Published papers
Published papers in referred journals
- “Global FX Trading & FOMC Deliberations”, with Andreas M. Fischer. Forthcoming in Journal of Banking & Finance.
Paper to download.
- “A forecast based comparison of restricted realized covariance models”, with Matteo Bonato and Massimiliano Caporin. Forthcoming in European Journal of Finance .
Paper to download.
- “The Time-Varying Systematic Risk of Carry Trade Strategies ”, with Charlotte Christiansen and Paul Söderlind. SNB Working Paper 2010-1. Forthcoming in Journal of Financial & Quantitative Analysis.
Paper to download, Appendix with additional results.
- “Safe Haven Currencies”, with Paul Söderlind. Working Paper St. Gallen University and FINRISK, and Swiss National Bank working paper # 2007-17. CEPR Discussion Paper #7249. Review of Finance 14(3), 385–407. (Lead Article).
Paper to download
- “The reaction of financial assets to Swiss National Bank communication”, with Enzo Rossi. Swiss National Bank working paper # 2007-11. Journal of International Money & Finance 29(3), 486–503.
Paper to download
- “Segmentation and time-of-day patterns in foreign exchange markets”, accepted as a Swiss National Bank working paper (no. 2007-3). Paper accepted at the European Finance Association, 34 Annual Meetings, Ljubljana, 22-25 August 2007. Journal of Banking & Finance 33(12), 2199-2206.
Paper to download
- “The Implementation of the SNB Monetary Policy ”, with Thomas Jordan and Paul Söderlind, Journal of Financial Markets & Porfolio Management 23(4), 349-359.
Paper to download
- “Editorial”, with Paul Söderlind, Journal of Financial Markets & Portfolio Management 23(4), 333-334. Paper to download
- “Extreme Coexceedances in New EU Member States' Stock Markets”, with Charlotte Christiansen, Swiss National Bank working paper # 2008-10; Journal of Banking & Finance 33, 1048-1057.
Paper to download
- “Intraday Market Dynamics Around Public Information Arrivals”, Accepted at the 2004 annual meeting of the American Finance Association in San Diego. FAME research paper number 45 and Swiss National Bank working paper (no. 2006-11). Published in: Greg N. Gregoriou and Francois-Serge Lhabitant (eds): "Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing", 2007, John Wiley and Sons.
Paper to download
- “Wolf in sheep’s clothing: the active investment strategies behind index performance", (with Rainer Haeberle), European Financial Management, Vol. 13 Issue 3, Page 371, June 2007.
Paper to download
- “Realized Bond-Stock Correlation: Macroeconomic News Effects", (with Charlotte Christiansen), 2007, Journal of Futures Markets 27(5), 439-469. It was also accepted as a SNB working paper (no. 2006-2).
Paper to download
- “Hedge Fund Returns: From Two- To Four-Moment CAPM”, (with Laurent Favre), Journal of Alternative Investments, 2005, Winter Issue.
Paper to download
- “Order Aggressiveness in Limit Order Book Markets”, Journal of Financial Markets, 2004, Volume 7, Number 1.
Paper to download
- “Transaction Costs on the Swiss Stock Exchange”, Journal of Financial Markets and Portfolio Management, 2002, Volume 16, Number 1.
Paper to download
- “Intraday Market Liquidity on the Swiss Stock Exchange”, Journal of Financial Markets and Portfolio Management, 2001, Volume 16, Number 1.
Paper to download
- “Intraday Trading Activity on Financial Markets: the Swiss Evidence”, Ph.D. Thesis, University of Fribourg, Switzerland
Book to download