Research.
"Essentially, all models are wrong, but some are useful."
— George E. P. Box, Empirical Model-Building and Response Surfaces (1987, with Norman Draper)
"Essentially, all models are wrong, but some are useful."
— George E. P. Box, Empirical Model-Building and Response Surfaces (1987, with Norman Draper)
From Pandemic To Financial Contagion: High-Frequency Risk Metrics and Bayesian Volatility Analysis, Finance Research Letters, Forthcoming. DOI: https://doi.org/10.1016/j.frl.2020.101913.
[with Uzelac Ozren & Mijatovic-Dukic Marijana]
[with Uzelac Ozren & Zelenovic Vera]
[with Fidanovski Filip, Choudhry Moorad & Sergi Bruno]
[with Milenkovic Ivan]
[with Milenkovic Ivan & Furtula Srdjan]
A Nonparametric NBA Efficiency Analysis: Do Experience and Competition Matter? [Abstract]
Robust Determinants of Economic Growth in Advanced Economies: High-Dimensional Bayesian Inference. [Abstract]
Financial Markets Under COVID-19 Influenza: High-Frequency Risk Metrics, Conditional Copula Dependency, and Spectral Co-Movements. [Abstract]
Profitability of Banks in South-Eastern European Countries. [Abstract]
[Description: This is an integrated (five-chapter) version of my European thesis that combines theoretical research with empirical studies of my novel panel data set.]
Robust Determinants of Happiness: High-Dimensional Bayesian Treatment of Model Uncertainty [Abstract]
Modeling The U.S. Housing Market Dynamics. [Abstract]
[Description: This is the MS.c thesis on banking & finance that I completed at the University of Novi Sad, Serbia]
Asymmetric Risk and Volatility Dynamics in Covered Call ETFs. [with C.A. Ngwaba]
Forthcoming, The Journal of Futures Markets.
Using daily data from 2019–2024 on five covered call ETFs, we document higher downside than upside betas and limited tail-risk transmission. Despite this return asymmetry, the standard HAR-RV model outperforms a sum-of-parts specification that separately forecasts upside and downside semi-variances.
Operating Efficiency in U.S. Equity REITs: Evidence from Sector-Specific Frontiers.
Under Review, The Journal of Real Estate Finance and Economics.
Using 464 U.S. equity REITs and 5,240 firm-year observations (2000–2024), estimates sector-specific DEA efficiency frontiers and studies their determinants. Residential REITs operate closer to the frontier than Office REITs, with the gap widening after 2016. NOI margin is the dominant positive driver of efficiency, leverage is negative, and Random Forest evidence reveals convex gains above a 0.65 NOI-margin threshold.
Mapping the Fault Lines: An Early-Warning System for Local U.S. Housing Fragility.
Under Review, Journal of Housing Economics.
Using a monthly panel of 895 U.S. metropolitan areas (2001–2025), develops an ensemble-learning early-warning system for local housing fragility. A pre-2020 random forest predicts future 12-month growth and severe price declines with an out-of-sample R² of 0.142 and AUC of 0.784. Predicted risk is concentrated in smaller, vulnerable metros and improves with Redfin liquidity and seller-stress measures.
Competition, Regulation, and Efficiency: Evidence from the U.S. Commercial Banking Industry. [with S.B. Levkoff]
Submitted, Journal of Applied Econometrics.
Estimates bank-level technical and scale efficiency using nonparametric frontier models and relates efficiency scores to market structure, competition, and regulatory covariates. Higher concentration is negatively associated with technical efficiency; regulatory transparency is positively associated with scale efficiency.
Inflation Fragility and the State-Dependent Propagation of Supply Shocks. [with C.A. Ngwaba]
Submitted, The Journal of Money, Credit and Banking.
Using monthly U.S. data from 2000 to 2026, we construct an Inflation Fragility Index (IFI) from the breadth, dispersion, and persistence of disaggregated CPI inflation. At the three-month horizon, the marginal effect of supply-chain pressure is about 0.78 percentage points larger for CPI inflation and 0.49 percentage points larger for PCE inflation in high- than in low-fragility states.
Geopolitical Risk, Market Fragility, and State-Dependent Pricing in Energy Markets. [with C.A. Ngwaba and S.B. Levkoff]
Under Review, Finance Research Letters.
Constructs a rolling centroid-distance fragility index and shows that geopolitical-risk shocks generate significantly more adverse energy-sector returns when the broader energy–financial system is fragile. The effect is front-loaded (peak at two days), specific to system-wide dislocation, and a post-GFC phenomenon.
Persistent Market Topology and Synchronized Downside Risk.
Under Review, Journal of Financial Stability.
Persistent-homology measures of market topology predict synchronized equity downturns beyond what standard comovement metrics capture. These gains hold out-of-sample and are concentrated specifically in downside risk, not upside comovement. Current macroprudential surveillance, built on conventional dependence measures alone, seems to be ineffective.
Sectoral Frontier Decompositions and the Tradables Margin: Mix Efficiency, Manufacturing, and the Limits of Slack. [with S.B. Levkoff] Working Paper (in progress).
The Anatomy of Financial Stress. Working Paper (in progress).
Breaking the Fourier Barrier: Riccati Systems and Hermite–Edgeworth Expansions for the Heston Model.
Working Paper (in progress).
Dependence-Induced Model Risk in Single-Name CDS Valuation.
Working Paper (in progress).
Robust Economic and Institutional Determinants of Happiness: High-Dimensional Panel Data Bayesian Investigation . The Virginia C. Shingleton Memorial Economics Colloquium Series, Valparaiso University, Department of Economics, February 26, 2021. [Official Invitation]
Institutional Setting and Economic Development in Central and Eastern European Countries. 9th ASECU Youth International Conference And Summer School: Enhancing and Managing Competitive Economics and Business Environment: Challenges for The South and Eastern European Countries and The Black Sea Region, September 14, 2020. [Presentation Slides]
The Efficiency Analysis of NBA Teams & Players: Do Experience and Competition Matter? Western Illinois University, Department of Economics and Statistics Research Colloquium, September 11, 2020. [Official Invitation]
A Nonparametric Efficiency NBA Game of Thrones: Do Experience and Competition Matter? Northern Illinois University, Department of Economics Brown Bag Seminar Series, Wednesday, February 19, 2020.
The Effectiveness of Croatian Monetary Policy: Empirical investigation. Monetary Policy After The Global Crisis, How Important are Economic (Divisia) Monetary Aggregates for Economic Policy? The WEA International Web Conference In Honor of William A. Barnett, February 19-20, 2018.
Cost Efficiency of Agricultural Companies in Vojvodina: DEA Approach, Interdisciplinary Management Research X, International Research Conference, 16-18 May, 2014, Opatia, Croatia.
Modeling Competition of The Banking Sector of Serbia, Strategic Management (SM) 2014, International Scientific Conference, May 14 2014, Palic, Serbia.
[Drafts of all Papers are Available Upon Request.]