Research
RESEARCH FIELDS: Econometrics; Finance.
RESEARCH INTERESTS: Empirical Asset Pricing; Financial Econometrics; High Dimensional Statistics; Portfolio Management.
PUBLICATIONS:
“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:
“Crypto Risk Premia” (with Nicola Borri, Mirco Rubin and Dario Ruzzi) [WP]. Media Coverage: Risk.net, August 5, 2022.
“High Dimensional Threshold Regression with Common Stochastic Trends” (with Lorenzo Trapani) [WP].
“Factor Models with Downside Risk” (with Lucio Sarno and Lorenzo Trapani) [WP] (R&R, Management Science).
“State-Dependent Comovement between Factor Models” (with Mirco Rubin and Dario Ruzzi) [WP].
“Instability of Factor Strength in Asset Returns” [WP] (R&R, Journal of Business & Economic Statistics).
“Modelling Large Dimensional Datasets with Markov Switching Factor Models” (with Matteo Barigozzi) [WP] (R&R, Journal of Econometrics).
“Interpretable Machine Learning for Asset Pricing” (with George Kapetanios and Felix Kempf) [WP] .