RESEARCH INTERESTS
Primary: Financial Econometrics, Time Series,
Secondary: Financial Networks, Sentiment Analysis
WORKING PAPERS:
The impact of ESG ratings on the systemic risk of European blue-chip firms
UNDER REVIEW:
Deep Diving into the S&P 350 Europe Index Network and Its Reaction to COVID-19
PUBLICATIONS:
Predicting Stock Returns: ARMAX versus Machine Learning
Published in: Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, Springer 2022
Effect of Real Estate News Sentiment on the Stock Returns of Swedbank and Seb Bank
Published in: Econometric Research in Finance 6(2), 2021
Financial Econometrics and Systemic Risk
Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, Springer, 2021
Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange? (joint with Evgenii Vladimirov)
Published in: Economics of Transition and Institutional Change, Volume 28, Issue 4, 2020
Previous version: EUSP WP-EC 01/17
Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
Published in: International Econometric Review, Volume 8, Issue 2, 2016
Previous version: EUSP WP-EC 04/12
Estimating VAR-MGARCH models in multiple steps (joint with M. Angeles Carnero)
Published in: Studies in Nonlinear Dynamics and Econometrics, Volume 18, Issue 3, 2014
Previous version: IVIE WP-AD 2012-10