Recent Working Papers
- (with R. J. Lange) Modeling the Interactions between Volatility and Returns, CWPE 1518, 2015.
- (with R. J. Lange) Volatility Modeling with a Generalized t-distribution, CWPE 1517, 2015
- (with S . Thiele) Testing against Changing Correlation, CWPE 1439, 2014.
- (with M. Caivano), Two EGARCH models and one fat tail. CWPE 1326, 2013.
- (with M. Caivano) Time series models with an EGB2 conditional distribution, CWPE 1325, 2013.