Asset Allocation by Penalized Least Squares, 2007, ECB WP No. 723

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Measuring Comovements by Regression Quantiles (with Lorenzo Cappiello and Bruno Gerard), 2005, ECB WP No. 501

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Forecasting with Judgement, 2007, forthcoming, Journal of Business & Economic Statistics

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What Drives Spreads in the Euro Area Government Bond Market? (with Guido Wolswijk), 2009, Economic Policy, 48: 191-240

The Impact of the Euro on Equity Markets (with Lorenzo Cappiello and Arjan  Kadareja), forthcoming, Journal of Financial and Quantitative Analysis

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The Central Banker as a Risk Manager: Estimating the Federal Reserve´s Preferences Under Greenspan (with Lutz Kilian), 2008, Journal of Money, Credit, and Banking, 40: 1103-1129

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Quantifying the Risk of Deflation (with Lutz Kilian), 2007, Journal of Money, Credit, and Banking 39: 561-590

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Duration, Volume and Volatility Impact of Trades, 2005, Journal of Financial Markets 8: 377-399

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CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (with Robert Engle), 2004, Journal of Business & Economic Statistics, 22(4): 367-381

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NOTE: This paper was referenced in the technical documentation made available at the official Nobel website.

Asset Allocation by Variance Sensitivity Analysis, 2004, Journal of Financial Econometrics, 2(3):370-389

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EMU and the European Financial System: Structure, Integration and Policy Initiatives (with Philipp Hartmann and Angela Maddaloni), 2003, Oxford Review of Economic Policy, 19(1): 180-213

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Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR (with Tae-Hwan Kim and Halbert White), 2008, in Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle, ed. by M. Watson, T. Bollerslev and J. Russell

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Measuring Financial Integration in New EU Member States (with Markus Baltzer, Lorenzo Cappiello and Roberto De Santis), 2008, ECB OP No. 81

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Financial Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, ECB WP No. 683

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Equity Market Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, in Financial Development, Integration and Stability. Evidence from Central, Eastern and South-Eastern Europe, ed. by K. Liebscher, J. Christl, P. Mooslechner and D. Ritzberger-Gruenwald, Edward Elgar UK

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Capital Markets and Financial Integration in Europe (with Philipp Hartmann and Cyril Monnet), 2006, in Competition and Profitability in European Financial Services. Strategic, Systemic and Policy Issues, ed. by A. Mullineux, M. Balling and F. Lierman, SUERF, Routledge

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Risk Management for Central Bank Foreign Reserves (edited volume with Carlos Bernadell, Pierre Cardon, Joachim Coche and Francis X. Diebold), European Central Bank, Frankfurt am Main, May 2004

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A Comparison of Value at Risk Models in Finance (with Robert Engle), Risk Measures for the 21st Century, ed. Giorgio Szego, Wiley Finance, 2004

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NOTE: This paper was referenced in the technical documentation made available at the official Nobel website.

A Framework for Forecasting and Evaluating Inflation Risks (with Lutz Kilian), The Economic Outlook for 2004. Proceedings of the 51st Conference on the Economic Outlook, Ann Arbor, MI, November 2003

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