Papers in Refereed Journals
Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section, (with Massimo Guidolin and Francesco Ravazzolo), Journal of Business and Economic Statistics (2017), Vol. 35, No. 1.
Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?, (with Massimo Guidolin and Francesco Ravazzolo), Journal of Financial Econometrics (2017), Vol. 16, No. 1.
Cryptocurrencies as an Asset Class? An Empirical Assessment (New)
Carry Trades and Tail Risk: Evidence from Commodity Markets (New)
Presentations: Royal Economic Society annual conference (scheduled), Commodity Markets Winter Workshop at Audencia Business School (scheduled).
Expected Spot Prices and the Dynamics of Commodity Risk Premia, (with Jacopo Piana)
Presentations: NBER Economics of Commodity Markets Meeting 2016, European Winter Meeting of the Econometric Society 2016, Society for Economic Dynamics annual meeting 2017, Financialization of Commodity Markets workshop Bozen 2017, Barcelona GSE Summer Forum 2017, Energy and Commodity Finance conference at Oxford 2017, 70th European Summer Meeting of the Econometric Society, 49th Money, Macro and Finance Research Group Annual Conference at King's College, 4th SAFE Asset Pricing Workshop at Goethe University, OU Energy and Commodities Finance Research Conference 2017.
The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling, (with Andrea Tamoni)
Presentations: SFS Cavalcade at Rotman 2016, 9th Annual Conference SoFiE, NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at UPenn 2016, Univ. Of Mannheim / EABCN Conference: "Asset Prices and the Macro Economy" 2016, NBER-NSF Time Series Conference at Northwestern (scheduled), 9th ECB Workshop on Forecasting Techniques, European Summer Meeting of the Econometric Society 2016, Barcelona GSE Summer Forum 2016, Society for Economic Dynamics annual meeting 2017, North American Summer Meeting of the Econometric Society 2017 at WashU, Workshop on Macroeconomic and Financial Time Series Analysis at Lancaster University.
An Anatomy of Industry Merger Waves, (with Carlo Chiarella), R&R at the Journal of Financial Econometrics.
Presentations: Royal Economic Society 2016, CEPR First Annual Spring Symposium in Financial Economics, 3rd Conference of the International Association for Applied Econometrics, 69th Econometric Society European meetings, 24th Finance Forum at CUNEF.
A Dynamic Test of Conditional Asset Pricing Models, R&R at the Journal of Applied Econometrics. Finalist Carlo Giannini Prize for the best conference paper in Financial Econometrics, 6th ICEEE Salerno.
Presentations: 8th RCEA Bayesian econometrics workshop, 6th ICEEE Salerno, and the 23rd Symposium of the Society for Nonlinear Dynamics and Econometrics.