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
Really happy to share that the paper “Modeling extreme events: time-varying extreme tail shape” was published on the Journal of
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