Modeling panels of extremes, with Debbie J. Dupuis and Sebastian Engelke (2022).
Annals of Applied Statistics (Forthcoming)
Mixed-frequency extreme value regression: estimating the effect of Mesoscale Convective Systems on extreme rainfall intensity, with Debbie J. Dupuis (2022).
Annals of Applied Statistics (Forthcoming)
Testing liquidity: A statistical theory based on asset staleness, with Alessandro Pollastri and Davide Pirino (2022).
Econometrics and Statistics (Forthcoming)
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution, with Marco Bee and Julien Hambuckers (2021).
Quantitative Finance, 21(7), 1207-1221.
Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach , with Marco Bee, Julien Hambuckers and Flavio Santi (2021).
Computational Statistics, 36(3), 2177-2200.
Structural change to the persistence of the urban heat island, with Debbie J. Dupuis (2020).
Environmental Research Letters, 15: 104076
Managing liquidity with portfolio staleness, with Giuseppe Buccheri and Davide Pirino (2020).
Decision in Economics and Finance, 44(1), 215-239.
Realized Peaks over Threshold: A time-varying extreme value approach with high-frequency based measures, with Marco Bee and Debbie J. Dupuis (2019).
Journal of Financial Econometrics, 17(2): 254--283.
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach, with Marco Bee and Julien Hambuckers (2019).
Quantitative Finance, 19(8): 1255-1266.
Ground-level ozone: Evidence of increasing serial dependence in the extremes, with Debbie J. Dupuis (2018).
Annals of Applied Statistics, 13(1): 34-59.
Measuring the propagation of financial distress with Granger-causality tail risk networks, with Fulvio Corsi, Fabrizio Lillo and Davide Pirino (2018).
Journal of Financial Stability, 38: 18-36.
Realized Extreme Quantile: A joint model for conditional quantiles and measures of volatility with EVT, with Marco Bee and Debbie J. Dupuis (2018).
Journal of Applied Econometrics, 33(3): 398-415.
Can volatility models explain extreme events? (2018).
Journal of Financial Econometrics, 16(2): 297-315.
Estimating and forecasting conditional risk measures with Extrene Value Theory: A review, with Marco Bee (2018).
Risks, 6(2): 45.
An Extreme Value analysis of the last century crises across industries in the U.S. economy, with Marco Bee and Massimo Riccaboni (2017).
Journal of Economic Dynamics and Control, 81: 65-78.
A characteristic function based approach to Approximate Maximum Likelihood estimation, with Marco Bee (2017).
Communications in Statistics, Theory and Methods, 47(13): 3138-3160.
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective, with Marco Bee and Debbie J. Dupuis (2016).
Journal of Empirical Finance, 36: 86-99.
A simple approach to the estimation of Tukey's gh distribution, with Marco Bee (2016).
Journal of Statistical Computation and Simulation, 86(16): 3287-3302.
U.S. stock returns: Are there seasons of excesses? with Marco Bee and Debbie J. Dupuis (2016).
Quantitative Finance, 16(9): 1453-1464.
Cluster analysis of weighted bipartite networks: A new copula-based approach, with Alessandro Chessa, Irene Crimaldi, Massimo Riccaboni (2014).
PlosOne, 9(10): e109507.