PAPERS REVISE-AND-RESUBMIT (RR) & SUBMITTED (S) & TO BE RESUBMITTED SOON (TBRS)
(2026) "Incorporating Market Regimes into Large-Scale Stock Portfolios: A Hidden Markov Model Approach " (with F. Ibanez) (RR)
(2026) "Weak Exogeneity, Cointegration and Stability Tests" (A. Bianchi, L. Khalaf) (RR)
(2026) “Modelling Price Jump Intensity” (with S. Boffelli & J. Novotny). (RR)
(2026) "Explosiveness and Systemic Risk: the Role of Corporate Variables in European and US Banks" (with E. Pellini and P. Cincinelli). (RR)
(2026) "High-Frequency Analysis of Macroeconomic Announcements in Commodity Futures" (with S. Chakraborty, E. Pellini) (S)
(2026) "Testing for Pointwise Predictive Ability" (with L. Spreng) (S)
(2026) "Early-Warning Bands for Real-Time Explosiveness Detection in Financial Markets" (with Z. Li, E. Pellini and W. Su) (S)
(2026) "Bubbles in Green Equity Markets: the Role of Macro-Financial and Climate Drivers" ( with Z. Li and E. Pellini) (S)
(2026) "Sequential Panel Completion under Delayed Validation" (with E. Zanetti Chini) (S)
(2026) "Adaptive Imputation in Real-Time Macroeconomic Panels" (with E. Zanetthi Chini) (S)
(2026) "Testing Clustered Equal Predictive Ability with Unknown Clusters" (with O. Akgun, A. Pirotte, Z. Yang) (TBRS)
(2026) "Efficient Real-Time Bubble Detection" (with Z. Li) (TBRS)
(2026) "Dynamic Network States in Financial Systems: A Markov-Switching Graphical Structural VAR Framework" (TBRS)
(2026) "Augmented Taylor Rule Estimation and Monetary Policy Implications" (with S. Donati and A. Varaldo) (TBRS)
(2026) "Efficient Transport-Based Estimation of Time-Varying Factor Models" (with E. Zanetti Chini) (TBRS)
(2026) "Timing the Factor Zoo: Explosiveness Beyond Momentum" (with Z. Li) (TBRS)
PAPERS UNDER PREPARARTION
(2026) "Common Shocks and Dynamic Network Propagation: A Factor-Adjusted Markov-Switching Graphical VAR"
(2026) "Markov-Switching Factor Models with Supervised Scaled PCA" (with G. Rodriguez-Rondon and F. Wang)
(2026) "Commodity Pairs Trading with Endogenous Regimes" (with S. Modi and A-M Fuertes)
(2026) "Measuring Liquidity Risk for the US Treasury Market" (with P. Bravi, A. Coppola, A. Varaldo)
(2026) “Monte Carlo Combined Tests with Nuisance Parameters: General Conditions for Validity" (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2026) "Generalized Residuals and Predictive Tests in Monte Carlo Setting” (with A. Bianchi, J.-M. Dufour, L. Khalaf)
OTHER PAPERS IN PROGRESS
(2026) "Detecting Green Bubbles" (with Z. Li, E. Pellini)
(2025) "Combining P-Values in Panels" (with A. Pirotte, L. Spreng)
(2025) “A Systemic Risk Indicator and Asset Allocation " (with S. Donati)
PAPERS CIRCULATED BUT ON HOLD AT PRESENT
(2025) "Markov-Switching Graphical Structural VAR" (with L. Wang)
(2025) "Macroeconomic Announcements, Confidence Innovations and Economic Activity in the US" (with B. Casu, S. Di Colli)
(2024) "Nowcasting and Forecasting with Regime-Switching Mixed-Frequency Factor Models" (with F. Wang)
(2024) “Testing Multiple Structural Changes with Generally Nonstationary Regressors” (with F. Wang)
(2023) "Nowcasting High-Frequency Macroeconomic Activity and Systemic Risk" (with S. Donati)
(2023) "Co-Jumps in Price and Liquidity in the Foreign Exchange Markets" (with V. Maini and J. Novotny)
(2023) "Multivariate Realised Volatility Models: The Roles of Idiosyncratic Jumps and Systemic Co-Jumps (with Z. Li, J. Novotny)
(2020a) “Monte Carlo Combined Tests with Nuisance Parameters” (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2020b) “Monte Carlo Combined Tests with Nuisance Parameters: Simulations” (with A. Bianchi, J.-M. Dufour, L. Khalaf)