Research

Research Interests:

• Non-Stationary Time Series Analysis

• Nonlinear Time Series Modelling

• Model Specification Testing

Publications

• Financial Market Linkages and the Sovereign Debt Crisis (with Susana Campos-Martins), Journal of International Money and Finance, 123, 102596, 2022.

• Models with Multiplicative Decomposition of Conditional Variances and Correlations (with Annastiina Silvennoinen and Timo Teräsvirta), in Financial Mathematics, Volatility and Covariance Modelling, by Julien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio and Bilel Sanhaji (eds.), Routledge, 2019.

• Modelling and Forecasting WIG20 Daily Returns (with Annastiina Silvennoinen and Timo Teräsvirta), Central European Journal of Economic Modelling and Econometrics, 9, 173-200, 2017.

• Specification and Testing of Multiplicative Time-Varying GARCH Models with Applications (with Timo Teräsvirta), Econometric Reviews, 36, 421-446, 2017.

• Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations (with Timo Teräsvirta), Journal of Business & Economic Statistics, 32, pp. 69-87, 2014.

• Modelling Changes in the Unconditional Variance of Long Stock Return Series (with Timo Teräsvirta), Journal of Empirical Finance, 25, pp. 15-35, 2014.

• Modelling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets (with Helinä Laakkonen), in Essays in Nonlinear Time Series Econometrics, by Niels Haldrup, Mika Meitz, and Pentti Saikkonen (eds.), Oxford University Press, 2014.

• Modelling Volatility by Variance Decomposition (with Timo Teräsvirta), Journal of Econometrics, 175, pp. 142-153, 2013.

• Modelling Volatility by Multiplicative Decomposition of the Variance (with Timo Teräsvirta), Suomen Tilastoseuran vuosikirja 2010, Finnish Statistical Society, 63-71, 2011. 

Books:

• Four Essays on the Econometric Modelling of Volatility and Durations, Doctoral Dissertation, Stockholm: EFI, The Economic Research Institute, Stockholm School of Economics, ISBN 978- 91-7258-794-6, 2009 (Copyright © 2009 EFI and Cristina Amado).

Research in Progress:

• Modelling Diurnal Variation in Models of Autoregressive Conditional Duration  (with Timo Teräsvirta) (work in progress)

• Multiplicative Nonstationary Volatility Models with Exogenous Information (work in progress)

• Modelling Causality in Nonstationary Variances with an Application to Carbon Markets (with Susana Campos-Martins) (submitted)

• Modelling Time-Varying Volatility Interactions (with Susana Campos-Martins) (submitted)

• Outlier Robust Specification of Multiplicative Time-Varying Volatility Models (submitted)

• Evaluating Tests for Constancy of Conditional Correlations under Misspecification of the Unconditional Variance (with Serdar Neslihanoglu) (work in progress)