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) “Modelling Price Jump Intensity” (with S. Boffelli & J. Novotny). (RR)
(2025) "Markov-Switching Graphical Structural VAR" (with L. Wang) (RR)
(2025) "Efficient Transport-Based Estimation of Time-Varying Factor Models" (with E. Zanetti Chini) (S)
(2025) "Testing Clustered Equal Predictive Ability with Unknown Clusters" (with O. Akgun, A. Pirotte, Z. Yang) (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) "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)
(2025) "Testing for Pointwise Predictive Ability" (with L. Spreng) (TBRS)
(2025) "Macroeconomic Announcements, Confidence Innovations and Economic Activity in the US" (with B. Casu, S. Di Colli) (TBRS)
PAPERS UNDER PREPARARTION
(2025) "Detecting Green Bubbles" (with Z. Li, E. Pellini)
(2025) "Explosive Behaviour in the Factor Zoo. Implications for Factor Timing" (with Z. Li)
(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)
(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 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)