Research

Research Keywords: Financial Econometrics, Forecasting, Volatility, Risk Management, Time Series 

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Working Papers

Granular Betas and Risk Premium Functions, with Tim Bollerslev and Andrew J. Patton (October 2022)

Paper

Publications

Macro and micro of external finance premium and monetary policy transmission, with Carlo Altavilla and Refet Gürkaynak (2024)

Journal of Monetary Economics, Forthcoming Paper

Conditional Evaluation of Predictive Models: The CSPA Command, with Jia Li, Zhipeng Liao and Wenyu Zhou (2022)

Stata Journal, Forthcoming     Paper, Code

From Zero to Hero: Realized Partial (Co)Variances, with Tim Bollerslev, Marcelo C. Medeiros and Andrew J. Patton (2021).

Journal of Econometrics, Vol 231, No.2, pp 348-360       Paper, Supplemental Appendix

Hedging Long-Term Liabilities, with Peter Schotman (2022).

Journal of Financial Econometrics, Vol 20, No.3, pp 505-538           Paper, Data and Code (Ox)

Conditional Superior Predictive Ability, with Jia Li and Zhipeng Liao (2022).

 Review of Economic Studies, Vol 89, No.2, pp. 843-875   Paper, Supplemental Appendix,  Data and Code (Ox), Code (Matlab)

Realized Semibetas: Disentangling ''good'' and ''bad'' downside risks, with Tim Bollerslev and Andrew J. Patton (2022).

Journal of Financial Economics, Vol 144, No.1, pp. 227-246   Paper, Supplemental Appendix 

Multi-Horizon Forecast Comparison (2021).

       Journal of Business & Economic Statistics, Vol 39, No. 1, pp. 40-53               Paper, Data and Code (Ox), Code (Matlab)

Realized Semicovariances, with Tim Bollerslev, Jia Li and Andrew J. Patton (2020).

       Econometrica, Vol 88, No. 4, pp. 1515-1551.               Paper, Supplemental Appendix

Multivariate Leverage Effects and Realized Semicovariance GARCH Models, with Tim Bollerslev and Andrew J. Patton (2020).

Journal of Econometrics, Vol 217, No.2, pp. 411-430.         Paper

Modeling and Forecasting (Un)Reliable Realized Covariances For More Reliable Financial Decisions, with Tim Bollerslev and Andrew J. Patton (2018).

       Journal of Econometrics, Vol 207, No. 1, pp. 71-91.                Paper

Risk Measure Inference, with Christophe Hurlin, Sébastien Laurent and Stephan Smeekes (2017).

       Journal of Business & Economic Statistics, Vol 35, No. 4, pp. 499-512.             Paper

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity, with Kris Boudt, Sébastien Laurent, Asger Lunde and Orimar Sauri (2017).

       Journal of Econometrics, Vol 196, No. 2, pp. 347-367.               Paper, Code (Ox)

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, with Tim Bollerslev and Andrew J. Patton (2016).

       Journal of Econometrics, Vol 192, No. 1, pp. 1-18.             Paper, Supplemental Appendix, Code (Matlab)