What I am working on
My current research is focused on leveraging alternative data sources to uncover novel insights about macro-finance.
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)
Forthcoming scheduled presentations: NBER-SI
Main Street in Wall Street, 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)
Presented at: European Winter Meeting of the Econometric Society, SNDE Annual Symposium 2024, VTSS Junior Workshop 2023
Optimal asset allocation and nonlinear return predictability from the dividend-price ratio, with A. Sarkar, A. Timmermann, T. Pedersen, Annals of Operations Research (2025)
Invited submission as part of the Harry Markowitz Special Issue, curated by John Guerard