Research

Publications

• Extreme Downside Risk in Asset Returns
  International Review of Financial Analysis (2023), 90,102840.

• Technical trading rules, loss avoidance, and the business cycle (with Philip Stork and Sasha Molchanov)
  Pacific-Basin Finance Journal (2023), 82, 102172.

Book Publications

• Ergun, L.M., Stork, P.A., 2013. Tail Risk Reduction Strategies. In: Wehn, C.S., Hoppe, C., Gregoriou, G.N. (Eds)., Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges. Academic Press, Elsevier Inc., pp. 457–470.

Working Papers

• Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service (with Andreas Uthemann)
  Online Appendix
  (Best Applied Paper Award, Econometric Society European Meeting Award 2017)
  R&R The Journal of Finance

• Tail Index Estimation: Quantile-Driven Threshold Selection (with Jon Danielsson and Casper de Vries)
  R code KS-quantile metric here

• Worst-case analysis (with Jon Danielsson and Casper de Vries)

• Covariates hiding in the tails (with Casper de Vies and Milian Bachem)
  Online Appendix

• The impact term structure of central bank crisis interventions (with Mattia Bevilacqua, Jon Danielsson, Andreas Uthemann and Jean-Pierre Zigrand )

Work in progress

• Limits to Arbitrage in the Market for Collateral (with Adrian Walton, Shengxing Zhang and Andreas Uthemann)
• Discontious aversion to large losses: What can options tell us (with Bruno Feunou Kamkui)
• Extending the tails: A quantum computing approach (with Noorain Noorani, Vladimir Skavysh and Valerio Astuti)
• The tail scale parameter: An indirect inference approach for the ARCH process (with Milian Bachem and Casper de Vries)