Main publications
Variational Inference for Large Bayesian Vector Autoregressions, (with Mauro Bernardi and Nicolas Bianco), Journal of Business and Economic Statistics, 2024, 42(3), 1066–1082.
[Published Version, Appendix, Working Paper, GitHub]
Trading Volume and Liquidity Provision in Cryptocurrency Markets, (with Alexander Dickerson and Mykola Babiak), Journal of Banking and Finance, September 2022, Vol. 142.
This paper has been featured in: The HR Director Magazine, MondoVisione, CryptoGlobe, The Conversation.
[Published Version, Working Paper, Appendix]
Bond Risk Premiums with Machine Learning, (with Andrea Tamoni and Matthias Büchner), The Review of Financial Studies, 2021, Vol. 34, No. 2, pages 1046-1089.
INVESCO Best paper award, FMA 2019 Consortium on Factor Investing at the University of Cambridge.
[Published Version, Working Paper, Github]
Adaptive Expectations and Commodity Risk Premiums, Journal of Economic Dynamics and Control, March 2021, Vol. 124.
[Published Version, Working Paper]
Modeling Systemic Risk with Markov Switching Graphical SUR Models, (with Monica Billio, Roberto Casarin, and Massimo Guidolin), Journal of Econometrics, 2019, Vol. 210, No.1, pages 58-74.
[Published Version, Working Paper, Appendix]
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.
Chapters in Books
Sparse Predictive Regressions: Statistical Performance and Economic Significance, (with Andrea Tamoni), Machine Learning and Asset Management, ISTE/Elsevier, In press
Working Papers
Real-Time Macroeconomic Information and Sovereign Credit Risk (with Teng Jiao) (New paper)
[Paper]
Dynamic variable selection in high-dimensional predictive regressions (with Mauro Bernardi and Nicolas Bianco)
Presentations: Workshop "Econometrics and Learning'' at Imperial College London, 2022 ISBA World Conference, 2023 IAAE annual conference, 12th ECB Conference on Forecasting Techniques, 6th Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Approximate Inference in Theory and Practice conference at Essec Business School, Sao Paulo School of Economics, Fundação Getulio Vargas (online).
Smoothing Volatility-Managed Portfolios (with Mauro Bernardi and Nicolas Bianco)
Presentations: Financial Econometrics Conference to mark Stephen Taylor's Retirement - Lancaster University Management School,10th Italian Congress of Econometrics and Empirical Economics.
Taming Momentum Crashes (with Andrea Depolis and Ivan Petrella)
[Paper]
Presentations: 9th Asset Pricing Workshop at University of York, 74th European meeting of the Econometric Society, 5th Annual Workshop on Financial Econometrics at Örebro University, 15th annual SoFiE conference, 2023 French Finance Association Conference, 15th Annual Hedge Conference on Advances in the Analysis of Hedge Fund Strategies, IAAE annual conference Oslo 2023.
A Risk-Based Explanation of Cryptocurrency Returns (with Mykola Babiak)
[Paper]
Presentations: 4th UWA Blockchain and Cryptocurrency Conference, “Cryptocurrencies in a Digital Economy” conference, 14th Annual Hedge Fund Conference at Imperial College, 3rd Frontiers of Factor Investing Conference at Lancaster University, Cardiff Fintech Conference 2022, SNB-CIF Conference on Cryptoassets and Financial Innovation.
It takes two to tango: Economic theory and model uncertainty for equity premium prediction (with Alexandre Rubesam and Andrea Tamoni)
[Paper]
Presentations: FMA Annual Meeting 2023, 4th Frontiers of Factor Investing Conference, 2023 QuantMinds International, 2024 Meeting of the Brazilian Finance Society, FinML 2024 at USI Lugano (scheduled).
Divide and Conquer: Financial Ratios and Industry Returns Predictability (with Ken McAlinn)
[Paper]
Presentations: 2020 Virtual NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics, International Society of Bayesian Analysis world meeting, 10th ECB Workshop on Forecasting Techniques, Barcelona GSE Summer Forum 2018, 2018 NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at Stanford, 71st European Summer Meeting of the Econometric Society, 2018 European Seminar on Bayesian Econometrics in New Orleans, 2018 NBP Workshop on Forecasting in Warsaw, Bank of England workshop on Modelling with Big Data and Machine Learning, 2nd Frontiers of Factor Investing at Lancaster University. A previous version of the paper was circulating with the title “Large-scale dynamic predictive regressions”.