RESEARCH FIELDS: Econometrics; Finance.
RESEARCH INTERESTS: Asset Pricing; Portfolio Management; High Dimensional and Time Series Econometrics; Macroeconomics.
PUBLICATIONS:
“High Dimensional Threshold Factor Models with Common Stochastic Trends” (with Lorenzo Trapani) (Journal of Business & Economic Statistics, forthcoming) [WP] (Previously circulated under the title “High Dimensional Threshold Regression with Common Stochastic Trends”).
“Factor Models of Asset Returns and Bear Market Risk” (with Lucio Sarno and Lorenzo Trapani) (Management Science, forthcoming) [WP] [CEPR Working Paper].
“Instability of Factor Strength in Asset Returns”, Journal of Business & Economic Statistics, 2025, 43(4), 910-925 [WP].
“Modelling Large Dimensional Datasets with Markov Switching Factor Models” (with Matteo Barigozzi) (Journal of Econometrics, forthcoming) [WP].
“Forecasting in Factor Augmented Regressions under Structural Change” (with G. Kapetanios), International Journal of Forecasting, 2024, 40(1), 62-76 [WP].
"Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity," Journal of Financial Econometrics, 2023, 21(2), 316-367 [WP].
"Forecasting Stock Returns with Large Dimensional Factor Models" (with A. Giovannelli and S. Soccorsi), Journal of Empirical Finance, 2021, 63, 252-269 [WP].
“Unstable Diffusion Indexes: With an Application to Bond Risk Premia,” Oxford Bulletin of Economics and Statistics, 2019, 81(6), 1376-1400 [WP].
“Least Squares Estimation of Large Dimensional Threshold Factor Models,” Journal of Econometrics, 2017, 197(1), 101-129 [WP].
“Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness,” Management Science, 2017, 63(9), 3072-3089 [WP].
“Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance," Journal of Forecasting, 2015, 34(3), 191-208 [WP].
“A Two-Regime Threshold Model with Conditional Skewed Student t Distributions for Stock Returns,” Economic Modelling, 2014, 43, 9-20 [WP].
“A Variable Addition Test for Exogeneity in Structural Threshold Models,” Economics Letters, 2013, 120(1), 5-9 [WP].
“A Switching Model with Flexible Threshold Variable: With an Application to Nonlinear Dynamics in Stock Returns,” Economics Letters, 2013, 119(2), 199-203 [WP].
“A Simple Test for Linearity against Exponential Smooth Transition Models with Endogenous Variables,” Economics Letters, 2012, 117(3), 851 - 856 [WP].
WORKING PAPERS:
“Beyond Bilateral Flows: Indirect Connections and Exchange Rates” (with Saleem Bahaj, Pasquale Della Corte and Eduard Seyde) [WP] [CEPR Working Paper Version (July 2024)].
“State-Dependent Comovement between Factor Models” (with Mirco Rubin and Dario Ruzzi) (R&R, Journal of Financial Econometrics) [WP].
“Interpretable Machine Learning for Asset Pricing” (with George Kapetanios and Felix Kempf) (R&R, Econometrics and Statistics) [WP].
“A General Randomized Test for Alpha” (with Lucio Sarno, Lorenzo Trapani and Pierluigi Vallarino) (R&R, Journal of the American Statistical Association) [WP].
“Estimation and Inference in Large Dimensional Threshold Factor Models with Weaker Loadings”.
“Model Comparison with Latent Factors” (with Cesare Robotti).
PERMANENT WORKING PAPERS:
“Crypto Risk Premia” (with Nicola Borri, Mirco Rubin and Dario Ruzzi) [WP]. Media Coverage: Risk.net, August 5, 2022.