Books and Monographs

• "Econometrics of Financial High-Frequency Data", Springer, Berlin, 2012.

• "Applied Quantitative Finance" (with Wolfgang K. Härdle and Ludger Overbeck), 2nd ed., Springer, Berlin, 2008.

• "Modelling Irregularly Spaced Financial Data – Theory and Practice of Dynamic Duration Models" , Lecture Notes in Economics and Mathematical Systems, Vol. 539, Springer, Berlin, 2004.

Handbook Articles and Book Chapters

• "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data" (with Ruihong Huang), forthcoming in:"Market Microstructure: Confronting Many Viewpoints – Conference Proceedings", F. Abergel, J.-P. Bouchaud, T. Foucault, C. Lehal, M. Rosenbaum (eds.), Wiley Intersciences. working paper version

• "Modelling Financial High Frequency Data Using Point Processes" (with Luc Bauwens), in: “Handbook of Financial Time Series”, T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Springer, 2009. working paper version

• "Stochastic Volatility Estimation Using Markov Chain Simulation" (with Yangguoyi Ou), in: “Applied Quantitative Finance”, 2nd, W. K. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version

• "High-Frequency Volatility and Liquidity" (with Vahidin Jeleskovic), in: “Applied Quantitative Finance”, 2nd, W. K. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version

• "Measuring and Modeling Risk Using High-Frequency Data" (with Wolfgang K. Härdle and Uta Pigorsch), in: “Applied Quantitative Finance”, 2nd, W. Härdle, N. Hautsch and L. Overbeck (eds.), Springer, Berlin, 2008. working paper version

Articles in Journals

• "Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics" (with Wolfgang K. Härdle and Andrija Mihoci), forthcoming Journal of Empirical Finance, working paper version

• "A blocking and regularization approach to high dimensional realized covariance estimation" (with Lada M. Kyj and Roel Oomen), forthcoming Journal of Applied Econometrics working paper version

• "Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model"; (with Fuyu Yang), forthcoming Computational Statistics and Data Analysis, working paper version

• "The Market Impact of a Limit Order"; (with Ruihong Huang), Journal of Economic Dynamics and Control , 36, 501-522, 2012. working paper version

• "Price Adjustment to News with Uncertain Precision" (with Dieter Hess and Christoph Müller), Journal of International Money and Finance, 31 (2), 337-365, 2012. working paper version

• "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility" (with Dieter Hess and David Veredas), Journal of Banking and Finance, 35 (10), 2733-2746, 2011. working paper version

• "When machines Read the News: Using Automated Text Analytics to Quantify High Frequency News-Implied Market Reactions" (with Axel Groß-Klußmann), Journal of Empirical Finance, 18 (2), 321-340, 2011. working paper version

• "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model", Journal of Economic Dynamics and Control, 32, 3978-4009, 2008. working paper version

• "Modelling the Buy and Sell Intensity in a Limit Order Book Market" (with Anthony D. Hall), Journal of Financial Markets, 10 (3), 249-286, 2007.

• "A Dynamic Semiparametric Proportional Hazard Model" (with Frank Gerhard), Studies in Nonlinear Dynamics & Econometrics, 11(2), Article 1, 2007. working paper version

• "Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery" (with Dieter Hess), Journal of Financial and Quantitative Analysis, 42(1), 189-208, 2007. working paper version
  
  
• "Stochastic Conditional Intensity Processes" (with Luc Bauwens), Journal of Financial Econometrics, 4, 450-493, 2006. working paper version
  
  
• "Order Aggressiveness and Order Book Dynamics" (with Anthony D. Hall), Empirical Economics, 30, 973-1005, 2006. working paper version

• "Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities", Journal of Financial Econometrics, 1(2), 189-215, 2003. 
  
  
• "Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations" (with Joachim Inkmann), Journal of Asset Management, 4(3), 173-198, 2003.
  
  
• "Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions" (with Stefan Klotz), Journal of Economic Behavior and Organization, 52, 97-113, 2003. working paper version
  
  
• "Volatility Estimation on the Basis of Price-Intensities" (with Frank Gerhard), Journal of Empirical Finance, 9, 57-89, 2002. working paper version
  
  
• "The Processing of non-anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report" (with Dieter Hess), Review of Finance, 6, 133-161, 2002. working paper version
  
  
• "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities" (with Winfried Pohlmeier), Journal of the German Statistical Association (Allgemeines Statistisches Archiv), 86, 5-30, 2002. working paper version