Work in progress

Modeling extreme events: time-varying extreme tail shape, joint with Andre Lucas and Xin Zhang.
(ECB WP) (TI DP) (Riksbank WP).
Reject & resubmit, Journal of Business and Economic Statistics.
An extreme value theory-inspired statistical model to study time variation in tail parameters for long univariate time series.
Central bank asset purchases lean against the tail risk of extremely adverse market outcomes while active.

Euro area sovereign bond risk premia during the Covid-19 pandemic, joint with Stefano Corradin and Niklas Grimm.
(ECB WP) (most recent version) (web appendix), submitted.
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 bond yields in different ways.

The risk management approach to macro-prudential policy, joint with Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, and Simone 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, joint with Geert Mesters and Siem Jan Koopman.
(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.

Seminar/conference presentations


* 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