Research

Working Papers:

• The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (Joint work with Ruijun Bu, Marwan Izzeldin, Anthony Murphy, and Mike Tsionas). paper
• Forecasting the Realized Variance in the Presence of Intraday Periodicity. (Joint work with Ana-Maria H. Dumitru and Marwan Izzeldin). paper
• A Generalized Heterogeneous Autoregressive Model using Market Information. (Joint work with Marwan Izzeldin, Ingmar Nolte, and Vasileios Pappas). paper
• A Simple Model Correction for Modelling and Forecasting (Un)Reliable Volatility. (Joint work with Marwan Izzeldin and Mike Tsionas). paper
• Evaluating the Underlying Components of High Frequency Financial Data: Finite Sample Performance and Microstructure Noise Effects. (Joint work with Marwan Izzeldin). paper
• Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps. (Joint work with Marwan Izzeldin and Ingmar Nolte). paper
• Which Trades Matter and When: Evidence from High Frequency Data. (Joint work with Ana-Maria H. Dumitru, Marwan Izzeldin and Peiran Shi). paper available soon!
• A Review on the Role of Jumps on Return and Volatility. (Joint with Marwan Izzeldin). paper available soon!