Research

Publications

• What Events Matter For Exchange Rate Volatility Quarterly Review of Economics and Finance, 2025 (with Hedibert Lopes).
• Good Volatility, Bad Volatility and the Cross Section of Commodity Returns Finance Research Letters, 2025 (with Tamas Kiss).
• Stochastic Volatility Models with Skewness Selection Entropy, 2024 (with Hedibert Lopes).

Working Papers

• Disaggregated impulse response functions via the classifier-Lasso R&R - Journal of Applied Econometrics (with Miguel Bandeira).
• Fast and Slow Level Shifts in Intraday Stochastic Volatility Awaiting Referee Scores - Journal of Financial Econometrics (with Audrone Virbickaite, Hoang Nguyen and Hedibert Lopes).
• Volume-driven time-of-day effects in intraday volatility models Submitted - International Journal of Forecasting (with Audrone Virbickaite, Hoang Nguyen and Hedibert Lopes).
• Long-Run Interest Rate Differentials and the Profitability of Currency Carry Under Review - Journal of Empirical Finance (with Mohammed M. Kaebi).

Work in Progress

• Stochastic Dynamic Correlations with Exogenous Shifts (with Sune Karlsson, Tamas Kiss and Stepan Mazur). New draft coming soon!
• Nowcasting intraday volatility (with Audrone Virbickaite and Hoang Nguyen).
• Unrestricted order-invariant dynamic combination of covariance matrices.
• Portfolio Management in an Eventful World.