Selected Publications with data and program codes

complete list of publications in c.v.


A Two-step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model,

Creative Destruction and Asset Prices

Journal of Financial and Quantitative Analysis, Vol. 51, Issue 06, December 2016, pp 1739-1768 

with S. Jank


Tell-Tale Tails: A New Approach to Estimating Unique Market Information Shares,

Journal of Financial and Quantitative Analysis, Vol. 48, Issue 02, April 2013, pp 459-488

Data, Programs and readme,


A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation,

Journal of Economic Dynamics and Control, Vol. 32, Issue 7, 2008,  2370-2396,

 Data, Programs and readme,

with K. Kehrle


Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?,

Journal of Financial Markets, Vol. 10, 2007, 26 - 47, 

Data and Programs and readme,

with E. Boehmer and E. Theissen


A Familiy of Autoregressive Conditional Duration Models,

Journal of Econometrics, Vol. 130/1, 2006, 1 - 23,

 Data and Programs and readme,

with M. Fernandes


 Non-parametric Specification Tests for Conditional Duration Models,

Journal of Econometrics, Vol. 127, 2005, 35 - 68,

Data and Programs and readme,

with M. Fernandes


Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects

Journal of Empirical Finance, Vol. 12/1, 2005, 139 - 164,

Data and Programs and readme

with M. Melvin and C. Schlag


Discrete Choice Modelling in Airline Network Management,

Journal of Applied Econometrics, Vol. 20, 2005, 467 - 486,

Data and Programs and readme,

with R. Hujer and M. Scheidler


A Comparison of Financial Duration Models via Density Forecasts,

International Journal of Forecasting, Vol. 20, 2004, 589 - 609,

Data and Programs and readme,

with L. BauwensP. Giot and D. Veredas 


 Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes,

Journal of Econometrics, Vol. 106/2, 2002, 369 - 400,

Data and Programs,

with M. Wellner


Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets,

Journal of Financial Markets, Vol. 4, 2001, 385 - 412,

Data and Programs,

with D. Schiereck and E. Theissen


Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model,

Econometrics Journal, Vol. 3, 2000, 16 - 38,

Data and Programs,

with K.-O. Maurer

Selected Working Papers


Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults


Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach. Available at SSRN:


Give me Strong Moments and Time - Combining GMM and SMM to Estimate Long-Run Risk Asset Pricing Models. Available at SSRN: Appendix