Research

Working Papers

• Disaggregated impulse response functions via the classifier-Lasso
  R&R - Journal of Applied Econometrics (with Miguel Bandeira).
• Volume-driven time-of-day effects in intraday volatility models
  R&R - International Journal of Forecasting (with Audrone Virbickaite, Hoang Nguyen and Hedibert Lopes).
• Fast and Slow Level Shifts in Intraday Stochastic Volatility
  R&R - Journal of Financial Econometrics (with Audrone Virbickaite, Hoang Nguyen and Hedibert Lopes).
• Long-Run Interest Rate Differentials and the Profitability of Currency Carry
  Submitted (with Mohammed M. Kaebi).
• Stochastic dynamic correlations with exogenous shifts
  (with Sune Karlsson, Tamas Kiss and Stepan Mazur). New draft coming soon!

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).

Work in Progress

• Nowcasting intraday volatility
  (with Audrone Virbickaite and Hoang Nguyen).
• Bayesian Heterogeneous Local Projections
  (with Miguel Bandeira)
• Two is better than one: VAR with realized and stochastic skewness in mean
  (with Alessandro Celani)
• Bayesian predictive synthesis for binary outcomes