← All authors Lars Winkelmann Freie Universität Berlin (from arXiv:2603.22835, 2026) · OpenAlex
9 papers in scope · 8 published · 1 on the econ.EM arXiv · 216 citations · h-index 6 (over the papers listed here)
Papers (1 of 9)
working paper 2026 · arXiv
Tests for Jumps in Yield Spreads
published 2023 · Journal of Business and Economic Statistics · first circulated 2021
Inference on the maximal rank of time-varying covariance matrices using high-frequency data
published 2023 · The Annals of Statistics · 1 citations · first circulated 2021
with Markus Reiß
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
published 2019 · Journal of Econometrics · 22 citations · first circulated 2017
Common price and volatility jumps in noisy high-frequency data
published 2018 · Electronic Journal of Statistics · 21 citations · first circulated 2014
with Markus Bibinger
Forward Guidance and the Predictability of Monetary Policy: A Wavelet-Based Jump Detection Approach
published 2015 · Journal of the Royal Statistical Society Series C (Applied Statistics) · 23 citations · first circulated 2013
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates
published 2015 · Journal of Applied Econometrics · 23 citations · first circulated 2014
with Markus Bibinger, Tobias Linzert
Econometrics of co-jumps in high-frequency data with noise
published 2014 · Journal of Econometrics · 65 citations · first circulated 2013
with Markus Bibinger
Assessing the anchoring of inflation expectations
published 2014 · Journal of International Money and Finance · 61 citations · first circulated 2012
with Till Strohsal
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