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Work in progress

Modeling extreme events: time-varying extreme tail shape, with Andre Lucas and Xin Zhang.
(most recent version: March 2022) (web appendix) (ECB WP).
R&R, Journal of Business and Economic Statistics.
An extreme value theory-based statistical model to study time variation in tail parameters.
With applications to modeling U.S. equity index returns and euro area sovereign yield changes.

Euro area sovereign bond risk premia before and during the Covid-19 pandemic, with Stefano Corradin.
(most recent version: Nov 2022) (web appendix) (ECB WP).
R&R, European Economic Review.
A framework for decomposing euro area sovereign yields into their underlying risk premium components.
ECB monetary policy and EU fiscal policy announcements mattered to first order, and affected yields in different ways.

The risk management approach to macro-prudential policy, with Chavleishvili, Engle, Fahr, Kremer, and Manganelli.
(ECB WP) (a recent version) (web appendix), submitted.
Macro-prudential policy makers need to trade off an economy's short-term upside potential against its medium-term downside risk.
We use a quantile VAR model to relate this intertemporal trade-off to measures of financial stress and medium-term vulnerabilities.

Nonlinear dynamic factor models with interacting level and volatility, with Geert Mesters and Siem Jan Koopman.
(work in progress)
We propose a nonlinear dynamic factor model with interacting conditional mean and volatility factors.
The model allows us to relate euro area sovereign bond yields to interacting risk factors.


"Post-covid" seminars/conference presentations

2023:

* IBEFA/ASSA meetings, New Orleans, 5-8 Jan 2023


2022:

* ECB research seminar, Frankfurt, 27 Apr 2022

* IAS conference on "high-dimensional time series", Vienna, 09-10 Jun 2022

* Boston Fed, brownbag research seminar, Boston, 21-22 Sep 2022

* NBER/NSF time series conference, Boston University, 23-24 Sep 2022

* DHBW Mannheim, 25-26 Oct 2022

* European Winter Meeting of the Econometric Society, HU Berlin, 15-18 Dec 2022

* Hamburg University, quantitative economics seminar, Hamburg, 20 Dec 2022


2021:

* Annual Research Conference, European Commission, Brussels, 15 Nov 2021