I conduct basic research in financial econometrics. I have experience in volatility, jump and correlation dynamics. More recently, I'm interested in higher moments, in particular in the relation of implied skewness to real-world high-frequency dynamics over these forward-looking timeframes with the long–term goal being an integrative descriptive theory of asymmetric return–volatility effects at different horizons.

Keywords: asymmetric, semi-parametric ARCH–type conditional–, realised–, modelfree-, implied- volatility/skewness