Research

Publications:

•  Dynamic Industry Uncertainty Networks and the Business Cycle, 2024, Journal of Economic Dynamics and Control (with Jozef Barunik and Robert Faff)

• Options-based Systemic Risk, Financial Distress, and Macroeconomic Downturns, 2023, Journal of Financial Markets (with Radu Tunaru and Davide Vioto)

• The Impact of Covid-19 Related Policy Interventions on International Systemic Risk 2023, Journal of International Financial Markets, Institutions and Money (with Meryem Duygun and Davide Vioto) 

• Asymmetric Network Connectedness of Fears, 2022, Review of Economics and Statistics (with Jozef Barunik and Radu Tunaru) 

• Striking the Implied Volatility of the US Drones Companies, 2021, International Review of Financial Analysis (with David Morelli and Paola Uzan)

• The SKEW Index: Extracting What Has Been Left, 2020, Journal of Financial Stability (with Radu Tunaru)

• Asymmetric Implied Market Volatility and Terrorist Attacks, 2020, International Review of Financial Analysis (with David Morelli and Paola Uzan)

• The Determinants of the Model-Free Positive and Negative Volatilities, 2019, Journal of International Money and Finance (with David Morelli and Radu Tunaru)

Working Papers:

• The Calming of Short-term Market Fears and its Long-term Consequences: The Federal Reserve's Reaction to Covid-19

 (with Lukas Brandl, Jon Danielsson, Lerby Ergun, Andreas Uthemann and JP Zigrand)

 Media Coverage:  VoxEU

• Uncovering the Asymmetric Information Content of High-Frequency Options (with Lykourgos Alexiou and Rodrigo Hizmeri)

Awards: SoFiE 2023, Seoul (Pre-Conference, Best Paper Award - Runner-up)

• Common Firm-level Investor Fears: Evidence from Equity Options (with Mykola Babiak, Jozef Barunik, Mike Ellington)

•  Implied Skew Decomposition and Directional Returns Predictability (with Iftekhar Hasan and Radu Tunaru)

• Analyst Tipping: New Evidence from Directional Options Trading Volume and FINRA Rule 2241 (with Lykourgos Alexiou and Zacharias Petrou)

• Testing for Differences in High-Frequency Network Connectedness from Variance Decompositions (with Rodrigo Hizmeri and Mike Ellington)

Others: 

• Asymmetric Volatility Spillovers between Developed and Developing European Countries, 2018, MNB Working Paper Series WP/2018/2.