About Me
I am an Associate Professor in the Department of Economics and Business at the Universitat Pompeu Fabra since 2017. I received my B.S. degree in Economics and Quantitative Methods in 2003 and Ph.D. degree in Statistics in 2007 from Università di Firenze. I was a Post-Doc Research Fellow at NYU Stern until 2011.
My research interests include: Time Series, Forecasting, Network Analysis, Statistical Computing, Empirical Finance.
Info
Contact
Department of Economics and Business, Universitat Pompeu Fabra, Ramon Trias Fargas 25-27, Office 20-2E10, 08005, Barcelona, Spain
Other Things
I play the bass in the band The Bad Axes
Working Papers
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How to Bet on Winners (and Losers)
with Andre Souza
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Performance of Empirical Risk Minimization For Principal Component Regression
with Gudmundur Stefan Gudmundsson and Yaping Wang
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Unit Averaging for Heterogenous Panels
with Vladislav Morozov
R&R Journal of Business & Economic Statistics
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Publications
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Nonstandard Errors
with 342 co-authors
Journal of Finance 2024, 79, 2339-2390 doi.org/10.1111/jofi.13337
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Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction
with Jordi Llorens-Terrazas
Journal of Econometrics forthcoming,
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Performance of Empirical Risk Minimization for Linear Regression with Dependent Data
with Gudmundur Stefan Gudmundsson
Econometric Theory forthcoming,
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Projected Dynamic Conditional Correlations
with Jordi Llorens-Terrazas
International Journal of Forecasting, forthcoming,
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Community Detection in Partial Correlation Network Models
with Gudmundur Stefan Gudmundsson and Gabor Lugosi
Journal of Business and Economics Statistics, 2022, 40, 216-226, doi.org/10.1080/07350015.2020.1798241
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Detecting Groups in Large Vector Autoregressions
with Gudmundur Stefan Gudmundsson
Journal of Econometrics, 2021, 225, 2-26, doi.org/10.1016/j.jeconom.2021.03.012
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Backtesting Global Growth-at-Risk
with Andre B.M. Souza
Journal of Monetary Economics, 2021, 118, 312-330, doi.org/10.1016/j.jmoneco.2020.11.003
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Bank Credit Risk Networks: Evidence from the Eurozone
with Christina Hans and Eulalia Nualart
Journal of Monetary Economics, 2021, 117, 585-599, doi.org/10.1016/j.jmoneco.2020.03.014
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Detecting Granular Time Series in Large Panels
with Geert Mesters
Journal of Econometrics, 2020, 220, 544-561, doi.org/10.1016/j.jeconom.2020.04.013
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Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression
with Ben Chabot, Eric Ghysels and Christopher Kurz
Journal of Banking and Finance, 2020, 113, 105736, doi.org/10.1016/j.jbankfin.2020.105736
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On the estimation of integrated volatility in the presence of jumps and microstructure noise
with Eulalia Nualart and Yucheng Sun
Econometric Reviews, 2020, 39, 991-1013, doi.org/10.1080/07474938.2020.1735751
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Impulse Response Estimation By Smooth Local Projections
with Regis Barnichon
The Review of Economics and Statistics, 2019, 101, 522-530, doi.org/10.1016/j.jbankfin.2020.105736
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Hierarchical GARCH
Journal of Empirical Finance, 2019, 51, 17-27, doi.org/10.1016/j.jempfin.2019.01.009
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NETS: Network Estimation for Time Series
with Matteo Barigozzi
Journal of Applied Econometrics, 2019, 34, 347-364, doi.org/10.1002/jae.2676
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Realized Networks
with Eulalia Nualart and Yucheng Sun
Journal of Applied Econometrics, 2018, 33, 986-1006, doi.org/10.1002/jae.2642
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Power-Law Partial Correlation Network Models
with Matteo Barigozzi and Gabor Lugosi
Electronic Journal of Statistics, 2018, 12, 2905-2929, doi.org/10.1214/18-EJS1478
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Credit Risk Interconnectedness: What Does the Market Really Know?
with Puriya Abbassi, Christina Hans and Natalia Podlich
Journal of Financial Stability, 2017, 29, 1-12, doi:j.jfs.2017.01.002
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SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
with Robert Engle
The Review of Financial Studies, 2017, 30, 48-79, doi:10.1093/rfs/hhw060
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Empirical risk minimization for heavy-tailed losses
with Emilien Joly and Gabor Lugosi
Annals of Statistics, 2015, 43, 2507-2536, doi:10.1214/15-AOS1350
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Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
with Matteo Barigozzi, Giampiero M. Gallo and David Veredas
Journal of Econometrics, 2014, 182, 364-382, doi:10.1016/j.jeconom.2014.05.017
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A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: the Mixed Autoregressive Conditional Duration Model
with Marina Vannucci
Studies in Nonlinear Dynamics & Econometrics, 2013, 17, 21-46, doi:10.1515/snde-2012-0043
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A Practical Guide to Volatility Forecasting Through Calm and Storm
with Robert Engle and Bryan Kelly
Journal of Risk, 2011, 14, 1-20, online appendix
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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
with Giampiero M. Gallo and Fabrizio Cipollini
Journal of Financial Econometrics, 2011, 9, 489-518, doi:10.1093/jjfinec/nbq024
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Shrinkage Estimation of Semi-Parametric Multiplicative Error Models
with Giampiero M. Gallo
International Journal of Forecasting, 2011, 27, 365-378, doi:10.1016/j.ijforecast.2010.04.005 -
Comparison of Volatility Measures: A Risk Management Perspective
with Giampiero M. Gallo
Journal of Financial Econometrics, 2010, 8, 29-56, doi:10.1093/jjfinec/nbp009
Winner of the 2013 Robert Engle young scholar award for best paper published in 2010, 2011 and 2012. -
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
with Giampiero M. Gallo
Journal of Financial Econometrics, 2008, 6, 513-539, doi:10.1093/jjfinec/nbn012 -
Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns
with Giampiero M. Gallo
Computational Statistics & Data Analysis, 2006, 51, 2232-2245, doi:10.1016/j.csda.2006.09.030