MaIN PUBLICATIONS

Realized-VAR: Estimating Financial Networks by Realized Interdependencies, Journal of Financial Econometrics (2026), forthcoming (with Massimiliano Caporin and Stefano Nasini). 

Natural Gas Market Sentiment, Annals of Operations Research (2026), forthcoming (with Nikola Gradojevic). “Best paper award“, The Finance Symposium, Greece.

Mind Your Language: Market Responses to Central Bank Speeches, Journal of Econometrics (2025), 249, 105921 (with Maximilian Ahrens, Michael McMahon, Christopher Neely and Xiye Yang). Please click here for the Fed St. Louis working paper version. 

News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach,  Journal of Financial Econometrics (2022), nbac015, 1-38 (with Xiye Yang). Please click here for the working paper version

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data,  Journal of Econometrics (2018), 202, 18-44 (with Mardi Dungey, Xiye Yang and Marius Matei). Please click here for the working paper version.

Which Continuous-Time Model is Most Appropriate for Exchange Rates?, Journal of Banking and Finance (2015), 61, 256-268 (with Sébastien Laurent and Christopher J. Neely). Please click here for the working paper version.

The Intra-day Impact of Communication on Euro-Dollar Volatility and Jumps, Journal of International Money and Finance (2014), 43, 131-154 (with Hans Dewachter, Jean-Yves Gnabo and Christelle Lecourt). Please click here for the working paper version.

WORKING PapErs / WORK IN PROGRESS                                               

Testing for Multi-Asset Systemic Tail Risk (joint work with Christopher Neely and Xiye Yang). Please click here for the Federal Reserve Bank of St. Louis working paper version.

Retrospective Bayesian Estimation for Multinational Pandemic Outbreaks (joint work with Stefano Nasini, Huiyun Ding and Sophie Dabo-Niang) 

What’s New in Central Bankers’ Speeches? Unexpected Messages and Market Responses (joint work with Michael Ehrmann and Douglas Araujo) 

Flight to Home or Flight to Safety? Global Tail Risk Cycles and Hedge Fund Returns (joint work with Kamil Yilmaz and Xiye Yang) 

Network-Based Dependency Decomposition in Restricted VAR Models (joint work with Massimiliano Caporin and Stefano Nasini)       

 

Other publications in peer-reviewed journals

Drilling Deeper: Non-linear, Non-Parametric Natural Gas Price and Volatility Forecasting, The Energy Journal (2024), 45, 81-105 (with Nikola Gradojevic and Dusan Bajatovic).

Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks, Economic Modelling (2021), 102, 105592 (with Mikael Petitjean and Nicolas Vargas). Please click here for the working paper version.

Heterogeneous Investment Horizons, Risk Regimes and Realized Jumps, International Journal of Finance and Economics (2020) (with Nikola Gradojevic). Please click here for the working paper version.

A New Wavelet-based Ultra-High Frequency Analysis of Triangular Arbitrage, Economic Modelling (2020), 85, 57-73 (with Nikola Gradojevic and Ramazan Gencay). Please click here for the working paper version.

Long-Term Asset Allocation, Risk Tolerance and Market Sentiment, Journal of International Financial Markets, Institutions and Money (2019), 62, 1-19 (with Robert Joliet). Please click here for the working paper version.

Multiple Channels of Financial Contagion: An Empirical Analysis of Stock Price Dynamics, Finance (2019) (with Stefano Nasini).

Informativeness of Trade Size in Foreign Exchange Markets, Economics Letters (2017), 150, 27-33 (with Nikola Gradojevic and Ramazan Gencay). Please click here for the working paper version.

Econometric Modeling of Exchange Rate Volatility and Jumps, Handbook of Research Methods and Applications in Empirical Finance, Edward Elgar (2013), 373-427 (with Sébastien Laurent and Christopher J. Neely). Please click here for the working paper version.

Other completed works

Market Reaction to News and Investor Attention in Real Time (joint work with Thomas Renault and Roland Gilles) 

Expectations or Surprises: What Really Moves the U.S. Treasury Market? (joint work with Michel van der Wel)