What I am working on
My current research is focused on leveraging alternative data sources and novel econometric techniques to uncover insights about macro-finance.
Working Papers
Credit Spread News and Financial Market Risk, SSRN working paper (2026)
Presented at: Rady School of Management, Workshop on 'Monitoring Financial Risks'
Gauging Hourly Economic Activity in Your Neighborhood, with A. Timmermann and M. Yang, SSRN working paper (2026)
Forthcoming scheduled presentations: ECONDAT 2026 Fall Meeting, Re-Time Conference Philadelphia FED
Presented at: Junior VTSS, NBER Summer Institute
Media Coverage: KPBS
Main Street in Wall Street, SSRN working paper (2026)
Presented at: Rady School of Management, UCSD Macro, HSE-CEBDA Seminars
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