Research
Working papers and ongoing research in econometrics, nonlinear dependence, financial risk, and networks.
PDF links will be added when manuscripts are ready for public distribution.
Auto-Hellinger Correlation for Serial Dependence: Rank-Based Tests
Submitted to Journal of Time Series Analysis
Prewhitening of Nonlinear Correlation
Work in progress
Forecasting Using Nonlinear Dependence
Work in progress
Iterated Forecast Combination for Joint VaR–ES Prediction: Stabilizing Performance under Rule-Selection Uncertainty
Working paper
Structural Model of Clearing and Contagion in Financial Networks
Working paper
Asymmetry in Financial Networks and Financial Crises
Work in progress
Do ECAs Serve Their Intended Purpose?
Work in progress
Can Market Noise Be a Factor?
Work in progress
A Better Measure for Currency Risk?
Work in progress