About Me

I am an Associate Professor in the Department of Economics and Business at the Universitat Pompeu Fabra since 2017. I received my B.S. degree in Economics and Quantitative Methods in 2003 and Ph.D. degree in Statistics in 2007 from Università di Firenze. I was a Post-Doc Research Fellow at NYU Stern until 2011. Over the years I studied, visited and researched at the University of Reading, Monash University, UCSD and EUI.

My research interests include: Time Series, Forecasting, Network Analysis, Statistical Computing, Empirical Finance.

Info

Contact

Department of Economics and Business, Universitat Pompeu Fabra, Ramon Trias Fargas 25-27, Office 20-2E10, 08005, Barcelona, Spain

Current Research

  • Detecting Granular Time Series in Large Panels
    with Geert Mesters
    download
  • Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression (R&R RFS)
    with Ben Chabot, Eric Ghysels and Christopher Kurz
    download
  • On the Consequences of Power-Law Behavior in Partial Correlation Network Models
    with Matteo Barigozzi and Gabor Lugosi
    download
  • Impulse Response Estimation By Smooth Local Projections (R&R REStat)
    with Regis Barnichon
    download
  • A Truncated Two-Scales Realized Volatility Estimator
    with Eulalia Nualart and Yucheng Sun
    download
  • Community Detection in Partial Correlation Network Models
    with Gudmundur Stefan Gudmundsson and Gabor Lugosi
    download
  • NETS: Network Estimation for Time Series (R&R JAE)
    with Matteo Barigozzi
    download
  • Hierarchical GARCH (R&R JEF)
    download
  • Realized Networks (R&R JAE)
    with Eulalia Nualart and Yucheng Sun
    download

Publications

  • Credit Risk Interconnectedness: What Does the Market Really Know? with Puriya Abbassi, Christina Hans and Natalia Podlich
    Journal of Financial Stability forthcoming
    download working paper version
  • SRISK: A Conditional Capital Shortfall Measure of Systemic Risk with Robert Engle
    The Review of Financial Studies 2017, 30 (1): 48-79 doi:10.1093/rfs/hhw060
    download working paper version
  • Empirical risk minimization for heavy-tailed losses with Emilien Joly and Gabor Lugosi
    Annals of Statistics 2015, 43(6), 2507-2536, doi:10.1214/15-AOS1350
    download working paper version
  • Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets with Matteo Barigozzi, Giampiero M. Gallo and David Veredas
    Journal of Econometrics 2014, 182(2), 364-382, doi:10.1016/j.jeconom.2014.05.017
    download working paper version
  • A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: the Mixed Autoregressive Conditional Duration Model
    with Marina Vannucci
    Studies in Nonlinear Dynamics & Econometrics 2013, 17(1), 21-46 doi:10.1515/snde-2012-0043
    download working paper version
  • A Practical Guide to Volatility Forecasting Through Calm and Storm
    with Robert Engle and Bryan Kelly
    Journal of Risk 2011, 14(2), 1-20 online appendix
    download working paper version
  • Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    with Giampiero M. Gallo and Fabrizio Cipollini
    Journal of Financial Econometrics 2011 9(3): 489-518, doi:10.1093/jjfinec/nbq024
    download working paper version
  • Shrinkage Estimation of Semi-Parametric Multiplicative Error Models
    with Giampiero M. Gallo
    International Journal of Forecasting 2011 27(1): 365-378 doi:10.1016/j.ijforecast.2010.04.005
  • Comparison of Volatility Measures: A Risk Management Perspective
    with Giampiero M. Gallo
    Journal of Financial Econometrics 2010 8(1): 29-56, doi:10.1093/jjfinec/nbp009
    Winner of the 2013 Robert Engle young scholar award for best paper published in 2010, 2011 and 2012.
  • On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
    with Giampiero M. Gallo
    Journal of Financial Econometrics 2008 6(4): 513-539, doi:10.1093/jjfinec/nbn012
  • Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns
    with Giampiero M. Gallo
    Computational Statistics & Data Analysis, 2006 51(4): 2232-2245, doi:10.1016/j.csda.2006.09.030

Other Stuff

Coding

I am big fan of Linux and I like to code. Over the years I have developed a number of packages (in particular in R). Most of the code I develop can be found on my github page

Vlab

While doing a post-doc at NYU I developed the vlab for on-line real time measurement and forecasting of financial volatility and correlations

Conference and Workshop Organization

Together with my colleagues at the Barcelona GSE I typically organize at least one workshop a year on themes in the neighborhood of econometrics and statistics within the Barcelona Summer Forum

Fun Stuff

I play the bass in the band The Bad Axes