Research

Adaptive Importance Sampling for DSGE Models with Lorusso, M. and Ravazzolo, F. Bozen Economics & Management Paper Series N. 84/2021.

Modelling and Estimating Large Macroeconomic Shocks During the Pandemic with Corrado, L., and Paolillo, A. NIESR Discussion Paper N. 530.

Testing Asset Pricing Models Using Block-CHAR and Time Varying Betas, with Violante F. Under review.

Global Money Supply and Energy and Non-Energy commodities: A MS-TV-VAR Approach with Ravazzolo F., Joaquin V. and Vocalelli, G. Available at SSRN: https://ssrn.com/abstract=4366597

The Time-Varying Multivariate Autoregressive Index Model with Cubadda, G. and Guardabascio, B. Working paper available at arXiv:2201.07069