Below you can find a list of my research papers.
Scientific articles published in refereed journals
2022 "Cross-country differences in the size of venture capital financing rounds. A machine learning approach", Empirical Economics, 62, 991-1012. Link.
2022 "Nearly exact bayesian estimation of non-linear no-arbitrage term-structure models", with Marcello Pericoli, Journal of Financial Econometrics, 5, 807-838. Link.
2019 "Bayesian Analysis of Coefficient Instability in Dynamic Regressions", with Emanuela Ciapanna, Econometrics, 7, 29. Download.
2016 “Option-implied probability distributions: how reliable? how jagged?”, International Review of Economics and Finance, 45, 453-469. Download.
2014 “The riskiness of corporate bonds”, Journal of Money Credit and Banking, 46, 693-713. Download.
2014 “What is a prime bank? A Euribor-OIS spread perspective”, International Finance, 17, 51-75. Download.
2012 “Bond risk premia, macroeconomic fundamentals and the exchange rate”, with Marcello Pericoli, International Review of Economics and Finance, 22, 42-65. Download.
2011 “Under/over-valuation of the stock market and cyclically adjusted earnings”, International Finance, 14, 135-164. Download.
2009 “Macro-finance VARs and bond risk premia: a caveat”, Review of Financial Economics, 18, 163-171 (lead article). Download.
2009 “Portfolio selection with monotone mean-variance preferences”, with Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini, Mathematical Finance, 19, 487-521. Download.
2008 “Canonical term-structure models with observable factors and the dynamics of bond risk premia”, with Marcello Pericoli, Journal of Money Credit and Banking, 40, 1471-1488. Download.
2006 “Robust portfolio selection with and without relative entropy”, The B.E. Journal of Theoretical Economics, 6-1 (Topics), 1-25. Download.
2005 “Portfolio selection with two-stage preferences”, Finance Research Letters, 2, 152-164. Download.
2004 “The equity premium in the long run”, Applied Financial Economics, 14, 645-650. Download.
Policy papers
2016 “Easier said than done? Reforming the prudential treatment of banks’ sovereign exposures”, with Michele Lanotte, Giacomo Manzelli, Anna Maria Rinaldi and Pietro Tommasiono, Occasional Papers, 326, Bank of Italy. Download.
2014 “Macroeconomic impact assessment of OTC derivatives regulatory reforms”, with the MAGD (Macroeconomic Assessment Group on Derivatives), Bank for International Settlements.Download.
2012 “Recent estimates of sovereign risk premia for euro-area countries”, with Antonio Di Cesare, Giuseppe Grande and Michele Manna, Occasional Papers, 128, Bank of Italy. Download.
2009 “An assessment of financial sector rescue programmes”, with Thomas Faeh, Giuseppe Grande, Corrinne Ho, Michael King, Aviram Levy, Fabio Panetta, Federico M. Signoretti and Andrea Zaghini, BIS Papers, 48, Bank for International Settlements. Download.
Working papers
2019 “Yield curve forecasting in the euro area”, with Francesco Corsello.
2017 “Assessing the risks of asset overvaluation: models and challenges”, with Sara Cecchetti. Download.
2015 “Decomposing euro area sovereign spreads: credit, liquidity and convenience”, with Marcello Pericoli. Download.
2015 “Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model”, with Marcello Pericoli. Download.
2015 “Sectoral differences in managers' compensation: insights from a matching model”, with Emanuela Ciapanna and Eliana Viviano. Download.
Books
2017 Lectures on probability theory and mathematical statistics, CreateSpace Independent Publishing Platform. Book page (previous versions circulated as: 2010 Digital textbook on probability and statistics, https://www.statlect.com).
2021 Lectures on linear algebra. Link.