Research Projects

CURRENT RESEARCH PROJECTS:

• High dimensional factor models and regime switching (F. Wang)

• Bubbles, systemic risk and non-bank financial intermediation in  Money Market Funds" (M. Aquilina, P. Cincinelli) 

• Modelling contagion with Markov Switching graphical structural VAR models (L. Wang)

• Bubbles, systemic risk and asset price models (with P. Cincinelli, E. Pellini)

• Liquidity in currency markets and Markov-switching models (with L. Wang, S. Donati, A. Varaldo)  

• Dummy saturation, sequential procedure,  modelling breaks  (with E. Pellini, F. Wang)

• Liquidity and systemic risk indicators (with  P.  Bravi,  A. Coppola, S. Donati, A. Varaldo)

• Macroeconomic surprises, economic confidence and  uncertainty (with B. Casu, S. Di Colli)

• Multivariate predictive ability testing (with L. Spreng) for panel data ( A. Pirotte, L. Spreng) 

• Real estate forecast, bubbles and risk indicators (P. Cincinelli, L. Spreng, S. Tsolacos)  

• Modelling and testing for jumps in financial assets (with S. Boffelli,  R. Hizmeri, M. Izzeldin, J. Novotny)

• Modelling demand and price volatility for electricity and gas (with E. Pellini)

• The econometrics of exchange rates (with I. Marsh, L. Spreng)

• Monte Carlo combined tests with nuisance parameters (with A. Bianchi, J.-M. Dufour, L. Khalaf)