Research

Publications

• Stochastic Volatility Models with Skewness Selection , with Hedibert Lopes, 2024. Entropy.

Working Papers

• Good Volatility, Bad Volatility and the Cross Section of Commodity Returns, with Tamas Kiss. Under Review - Finance Research Letters.
• What events matter for exchange rate volatility, with Hedibert Lopes. R&R - Quarterly Review of Economics and Finance.
• Disaggregated impulse response functions via the classifier-Lasso, with Miguel Bandeira. R&R - Journal of Applied Econometrics.

Work in Progress

• Carry trade Under the Stars, with Mohammed M. Kaebi.
• Stochastic Dynamic Correlations with Exogenous Shifts, with Sune Karlsson, Tamas Kiss and Stepan Mazur.
• Intraday crude oil volatility: assessing the impact of economic announcements and mixed-frequency data , with Audrone Virbickaite, Hoang Nguyen and Hedibert Lopes.
• Realized Stochastic Semivariances,.