Aktuelle Forschungspapiere

“Cash-flow and discount-rate news in REIT returns”
(with Valentin Séchaud), October 2021

“Does central clearing affect counterparty risk and liquidity risk in the sovereign CDS market?”
(with Joséphine Molleyres), August 2021
https://ssrn.com/abstract=3415563 or http://dx.doi.org/10.2139/ssrn.3415563

“Mean-reversion in commodity futures volatility: An analysis of daily range-based stochastic volatility models
(with Stephen Figlewski and Marco Haase and Matthias Huss), April 2021

“Wheat price volatility over 140 years: An analysis of daily price ranges”
(with Marco Haase and Matthias Huss), April 2021

“How does income and financial satisfaction change with retirement?
Insights from Swiss panel data
” (with Yvonne Seiler Zimmermann), January 2021

“The Pricing of Volatility Risk in the US Equity Market”, revise and resubmit
(with Lukas Hitz and Ismail Mustafi), December 2020

“Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?”
(with Daniel Hoechle and Markus Schmid), March 2020,
Paper presented at the Annual Meeting of the American Finance Association (ASSA) 2021

“Anomaly in Stock-Bond Correlations. The Role of Monetary Policy”
(with Jonas Gusset), September 2016