PAPERS REVISE-AND-RESUBMIT (RR) & SUBMITTED (S) & TO BE RESUBMITTED SOON (TBRS)
(2025) "Incorporating Market Regimes into Large-Scale Stock Portfolios: A Hidden Markov Model Approach " (with F. Ibanez) (RR)
(2025) "Testing Clustered Equal Predictive Ability with Unknown Clusters" (with O. Akgun, A. Pirotte, Z. Yang) (RR)
(2025) “Modelling Price Jump Intensity” (with S. Boffelli & J. Novotny). (RR)
(2025) "Markov-Switching Graphical Structural VAR" (with L. Wang) (RR)
(2025) "Macroeconomic Announcements, Confidence Innovations and Economic Activity in the US" (with B. Casu, S. Di Colli) (S)
(2025) "Asset Price Bubbles and Systemic Risk: Evidence from Money Market Funds" (with M. Aquilina, P. Cincinelli) (S)
(2025) "Weak Exogeneity, Cointegration and Stability Tests" (A. Bianchi, L. Khalaf) (S)
(2025) "Testing for Pointwise Predictive Ability" (with L. Spreng) (S)
(2025) "Efficient Real-Time Bubble Detection" (with Z. Li) (S)
(2025) "Bubbles, Banking Crises and Systemic Risk in Europe and US" (with E. Pellini and P. Cincinelli). (TBRS)
PAPERS UNDER PREPARARTION
(2025) "Detecting Green Bubbles" (with Z. Li, E. Pellini)
(2025) "Augmented Taylor Rule Estimation" (with S. Donati, A. Varaldo)
(2025) "Measuring Liquidity Risk for the US Treasury Market" (with P. Bravi, A. Coppola, A. Varaldo)
(2025) "Combining P-Values in Panels" (with A. Pirotte, L. Spreng)
(2025) “A Systemic Risk Indicator and Asset Allocation " (with S. Donati)
(2025) “Monte Carlo Combined Tests with Nuisance Parameters: General Conditions for Validity" (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2025) "Generalized Residuals and Predictive Tests in Monte Carlo Setting” (with A. Bianchi, J.-M. Dufour, L. Khalaf)
(2025) "Efficient Transport-Based Estimation of Time-Varying Factor Models" (with E. Zanetti Chini)
(2024) "Nowcasting and Forecasting with Regime-Switching Mixed-Frequency Factor Models" (with F. Wang)
OTHER PAPERS IN PROGRESS
(2023) “Testing Multiple Structural Changes with Generally Nonstationary Regressors” (with F. Wang)
(2023) "Interest Rate Contagion Risks in Foreign Exchange Markets" (with I. Marsh, L. Spreng)
(2023) "Nowcasting High-Frequency Macroeconomic Activity and Systemic Risk" (with P. Bravi, S. Donati)
(2023) "The Welfare Cost of Inflation"
(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)
(2020c) “Monte Carlo Combined Tests with Nuisance Parameters: Simulations” (with A. Bianchi, J.-M. Dufour, L. Khalaf)