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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).
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 yield changes.

Euro area sovereign bond risk premia before and during the Covid-19 pandemic, with Stefano Corradin.
(most recent version: April 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.

Dynamic nonparametric clustering of multivariate panel data, with Igor Custodio Joao, Julia Schaumburg, and Andre Lucas.
(most recent version: July 2022)
R&R, Journal of Financial Econometrics.
A new dynamic clustering method for multivariate panel data characterized by time-variation in cluster locations and shapes,
cluster compositions, and possibly the number of clusters. Illustrated using data on large European insurers.

Can EU bonds serve as euro-denominted safe assets?, with Tilman Bletzinger and William Greif.
(most recent version: July 2022) (ECB WP), 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, 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.