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
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