What I am working on
coming soon.
Working Papers
Credit Spread News and Financial Market Risk, SSRN working paper (2026)
Gauging Hourly Economic Activity in Your Neighborhood, with A. Timmermann and M. Yang, SSRN working paper (2026)
Published and Accepted Papers
Fast on-line changepoint detection using heavily-weighted CUSUM and veto-based decision rules, with E. Rossi, L. Trapani, Journal of Econometrics (2025)
Optimal asset allocation and nonlinear return predictability from the dividend-price ratio, with A. Sarkar, A. Timmermann, T. Pedersen, Annals of Operations Research (2025)