About Me
I am an Associate Professor in the Department of Economics and Finance at LUISS Guido Carli, and an Associate Professor (currently on leave) in the Department of Economics and Business at Universitat Pompeu Fabra. I received a B.S. in Economics and Quantitative Methods in 2003 and a Ph.D. in Statistics in 2007 from the University of Florence (Università di Firenze). From 2007 to 2011, I was a Postdoctoral Research Fellow at the NYU Stern School of Business. From 2011 to 2017, I was an Assistant Professor in the Department of Economics and Business at Universitat Pompeu Fabra, and I have held a tenured position there since 2017.
Working Papers
- “Concentration Inequalities for Suprema of Empirical Processes with Dependent Data via Generic Chaining with Applications to Statistical Learning” with Chiara Amorino and Ankita Ghosh [PDF]
- “How to Bet on Winners (and Losers)” with Andre Souza [PDF]
- “Performance of Empirical Risk Minimization For Principal Component Regression”
with Gudmundur Stefan Gudmundsson and Yaping Wang
[PDF]
R&R Econometric Theory
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“Unit Averaging for Heterogenous Panels”
with Vladislav Morozov[PDF]
R&R Journal of Business & Economic Statistics
Publications
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“Performance of Empirical Risk Minimization for Linear Regression with Dependent Data” with Gudmundur Stefan Gudmundsson
Econometric Theory 2025, 41, 391-420 [doi.org/10.1017/S0266466623000348] [PDF working paper version]
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“Nonstandard Errors” crowdsourcing project with 342 co-authors
Journal of Finance 2024, 79, 2339-2390 [doi.org/10.1111/jofi.13337] [PDF working paper version] -
“Empirical Risk Minimization for Time Series: Nonparametric Performance Bounds for Prediction” with Jordi Llorens-Terrazas
Journal of Econometrics 2024, 244, 105849 [doi.org/10.1016/j.jeconom.2024.105849] [PDF working paper version] -
“Projected Dynamic Conditional Correlations” with Jordi Llorens-Terrazas
International Journal of Forecasting, 2023, 39, 1761-1776 [doi.org/10.1016/j.ijforecast.2022.06.003] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“Hierarchical GARCH”
Journal of Empirical Finance, 2019, 51, 17-27 [doi.org/10.1016/j.jempfin.2019.01.009] [PDF working paper version] -
“NETS: Network Estimation for Time Series”
with Matteo Barigozzi
Journal of Applied Econometrics, 2019, 34, 347-364 [doi.org/10.1002/jae.2676] [PDF working paper version] -
“Realized Networks”
with Eulalia Nualart and Yucheng Sun
Journal of Applied Econometrics, 2018, 33, 986-1006 [doi.org/10.1002/jae.2642] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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] [PDF working paper version] -
“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]