Publications
(2024) "Estimation and Inference for High Dimensional Factor Model with Regime Switching" (with F. Wang). Journal of Econometrics 241, 105752.
(2024) “Is There an Optimal Level of Leverage? The Case of Banks and Non-Banks Institutions in Europe” (with P. Cincinelli & E. Pellini). International Review of Financial Analysis 94, 103323.
(2024) "Equal Predictive Ability Tests for Panel Data with Applications to OECD and IMF Forecasts" (with O. Akgun, A. Pirotte, and Z. Yang). International Journal of Forecasting 40, 202-228.
(2023) “Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings” (with E. Hillebrand, J. Mikkelsen and L. Spreng). Journal of Applied Econometrics 38, 857-877.
(2023) “A Practical Multivariate Approach to Testing Volatility Spillover” (with S. Leong). Journal of Economic Dynamics and Control 153, 104694.
(2023) “Combining P-Values for Multivariate Predictive Ability Testing” (with L. Spreng). Journal of Business and Economic Statistics 41, 765-777.
(2022) “Multilevel and Tail Risk Management" (with L. Khalaf & A. Leccadito). Journal of Financial Econometrics 20 (5), 839–874.
(2022) “A Frequency-Specific Factorization Approach to Identify Commonalities with an Applications to the European Bond Markets” (with S. Boffelli, J. Novotny). Journal of Financial Econometrics 20 (4), 681-715.
(2022) “The Contribution of (Shadow) Banks and Real Estate to Systemic Risk in China” (with C. Bellavite Pellegrini, P. Cincinelli, & M. Meoli). Journal of Financial Stability 60, 101018.
(2022) “Systemic Risk in the Chinese Financial System: A Panel Granger Causality Analysis” (with P. Cincinelli, E. Pellini). International Review of Financial Analysis 82, 102179.
(2022) “The Role of Shadow Banking and the Systemic Risk in the European Financial System” (with C. Bellavite Pellegrini, P. Cincinelli, & M. Meoli). Journal of Banking and Finance 138, 106422.
(2021) “Leverage and Systemic Risk Pro-Cyclicality in the Chinese Financial System” (with P. Cincinelli, E. Pellini). International Review of Financial Analysis 78, 101895
(2021) “Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators” (with O. Akgun, A. Pirotte). Revue d'Economie Politique 131,19–55.
(2020) “The Contribution of Shadow Insurance to Systemic Risk” (with S. Leong, C. Bellavite Pellegrini). Journal of Financial Stability 51, 100778.
(2020) "Forecasting Using Heterogeneous Panels with Cross-Sectional Dependence" (with O. Akgun, A. Pirotte). International Journal of Forecasting 36, 1211-1227 .
(2019) “Combining P-Values to Test for Multiple Breaks in Cointegrated Regressions” (with M. Bergamelli, A. Bianchi , L. Khalaf). Journal of Econometrics 211, 461-482.
(2019) “Consistent Estimation of Time-Varying Loadings in High-Dimensional Factor Models” (with E. Hillebrand, J. Mikkelsen). Journal of Econometrics 208, 535-562.
(2019) “Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management” (V. Alexeev, W. Yao). International Review of Economics and Finance 62, 20-40.
(2019) “Measuring and Assessing the Evolution of Liquidity in Forward Natural Gas Markets: the Case of the UK National Balancing Point” (with M. Russo, L. de Menezes). Energy Journal 40, 105-127.
(2018) “Testing for Co-Jumps in Finance” (with J. Novotny). Journal of Financial Econometrics 16, 118-128.
(2018) “Money Demand Instability and the Welfare Cost of Inflation. The Case of U.S. over 1900-2013” (with M. Mogliani). Journal of Money, Credit and Banking 50, 1645-1660.
(2018) “Testing for Instability in Covariance Structures” (with C. Kao and L. Trapani). Bernoulli Journal 24, 740-771.
(2017) “Money Market Funds, Shadow Banking and Systemic Risk in United Kingdom” (with C. Bellavite Pellegrini, M. Meoli). Research Finance Letters 21, 163-171.
(2017) " High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers" (with S. Boffelli, V. D. Skintzi). Journal of Financial Econometrics 15, 62-105.
(2016) FINANCIAL ECONOMETRICS USING STATA, Stata Press Publication (with S. Boffelli).
(2016) "Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Model Approach” (with M. Belvisi, R. Pianeti) in Advances in Econometrics Vol. 35 on Dynamic Factor Models (eds) Eric Hillebrand and Siem Jan Koopman, Chapter 8, 317-360.
