Research

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All models are wrong but some are useful.
— George Box

Papers in Refereed Journals

An Anatomy of Industry Merger Waves, (with Carlo Chiarella), Journal of Financial Econometrics, forthcoming.

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Modeling Systemic Risk with Markov Switching Graphical SUR Models, (with Monica BillioRoberto Casarin, and Massimo Guidolin), Journal of Econometrics, forthcoming. 

[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.

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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. 

[Working PaperCode] 


Working Papers

 

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital, (with Matthias Büchner and Roman Kozhan(New)

Presentations: London Empirical Asset Pricing workshop 2018.

 [Paper]

Trading Volume in Cryptocurrency Markets, (with Alexander Dickerson(New)

This paper is featured in: The HR Director Magazine, MondoVisione, CryptoGlobe.

Presentations: First NEOMA International Workshop on FinTech and CryptoFinance.

 [Paper]

Bond Risk Premia with Machine Learning, (with Andrea Tamoni and Matthias Büchner(New)

Presentations: 2019 Georgia State University/Review of Financial Studies FinTech Conference (scheduled), 13th Imperial conference on Advances in the Analysis of Hedge Fund Strategies, 29th EC^2 Conference on Big Data Econometrics with Applications, Workshop on Predicting Asset Returns at Orebro University, Modelling with Big Data and Machine Learning at King's College London, 2019 FMA Consortium on Factor Investing in Cambridge (scheduled).

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Large-Scale Dynamic Predictive Regressions, (with Ken McAlinn

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Presentations: International Society of Bayesian Analysis world meeting, 10th ECB Workshop on Forecasting Techniques, Barcelona GSE Summer Forum 2018, NBER-NSF Seminar in Bayesian Inference in Econometrics and Statistics at Stanford 2018, 71st European Summer Meeting of the Econometric Society, 2018 European Seminar on Bayesian Econometrics in New Orleans, 2018 NBP Workshop on Forecasting in Warsaw.

Carry Trades and Tail Risk: Evidence from Commodity Markets

 [Paper]

Presentations: 11th Annual Conference SoFiE, Royal Economic Society annual conference 2018, Commodity Markets Winter Workshop at Audencia Business School 2018, Commodity and Energy Markets Association annual meeting in Rome. 

Cyber Attacks and Stock Market Activity, (with Onur Tosun

This paper is featured in: NYU School of Law blog on Compliance and Enforcement

Presentations: IFABS 2018 Chile Conference, Santiago (scheduled).

 [Paper]

Cryptocurrencies as an Asset Class? An Empirical Assessment  

This paper is featured in: VoxEuThe IndependentInvestment Week and has been mentioned in +200 blogs and news outlets.

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Adaptive Expectations and Commodity Risk Premia, (with Jacopo Piana

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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)  

[Paper]

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. 

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. 

[PaperAppendix]  

Presentations: 8th RCEA Bayesian econometrics workshop, 6th ICEEE Salerno, and the 23rd Symposium of the Society for Nonlinear Dynamics and Econometrics.