Empirical Asset Pricing and Financial Econometrics
The Pricing of Biodiversity Risk in Commodity Markets, Review of Finance. Forthcoming. (with M. Guidolin). ABS 4. FT 50. [Short Video Summary]. [Working Paper version].
The dynamics of returns predictability in cryptocurrency markets, European Journal of Finance, 2023, 29(6), 583-611 (with D. Bianchi and M. Guidolin). ABS 3.
Can Commodity-Specific Factors Improve the Forecasting Power of Macroeconomic Variables for Commodity Futures Returns?, Annals of Operations Research, 2020, 1-40 (with M. Guidolin). ABS 3.
Predictability of Real Estate Excess Returns: An Out‐of‐sample Analysis, Journal of Real Estate Finance and Economics, 2020, 1-42 (with M. Guidolin and M. Petrova). ABS 3.
Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models, Journal of Economic Dynamics and Control, 2019, 107, 103723 (with M. Guidolin). ABS 3.
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns, Quantitative Finance, 2018, 18(1), 139-169 (with M. Guidolin and A. G. Orlov). ABS 3.
Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing, European Journal of Operational Research. 2018, 265(2), 685-702 (with M. Giampietro and M. Guidolin). ABS 4.
Empirical Finance
Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity‐Based Identification in a Model with Regimes, European Journal of Finance, 2021, 1-30 (with M. Guidolin and V. Massagli). ABS 3.
Cross-Asset Contagion in the Financial Crisis: A Bayesian Time-Varying Parameter Approach, Journal of Financial Markets, 2019, 45, 83-114 (with M. Guidolin and E. Hansen). ABS 3.
The Impact of Monetary Policy on Corporate Bonds under Regime Shifts, Journal of Banking and Finance, 2017, 80, 176-202 (with M. Guidolin and A. G. Orlov). ABS 3.
Identifying and Measuring the Contagion Channels at Work in the European Financial Crises, Journal of International Financial Markets, Institutions and Money, 2017, 48, 117-134, (with M. Guidolin). ABS 3.
Asset Management and Practitioner-Oriented Publications
Factor Investing in Real Estate: The Performance of Smart Beta Strategies, Journal of Portfolio Management. Forthcoming. (with D. Andronoudis and M. Guidolin). ABS 3.
Understanding the Factors Driving the Demand of Structured Investment Products, Journal of Futures Markets, 2025, 45(9), 1154-1181. (with M. Guidolin and G. Leonetti). ABS 3.
Regime shifts in excess stock return predictability: an out-of-sample portfolio analysis, Journal of Portfolio Management, 2018, 44(3), 10-24 (with G. Dal Pra, M. Guidolin, F. Vasile). ABS 3.
Book Chapters
How and When Are Cryptocurrency Predictable? Backtesting Their Portfolio Economic Value. In: “Digital Assets: Pricing, Allocation and Regulation.” by Aggarwal and Tasca. Cambridge University Press; 2025. (with M. Guidolin).
Natural Language Processing and Stock Returns. In: “Artificial intelligence and beyond for finance. (Vol. 15) by Corazza, Garcia, Khan, La Torre, and Masri. World Scientific; 2024.
Sharpening the Accuracy of Credit Scoring Models with Machine Learning Algorithms in “Data Science for Economics and Finance” by Consoli, Recupero, and Saisana, Springer; 2021. (with M. Guidolin).
Asset-Backed Securities, Chapter 22, in “Debt Markets and Investments by Baker, Filbeck and Spieler. Oxford University Press; 2019. (with M. Guidolin).