(2015) “Maximum Non-Extensive Entropy Bootstrap” (M. Bergamelli, J. Novotny). Actualite Economique 91, 115-139.
(2015) “Trading Strategies with Implied Forward Credit Default Swap Spreads” (with A. Leccadito, R. Tunaru). Journal of Banking and Finance 58, 361-375.
(2015) "Trading Price Jump Clusters in Foreign Exchange Markets" (with J. Novotny, D. Petrov). Journal of Financial Markets 24, 66-92.
(2015) "Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads" (with S. Boffelli). Journal of International Money and Finance 53, 148-173.
(2015) “Independent Factor Autoregressive Conditional Density Model” (with A. Ghalanos, E. Rossi). Econometric Reviews 34, 594-616.
(2015) “Testing for True vs. Spurious Long Memory. Some Theoretical Results and a Monte Carlo Comparison” (with A. Leccadito, O. Rachedi). Econometric Reviews 34, 452-479.
(2014) “Identification Robust Inference in Cointegrating Regressions” (with L. Khalaf) Journal of Econometrics 182, 385-396.
(2014) “Evaluating Correlations in European Government Bond Spreads” (with S. Boffelli), in (eds) Perna, C. and M., Sibillo, MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCE AND FINANCE, Springer.
(2014) “Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests” (with A. Leccadito, S. Boffelli). International Journal of Forecasting 30, 206-216.
(2013) “On the Use of Cross-Sectional Measures of Uncertainty” (with C. Driver, L. Trapani). International Journal of Forecasting 29, 367–377.
(2012) “The Asymptotic for Panel Models with Common Shocks” (with C. Kao , L. Trapani). Econometric Reviews 31, 390-439.
(2012) “Identifying Jumps in Financial Assets: A Comparison between non Parametric Jump Tests” (with A.-M. Dumitru). Journal of Business and Economic Statistics 30, 242-255.
(2010) “Micro vs Macro Cointegration in Heterogeneous Panels” (with L. Trapani). Journal of Econometrics 155, 1-18.
(2009) "Optimal Forecast with Heterogeneous Panels: A Monte Carlo Study" (with L. Trapani). International Journal of Forecasting 25, 567-586.
(2009) “Changes in Ownership and Minority Protection. Governance Lessons from the Case of Telecom Italia” (with M. Meoli, S. Paleari). International Journal of Managerial Finance 4, 323-342.
(2008) “Copula-Based Tests for Cross-Sectional Independence in Panel Models” (with H.-M. Huang, C. Kao). Economics Letters 100, 224–228
(2008) "Real Options - Delay vs. Pre-emption: Do Industrial Characteristics Matter?" (with C. Driver, P. Temple). International Journal of Industrial Organization 26, 532-545.
(2007) "Privatisation Methods and Economic Growth in Transition Economies" (with J. Bennett, S. Estrin). The Economics of Transition 15, 661-683.
(2007) “Common Features in Economics and Finance. An Overview of Recent Developments”. Journal of Business and Economic Statistics 25, 1-11.
(2007) "Common Stochastic Trends and Aggregation in Heterogenous Panels", (with S. Lazarova, L. Trapani). Econometric Theory 23, 89-105.
(2006) “Contrasts between Classes of Assets in Fixed Investment Panel Equations as a Way of Testing Real Option Theory” (with C. Driver, P. Temple). Journal of Business and Economic Statistics 24, 432-443
(2006) “A Test of the Homogeneity Hypothesis on Asset Pricing Models”, (with G. Barone-Adesi and P. Gagliardini) in (eds) E. Jurczenko, B. Maillett, MULTIMOMENT CAPM AND RELATED TOPICS, Wiley & Sons.
(2006) "Identifying Externalities in UK Manufacturing using Direct Estimation of an Average Cost Function" (with C. Driver, P. Temple). Economics Letters 92, 228-233.
(2005) “Modelling Structural Breaks, Long Memory and Stock Market Volatility: An Overview”, (with A. Banerjee). Journal of Econometrics 129, 1-34.
(2005) "Robust GMM Tests for Structural Breaks" (with P. Gagliardini, F. Trojani). Journal of Econometrics 129, 139-182
(2005) "Profitability, Capacity, and Uncertainty: A Robust Model of UK Manufacturing Investment?" (with C. Driver, P. Temple). Oxford Economic Papers 57, 120-141.
(2004) "Testing Asset Pricing Models with Coskewness (with G. Barone-Adesi, P. Gagliardini). Journal of Business and Economic Statistics 22, 474-485.
