Research papers

Quantifying the transmission of European sovereign default risk (2020, with T Holden) pdf

Forecasting the Realized Variance in the Presence of Intraday Periodicity (2nd R&R Journal of Financial Econometrics 2021, with R. Hizmeri and M. Izzeldin) pdf

Online Appendix pdf

Measuring the cost of equity of euro area banks (2021, ECB Occasional Paper No 254, Altavilla et al) pdf

Identifying jumps in financial assets: a comparison between nonparametric jump tests (2012), Journal of Business and Economic Statistics, Volume 30, Issue 2, pages 242-255. (with G. Urga) pdf

Locally powerful test combination in finite samples(2017, with t Holden) pdf

Bootstrap methods for jump tests (2017)

Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests [Extended Version] (2011, with G. Urga) pdf

Jumps and price discovery in the US Treasury market (2015, with G. Urga) pdf