Financial Econometrics; Time-series Modeling; Forecasting
Monetary Policy Surprises, Spillovers & Uncertainty
Natural Language Processing and Machine Learning
High-Frequency Data Modelling; Term Structure of Interest Rates; News Announcement Effects
"Questions and Answers: The Information Content of the FOMC's Post-meeting Press Conference (single-authored)
"Dances with Words: Capturing Fedspeak with NLP" (joint with Oleg Sokolinskiy)
"Gauging Monetary Policy Sentiment Surprises through the Eyes of the Financial Press" (with Paul Cordova and Olesya Grishchenko)
"Monetary Policy Spillovers and the Dollar" (joint with Stephanie Curcuru)
"Measuring Federal Reserve Monetary Policy Surprises" (with Refet Gurkaynak, Marius Rodriguez and Egon Zakrajsek)
"Monetary Policy Uncertainty and Monetary Policy Surprises" (with Giovanni Favara, Michele Modugno, and Jason Wu), 2021, Journal of International Money and Finance, Vol. 112 (April)
"The Liquidity Effects of Official Bond Market Intervention" (with Robert F. Martin and Seth Pruitt), 2018, Journal of Financial and Quantitative Analysis, Vol. 53(1), pp. 243-268
"Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?" (with Patrice Robitaille, Ian Walker, and Michael Zdinak), 2014, International Journal of Central Banking, Vol. 10(2), pp. 337-400
"Forecasting S&P 500 Volatility: Long Memory, Level Shifts, Leverage Effects, Day-of-the-Week Seasonality, and Macroeconomic Announcements" (with Martin Martens and Dick van Dijk), 2009, International Journal of Forecasting, Vol. 25(2), pp. 282-303
"Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models" (with Francesco Ravazzolo, Rene Segers, and Herman K. Van Dijk), 2008, in Siddhartha Chib, William Griffiths, Gary Koop, and Terrell Dek (eds), Bayesian Econometrics. Advances in Econometrics, Vol. 23, pp. 331-402
"Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?" (with Dick van Dijk and Martin Martens), 2008, Econometric Reviews, Vol. 27(1-3), pp. 199-229
"Measuring Monetary Spillovers between U.S. and German Bond Yields" (joint with Stephanie E. Curcuru and George Eckerd), 2018, IFDP Paper 2018-1226, Washington: Board of Governors of the Federal Reserve System
"Breaking Down TRACE Volumes Further" (joint with Doug Brain, Dobrislav Dobrev, Michael Fleming, Pete Johansson, Collin Jones, Frank Keane, Michael Puglia, Liza Reiderman, Tony Rodrigues, and Or Shachar), 2018, FEDS Notes 2018-11-29, Washington: Board of Governors of the Federal Reserve System
"Unlocking the Treasury Market through TRACE" (joint with Doug Brain, Dobrislav Dobrev, Michael Fleming, Pete Johansson, Collin Jones, Frank Keane, Michael Puglia, Liza Reiderman, Tony Rodrigues, and Or Shachar), 2018, FEDS Notes 2018-09-28, Washington: Board of Governors of the Federal Reserve System
"Monetary Policy Surprises and Monetary Policy Uncertainty" (joint with Giovanni Favara, Michele Modugno, and Jason Wu), 2018, FEDS Notes 2018-05-18, Washington: Board of Governors of the Federal Reserve System
"International Spillovers of Monetary Policy" (with John Ammer, Christopher Erceg, and Steven Kamin), 2016, IFDP Notes 2016-08-02, Washington: Board of Governors of the Federal Reserve System
"A Method to Measure Flag Performance for the Shipping Industry" (with Sabine Knapp, German Perepelkin, and Mihail Perepelkin), 2009, Marine Policy, Vol 34(3), pp. 393-405
"Modeling and Forecasting Stock Return Volatility and the Term Structure of Interest Rates", 2007, PhD Dissertation, Erasmus University Rotterdam
"The Design and Production of New Retirement Savings Products: A Comment" (with Cees Dert, Michiel Lodewijk, and Bart Oldenkamp), 2003, Journal of Portfolio Management, Vol. 38, pp. 123-125
"Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter?" (joint with Rebecca DeSimone, Robert F. Martin, and Seth Pruitt), 2015, International Finance Discussion Papers 1139, Washington: Board of Governors of the Federal Reserve System
"Term Structure Forecasting Using Macro Factors and Forecast Combination" (joint with Francesco Ravazzolo and Dick van Dijk), 2010, International Finance Discussion Papers 993, Washington: Board of Governors of the Federal Reserve System
"Examining the Nelson-Siegel Class of Term Structure Models", 2007, Tinbergen Institute Discussion Paper 07-043/4, Rotterdam: Tinbergen Institute
"Testing for Changes in Volatility in Heteroscedastic Time-Series - A Further Examination" (with Dick van Dijk), 2004, Econometric Institute Research Report 2004-38/A, Erasmus University Rotterdam