Work in progress
Modeling extreme events: time-varying extreme tail shape, joint with Andre Lucas and Xin Zhang.
(most recent version: March 2022)
Reject & resubmit, 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 bond yield changes.
Euro area sovereign bond risk premia before and during the Covid-19 pandemic, joint with Stefano Corradin.
(most recent version: April 2022)
Reject & resubmit, European Economic Review.
A statistical framework for decomposing sovereign bond 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.
Can EU bonds serve as euro-denominted safe assets?, joint with Tilman Bletzinger and William Greif.
(most recent version: May 2022), submitted.
Safe assets are low in default risk, robust to downturns, and trade in liquid markets. We study whether EU-issued bonds
satisfy these criteria, and discuss how to further promote their safe asset status.
The risk management approach to macro-prudential policy,
joint with Chavleishvili, Engle, Fahr, Kremer, and Manganelli.
(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, joint 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.
* Annual Research Conference, European Commission, Brussels, 15 Nov 2021
* Riksbank research seminar series, Stockholm 05 Mar 2019
* Gothenburg University, finance seminar, Gothenburg 07 Mar 2019
* Norges Bank research seminar, Oslo 08 Mar 2019
* "Score-driven time series models" conference, Cambridge 27-29 Mar 2019
* Bundesbank research center seminar, Frankfurt 03 Apr 2019
* VU Amsterdam, econometrics brownbag seminar, Amsterdam 18 Apr 2019
* Conference on high-dimensional time series, Vienna 16-17 May 2019
* ECB DG-R internal seminar, Frankfurt 05 Jun Apr 2019
* IAAE conference, Nicosia 25-28 Jun 2019
* Panel data conference, Vilnius 4-5 Jul 2019
* NUS RMI credit risk conference, Singapore 25 Jul 2019
* EEA/ESEM conference, Manchester 26-29 Aug 2019
* Econometrics summer forum, Galatina, 31 Aug 2019
* Forecasting workshop, National Bank of Poland, Warsaw 25-26 Nov 2019
* Research seminar, Dutch Central Bank, Amsterdam 03 Dec 2019