Publications

A Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices and Portfolio Selection, 2024, Journal of Financial Econometrics, with Maurizio Daniele and Aygul Zagidullina, https://doi.org/10.1093/jjfinec/nbae017
Can we give the Maximum Sharpe Ratio Portfolio a Chance?, 2024, in: Knoth, S., Okhrin, Y. and P. Otto, (eds), Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science - Essays in Honour of Wolfgang Schmid, 337–366, Heidelberg: Springer, with Ekaterina Kazak, https://doi.org/10.1007/978-3-031-69111-9_16
A network model of stress contagion: evidence from the vocational classroom, Empirical Research in Vocational Education and Training, 2024, Vol. 16 (1), with T. Kärner and L. Shkoza, https://doi.org/10.1186/s40461-024-00166-0
Bagged Pretested Portfolio Selection, 2023, Journal of Business and Economics Statistics, 41, 1116–1131, with Ekaterina Kazak, https://doi.org/10.1080/07350015.2022.2110880. Listen also to a genAI generated podcast about this paper by NotebookLM from Google.
Response to Zöller’s et al.’s critique on “Potential short-term earthquake fore- casting by farm-animal monitoring”, 2021, Ethology; 127: 307-308, with Martin Wikelski et al., https://doi.org/10.1111/eth.13122
Potential short-term earthquake forecasting by farm-animal monitoring, 2020, Ethology; 126: 931–941, with Martin Wikelski et al., https://doi.org/10.1111/eth.13078