Work in progress
PAPERS REVISE-AND-RESUBMIT (RR) & SUBMITTED (S)
(2024) "Price Exuberance Episodes in Private Real Estate " (with P. Cincinelli, S. Tsolacos) (RR)
(2023) "Markov-Switching Graphical Structural VAR" (with L. Wang) (RR)
(2023) “Identifying the Underlying Components of High Frequency Financial Data: Pure vs Jump Diffusion Processes” (with R. Hizmeri, M. Izzeldin) (RR)
(2024) "Asset Price Bubbles and Systemic Risk: Evidence from Money Market Funds" (with M. Aquilina, P. Cincinelli) (S)
(2024) "Bubbles, Banking Crises and Systemic Risk in Europe and US" (with E. Pellini and P. Cincinelli). (S)
(2024) "Testing for Pointwise Predictive Ability" (with L. Spreng) (S)
(2024) "Do International Fixed Income Mutual Funds Time Currency Liquidity? Evidence from a Markov Regime-Switching Model" (with L. Wang) (S)
(2024) "Macroeconomic Announcements, Confidence Innovations and Economic Activity in the US" (with B. Casu, S. Di Colli) (S)
(2024) “Asset Class Liquidity Risk Indicators. Timing the Risk in the European and US Equity and Bond Markets” (with A. Coppola, A. Varaldo) (S)
(2023) “Modelling Price Jump Intensity” (with S. Boffelli & J. Novotny). (S)
PAPERS UNDER PREPARARTION
(2024) "Augmented Taylor Rule Estimation" (S. Donati, A. Varaldo)
(2024) "Combining P-Values in Panels" (A. Pirotte, L. Spreng)
(2024) "Testing Clustered Equal Predictive Ability with Unknown Clusters" (with O. Akgun, A. Pirotte, Z. Yang)
(2024) "Efficient Transport-Based Estimation of Time-Varying Factor Models" (with E. Zanetti Chini)
(2024) "Nowcasting and Forecasting with Regime-Switching Mixed-Frequency Factor Models" (with F. Wang)
(2024) “A Systemic Risk Indicator and Asset Allocation " (with S. Donati)
(2024) "Dynamic Large-Scale Stock Portfolios and Market Regimes: An Unsupervised Learning Approach to Portfolio Choice" (with Francisco A. Ibanez)
OTHER PAPERS
(2023) “Testing Multiple Structural Changes with Generally Nonstationary Regressors” (with F. Wang)
(2023) "Interest Rate Contagion Risks in Foreign Exchange Markets" (with I. Marsh, L. Spreng)
(2023) "Nowcasting High-Frequency Macroeconomic Activity and Systemic Risk" (with P. Bravi, S. Donati)
(2023) "The Welfare Cost of Inflation"
(2023) "Co-Jumps in Price and Liquidity in the Foreign Exchange Markets" (with V. Maini and J. Novotny)
(2023) "Multivariate Realised Volatility Models: The Roles of Idiosyncratic Jumps and Systemic Co-Jumps (with Z. Li, J. Novotny)
(2023) "Generalized Residuals and Predictive Tests in Monte Carlo Setting” (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2020a) “Monte Carlo Combined Tests with Nuisance Parameters” (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2020b) “Monte Carlo Combined Tests with Nuisance Parameters: General Conditions for Validity (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2020c) “Monte Carlo Combined Tests with Nuisance Parameters: Simulations” (with A. Bianchi, J.-M. Dufour, L. Khalaf)