Work in progress

Modeling extreme events: time-varying extreme tail shape, with Enzo D'Innocenzo, Andre Lucas, and Xin Zhang.
(most recent version: May 2023) (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.

The risk management approach to macro-prudential policy, with Chavleishvili, Engle, Fahr, Kremer, and Manganelli.
(ECB WP) (a recent version) (web appendix)
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.

When is monetary policy transmission impaired?
(work in progress)
An estimated semi-structural model indicates that central bank interventions in sovereign bond markets have occurred when
monetary policy shocks ceased to explain a high share of yield variation.

Nonlinear dynamic factor models with interacting level and volatility, with Geert Mesters and Siem Jan Koopman.
(work in progress)
A nonlinear dynamic factor model with interacting conditional mean and volatility factors.
The statistical model implies point and density forecasts of macro variables "at risk."

"Post-covid" seminars/conference presentations

2023:

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

* Econometrics annual meeting, Verein für Socialpolitik, Bad Kleinen, 30-31 Mar 2023

* EEFS conference, Berlin, 16-17 Jun 2023

* EEA/ESEM, Barcelona, 20-25 Aug 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