Selecting Models with Judgment, 2018

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Deciding with Judgment, 2018

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Quantile Impulse Response Functions (with Sulkhan Chavleishvili), 2017

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Bank risk during the financial crisis: do business models matter? (with Yener Altunbas and David Marques), Journal of Financial Intermediation, forthcoming

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Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area (with Carlos Garcia-de-Andoain, Florian Heider and Marie Hoerova), 2016, Journal of Financial Intermediation, 28: 32-47

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A high frequency assessment of the ECB Securities Markets Programme (with Eric Ghysels, Julien Idier and Olivier Vergote), 2017, Journal of the European Economic Association, 15: 218-243

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Financial Development, Sectoral Reallocation, and Volatility: International Evidence (with Alexander Popov), 2015, Journal of International Economics, 96: 323-337

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VAR for VaR: Measuring tail dependence using multivariate regression quantiles (with Halbert White and Tae-Hwan Kim), 2015, Journal of Econometrics, 187: 169-188

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Discussion of 'Central Bank Macroeconomic Forecasting during the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences' by L. Alessi, E. Ghysels, L. Onorante, R. Peach, S. Potter, (with Kirstin Hubrich), 2014, Journal of Business and Economic Statistics, 32(4)

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Fragmentation in the Euro overnight unsecured money market (with Carlos Garcia de Andoain and Peter Hoffmann), 2014, Economics Letters, 125: 298-302

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Measuring Comovements by Regression Quantiles (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2014, Journal of Financial Econometrics, 12 (4): 645-678

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Financial Dependence, Global Growth Opportunities, and Growth Revisited (with Alex Popov), 2013, Economics Letters, 120: 123-125

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The Impact of the Euro on Equity Markets (with Lorenzo Cappiello and Arjan Kadareja), 2010, Journal of Financial and Quantitative Analysis, 45(2): 473-502

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Forecasting with Judgement, 2009, Journal of Business & Economic Statistics, 27(4): 553-563

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What Drives Spreads in the Euro Area Government Bond Market? (with Guido Wolswijk), 2009, Economic Policy, 48: 191-240

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The Central Banker as a Risk Manager: Estimating the Federal Reserve´s Preferences Under Greenspan (with Lutz Kilian), 2008, Journal of Money, Credit, and Banking, 40: 1103-1129

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Quantifying the Risk of Deflation (with Lutz Kilian), 2007, Journal of Money, Credit, and Banking, 39: 561-590

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Duration, Volume and Volatility Impact of Trades, 2005, Journal of Financial Markets, 8: 377-399

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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (with Robert Engle), 2004, Journal of Business & Economic Statistics, 22(4): 367-381

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Asset Allocation by Variance Sensitivity Analysis, 2004, Journal of Financial Econometrics, 2(3):370-389

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EMU and the European Financial System: Structure, Integration and Policy Initiatives (with Philipp Hartmann and Angela Maddaloni), 2003, Oxford Review of Economic Policy, 19(1): 180-213

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The impact of the securities markets programme, ECB Research Bulletin No. 17, European Central Bank, Frankfurt am Main, Winter 2012

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New methodologies for systemic risk measurement (with Stefano Corradin and Bernd Schwaab), ECB Research Bulletin No. 12, European Central Bank, Frankfurt am Main, Spring 2011

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The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets (with John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe,Fernando Monar, Benjamin Sahel, Matjaž Sušec, Jens Tapking and Tana Vong), 2011, ECB OP No. 122

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Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR (with Tae-Hwan Kim and Halbert White), 2008, in Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle, ed. by M. Watson, T. Bollerslev and J. Russell

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Measuring Financial Integration in New EU Member States (with Markus Baltzer, Lorenzo Cappiello and Roberto De Santis), 2008, ECB OP No. 81

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Financial integration and capital flows in the new EU Member States (with Lorenzo Cappiello), ECB Research Bulletin No. 6, European Central Bank, Frankfurt am Main, June 2007

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Financial Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, ECB WP No. 683

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Equity Market Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, in Financial Development, Integration and Stability. Evidence from Central, Eastern and South-Eastern Europe, ed. by K. Liebscher, J. Christl, P. Mooslechner and D. Ritzberger-Gruenwald, Edward Elgar UK

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Capital Markets and Financial Integration in Europe (with Philipp Hartmann and Cyril Monnet), 2006, in Competition and Profitability in European Financial Services. Strategic, Systemic and Policy Issues, ed. by A. Mullineux, M. Balling and F. Lierman, SUERF, Routledge

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The central banker as a risk manager (with Lutz Kilian), ECB Research Bulletin No. 2, European Central Bank, Frankfurt am Main, April 2005

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Risk Management for Central Bank Foreign Reserves (edited volume with Carlos Bernadell, Pierre Cardon, Joachim Coche and Francis X. Diebold), European Central Bank, Frankfurt am Main, May 2004

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A Comparison of Value at Risk Models in Finance (with Robert Engle), Risk Measures for the 21st Century, ed. Giorgio Szego, Wiley Finance, 2004

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A Framework for Forecasting and Evaluating Inflation Risks (with Lutz Kilian), The Economic Outlook for 2004. Proceedings of the 51st Conference on the Economic Outlook, Ann Arbor, MI, November 2003

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