R e s e a r c h

Work in progress

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

Financial Networks and High-Dimensional VARs (joint work with Massimiliano Caporin and Stefano Nasini) 

Flight to Home and Asymmetric Tail Cycles (joint work with Kamil Yilmaz and Xiye Yang) 

Intensity Jumps (joint work with Xiye Yang) 

News-Driven Systemic Risk at High Frequency (joint work with Christopher Neely and Xiye Yang) 

Selected publications

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

Informativeness of Trade Size in Foreign Exchange Markets, Economics Letters, (2017) 150, 27-33 (joint work with Nikola Gradojevic and Ramazan Gencay). 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 (joint work 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 (joint work with Hans Dewachter, Jean-Yves Gnabo and Christelle Lecourt). Please click here for the working paper version.

Other publications in peer-reviewed journals

Heterogeneous Investment Horizons, Risk Regimes and Realized Jumps, International Journal of Finance and Economics (2020), (joint work 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 (joint work 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 (joint work 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), Forthcoming (joint work with Stefano Nasini).

Econometric Modeling of Exchange Rate Volatility and Jumps, Handbook of Research Methods and Applications in Empirical Finance, Edward Elgar (2013), 373-427 (joint work 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)