Main Publications:
Currency risk premiums redux, the Review of Financial Studies, 2024, Oxford Academics, vol. 37, pp. 356-408, with L. Sarno and G. Zinna
The impact of volatility scaling on factor portfolio performance and factor timing, Journal of Asset Management, 2022, Springer, vol. 23, pp. 522-533, with B. Uhl
Can hedge funds time the market?, International Review of Finance, 2019, Wiley, vol. 19, pp. 459-469, with M. W. Brandt and G. Valente
Unemployment fluctuations and the predictability of currency returns, Journal of Banking and Finance, 2017, Elsevier, vol. 84, pp. 88-106
Do negative interest rates make banks less safe?, Economics Letters, 2017, Elsevier, vol. 159, pp. 112-115, with A. Lucas, J. Schaumburg and B. Schwaab. Also published as ECB wp n. 2098 and and summarized in the ECB's Financial Stability Review Fall 2017
The information in systemic risk rankings, Journal of Empirical Finance, 2016, Elsevier, vol. 38(A), pp. 461-475 with A. Lucas, S. J. Koopman and B. Schwaab. Also published as ECB wp n. 1875 and summarized in the ECB's Financial Stability Review Fall 2015, pp 80-82
Carry trades and the performance of currency hedge funds, Journal of International Money and Finance, 2013, Elsevier, vol. 33(C), pp. 407-425, with G. Valente
Other Publications:
Inflation expectations, the Phillips curve, and stock prices, FRBSF Economic Letter, 2023, issue 2023-24, with K.J. Lansing
Economic fundamentals and stock market valuation: a CAPE-based approach, Bank of Italy, Working paper series, 2022, no.1393, with M.L. Drudi
I tassi di interesse negativi e la performance delle banche europee: alcune considerazioni preliminari , Banche e Banchieri, 2017, issue 4, with G. Di Giorgio
Risk-managed momentum: the effect of leverage constraints, Rivista Bancaria, 2017, issue 6
How much does the stock market risk decline with the investment horizon? A cross-country comparison, Economic Notes, 2014, vol. 43, issue 1, with C. A. Favero
The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area, Rivista Bancaria, 2012, issue 6