Research

Publications

• 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).
• What events matter for exchange rate volatility R&R - Quarterly Review of Economics and Finance (with Hedibert Lopes).
• Block-Trading and Central Bank FX Transactions Announcements: Implications for Short-Term Volatility and Returns. Under Review - European Economic Review (with Antonio Caluz, Victor Alexandrino and Bruno Cavani).
• Long-Run Interest Rate Differentials and the Profitability of Currency Carry Submitted - 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.
• 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.