Assistant Professor in Econometrics, Statistics and Data Science
Our latest paper titled “Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices” has been published on
Continue readingNew paper on Common and idiosyncratic conditional volatility
Glad to share that the paper “Dynamic partial correlation models” I have co-authored with André Lucas (Vrije Universiteit Amsterdam and
Continue readingOur paper “Dynamic partial correlation models” on the Journal of Econometrics
Our paper “Reverse engineering the last-minute on-line pricing practices: an application to hotels“, has been published on Statistical Methods &
How can we incorporate both heterogeneity and dynamics in economic network connections? In our recently published paper in the Journal
Continue readingNew Paper: Heterogeneity and dynamics in network models
Our paper titled “A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to
On November 3, 2023, I showcased our ongoing project during the “Giornata di Studio” at Spoke 4, Università Ca’ Foscari Venezia.
Our research centers on “Quantifying the Impact of Climate Change on Extreme Events,” with a specific focus on meteorological droughts. Droughts, characterized by their nonlinear features across space and time, pose a significant challenge and remain among the least comprehended climate phenomena. Explore our groundbreaking work in unraveling the complexities of climate change effects on extreme meteorological events. … Continue readingPresentation at Spoke 4 on Quantifying the Effect of Climate Change on Extreme Events
In celebration of Masanobu Taniguchi’s 70th birthday, this book brings together advancements in statistical inference for time series and related
Our Paper titled “A robust score-driven filter for multivariate time series” has been accepted for publication on Econometrics Review. In
Glad to share that the paper that I co-authored together with professors Luca Vincenzo Ballestra and Andrea Guizzardi from the
Continue readingScore-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
Today I had the pleasure to present the paper “Dynamic Partial Correlation Models” – co-authored with Prof. André Lucas –
Continue readingPaper Presentation at the 16th International CFE Conference
I’m more than honored to announce that our paper “Dynamic Partial Correlation Models” – co-authored with professor Andre Lucas –
In the paper we develop an innovative framework to study how hoteliers apply inventory control and price discrimination taking into account seasonality. … Continue readingOur study on Hotel Dynamic Pricing, Stochastic demand and Covid-19 has been published on Annals of Tourism Research
On Thursday the 22nd of October 2002 I’ll be presenting a work titled Dynamic Partial Correlation Models at the VU Econometrics BrownBag Seminar.
This is a working paper that I am currently developing with professor André Lucas (you can check out the poster here, that we presented earlier this year at the 2022 NESG Conference in Groningen). … Continue readingPaper presentation @ VU Econometrics BrownBag Seminar
We develop a simultaneous autoregressive score-driven model with autoregressive disturbances for heavy tailed spatio-temporal data. … Continue readingNew Paper on Score-Driven Modeling of Spatio-Temporal Data published on JASA
Really happy to share that the paper “Modeling extreme events: time-varying extreme tail shape” was published on the Journal of