(2004) "Transforming Qualitative Survey Data: Performance Comparisons for the UK" (with C. Driver). Oxford Bulletin of Economic and Statistics 66, 71-89.
(2004) "The Effects of Uncertainty on UK Investment Authorisation: Homogenous vs Heterogenous Estimators" (with C. Driver, K. Imai, P. Temple). Empirical Economics 29, 89-106.
(2003) "Are There Persistent Differences in Corporate Growth Rates?", (with P. Geroski, S. Lazarova, C. Walters). Journal of Applied Econometrics 18, 47-59.
(2003) "The Implications of Tourism Specialisation in the Long Run: An Econometric Analysis for 13 OECD Economies", (with A. Lanza, P. Temple). Tourism Management 24, 315-321.
(2003) "Dynamic Translog and Linear Logit Models: A Factor Demand Analysis of Interfuel Substitution in US Industrial Energy Demand" (with C. Walters). Energy Economics 25, 1-21.
(2001) "Testing for Ongoing Convergence in Transition Economies. 1970-1999" (with S. Estrin, S. Lazarova). Journal of Comparative Economics 29, 677-691.
(2001) "Efficiency, Scale and Scope Economies the Ukrainian Banking Sector in 1998" (with O. Mertens). Emerging Markets Review 2, 292-308.
(2001) "Growth and Convergence in Transition Countries. Focus on Investment" (with S.Estrin, S. Lazarova). Economics of Planning 3, 215-230.
(2001) "The Theory and Practice of Econometric Modelling using PcGive10". Journal of Economic Surveys 15, 571-588.
(2001) "The Influence of Uncertainty on Investment in the UK: A Macro or Micro Phenomenon?" (with P. Temple, C. Driver). Scottish Journal of Political Economy 48, 361-382.
(2001) "The Developments of the GKO Futures Market in Russia" (with A. Peresetsky, G. Turmuhambetova). Emerging Markets Review 2, 1-16.
(2001) "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies" (with M. Rockinger). Journal of Business and Economic Statistics 19, 73-84
(2000) "New Developments in the Analysis of Panel Data Sets" (with S. Hall), in S.B. Dahiya (ed.) THE CURRENT STATE OF BUSINESS DISCIPLINES, Vol.2 (Business Economics), Chapter 28, 537-564.
(2000) "Evolution of Stock Markets in Central and Eastern Europe" (with M. Rockinger). Journal of Comparative Economics 28, 456-472.
(1999) "Finance, Profitability, and Investment" (Henry, B., Sentance, A) Chapter 2, 29-50, in C. Driver and P. Temple (eds.), INVESTMENT, EMPLOYMENT AND GROWTH, Routledge.
(1999) "Unemployment and Capital Stock: Modelling the Supply Side of the UK Economy" (with J. Nixon), Chapter 10, 221-248, in C. Driver and P. Temple (eds.), INVESTMENT, EMPLOYMENT AND GROWTH, Routledge.
(1999) "A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence." (with S. Hall, S. Lazarova). Oxford Bulletin of Economics and Statistics 61, 749-767.
(1999) "An Application of Dynamic Specifications of Factor Demand Equations to Interfuel Substitution in U.S.". Economic Modelling 16, 503-513.
(1999) "Interrelated Factor Demands From a Dynamic Cost Functions: An Application to the Non-Energy Business Sector of the U.K. Economy" (with C. Allen). Economica 66, 403-413.
(1997) "Investigating Structural Breaks in UK Manufacturing Trade" (with A. Banerjee), in C. Allen and S. Hall (eds.), MACROECONOMIC MODELLING IN A CHANCING WORLD, John Wiley and Sons.
(1997), "The Competitiveness of UK Manufacturing: Evidence from Imports" (with P. Temple). Oxford Economic Papers 49, 207-227.
(1996) "On the Identification Problem in Testing Dynamic Specification of Factor Demand Equations". Economics Letters 52, 205-210.
(1996) "Structural Change and Economic Behaviour. The Case of UK Exports" (with S. Hall, J. Whitley). Economic Issues 1, 39-50.
(1992) "The Econometrics of Panel Data: a Selective Introduction". Ricerche Economiche Vol. XLVI, 3-4, 379-396.
(1992) "Dynamic Labour Demand Models in Italian Manufacturing" (in Italian). Economia & Lavoro n.1, Jan-March 1992.
(1992) "Employment and Investment Functions in Unionised Labour Market: Theories and Evidence from Italian Firm Data" (in Italian). Ricerca e Metodi per la Politica Economica, Bank of Italy.