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, Journal of Business and Economic Statistics (2017), Vol. 35, No. 1. (with Massimo Guidolin and Francesco Ravazzolo)
Presentations: EFA Lugano 2014
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 (scheduled), Financialization of Commodity Markets workshop Bozen 2017 (scheduled), Barcelona GSE Summer Forum 2017 (scheduled), Energy and Commodity Finance conference at Oxford 2017 (scheduled), European Summer Meeting of the Econometric Society 2017 (scheduled).
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, 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 (scheduled), North American Summer Meeting of the Econometric Society 2017 (scheduled), Workshop on Macroeconomic and Financial Time Series Analysis at Lancaster University (scheduled).
Presentations: NBER SI EFWW 2015, NBER-NSF Time Series Conference 2015, 11th World Congress of the Econometric Society, 8th SoFiE annual conference, FMA Annual Meeting 2015, ESOBE 2015.
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.
Presentations: AEA San Diego 2013, EEA Gothenburg 2013
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.