb 2018

* HeiKaMEtrics econometrics seminar series, KIT Karlsruhe, 26 Apr 2018


* FMA Latin-American conference, Mexico City, 16-17 Feb 2017

* Vienna-Copanhagen conference on Financial Econometrics, Vienna, 09-11 Mar 2017

* Time series econometrics and applications workshop, Barcelona, 6-7 Jun 2017

* High-dimensional time series econometrics, IAS Vienna, 8-9 Jun 2017

* 1st EcoSta (CFE) conference, Hong Kong, 15-18 Jun 2017

* 10th annual SoFiE conference, NYU Stern, 21-23 Jun 2017

* SoFiE course on term structure modeling, NBB Brussels, 26-30 Jun 2017

* 2017 Annual meeting of the central bank research association, Ottawa, 20-21 Jul 2017

* Credit risk workshop, Basel, 14-15 Sep 2017

* GRETA credit conference, Vienna, 28-29 Sep 2017

* ESCB research cluster conference on financial stability, Athens, 02-03 Nov 2017

* [Temporary secondment to ECB Directorate Risk Management Dec 17 - Apr 2018.]

* EC^2 conference, Amsterdam, 14-15 Dec 2017