Research Projects
CURRENT RESEARCH PROJECTS:
High dimensional factor models and regime switching (F. Wang)
Bubbles, systemic risk and non-bank financial intermediation in Money Market Funds" (M. Aquilina, P. Cincinelli)
Modelling contagion with Markov Switching graphical structural VAR models (L. Wang)
Bubbles, systemic risk and asset price models (with P. Cincinelli, E. Pellini)
Liquidity in currency markets and Markov-switching models (with L. Wang, S. Donati, A. Varaldo)
Dummy saturation, sequential procedure, modelling breaks (with E. Pellini, F. Wang)
Liquidity and systemic risk indicators (with P. Bravi, A. Coppola, S. Donati, A. Varaldo)
Macroeconomic surprises, economic confidence and uncertainty (with B. Casu, S. Di Colli)
Multivariate predictive ability testing (with L. Spreng) for panel data ( A. Pirotte, L. Spreng)
Real estate forecast, bubbles and risk indicators (P. Cincinelli, L. Spreng, S. Tsolacos)
Modelling and testing for jumps in financial assets (with S. Boffelli, R. Hizmeri, M. Izzeldin, J. Novotny)
Modelling demand and price volatility for electricity and gas (with E. Pellini)
The econometrics of exchange rates (with I. Marsh, L. Spreng)
Monte Carlo combined tests with nuisance parameters (with A. Bianchi, J.-M. Dufour, L. Khalaf)