?
?

Work in progress























Publications in refereed journals






























































































Other publications

?


_______________________


Double conditioning: the hidden connection between Bayesian and classical statistics, 2023

Pdf


The Risk Management Approach to Macro-Prudential Policy (with Sulkhan Chavleishvili,Robert Engle, Stephan Fahr, Manfred Kremer and Bernd Schwaab), 2021

Pdf


Statistical decision functions with judgment, 2021

Pdf


Financial Conditions, Business Cycle Fluctuations and Growth at Risk (with Andrea Falconio), 2020

Pdf


Monetary Policy with Judgment (with Paolo Gelain), 2020

Pdf


Forecasting and Stress Testing with Quantile Vector Auteregression (with Sulkhan Chavleishvili), 2019

Pdf | Data | Matlab Codes


Selecting Models with Judgment, 2018

Pdf | Data | Matlab Codes



_______________________


Covid-19 and rural landscape: The case of Italy (with Mauro Agnoletti and Francesco Piras), 2020, Landscape and Urban Planning, 204

Pdf


Measuring Financial Fragmentation in the Euro Area Corporate Bond Market (with Guillaume Horny and Benoit Mojon), 2018, Journal of Risk and Financial Management, 11, 74

Pdf


The portfolio of euro area fund investors and ECB monetary policy announcements (with Johannes Bubeck and Maurizio Habib), 2018, Journal of International Money and Finance, 89: 103-126

Pdf


Bank risk during the financial crisis: do business models matter? (with Yener Altunbas and David Marques), 2017, Journal of Financial Intermediation, 32(C): 29-44

Pdf


A high frequency assessment of the ECB Securities Markets Programme (with Eric Ghysels, Julien Idier and Olivier Vergote), 2017, Journal of the European Economic Association, 15: 218-243

Pdf


Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area (with Carlos Garcia-de-Andoain, Florian Heider and Marie Hoerova), 2016, Journal of Financial Intermediation, 28: 32-47

Pdf


Financial Development, Sectoral Reallocation, and Volatility: International Evidence (with Alexander Popov), 2015, Journal of International Economics, 96: 323-337

Pdf


VAR for VaR: Measuring tail dependence using multivariate regression quantiles (with Halbert White and Tae-Hwan Kim), 2015, Journal of Econometrics, 187: 169-188

Pdf | Data | Matlab Codes


Discussion of 'Central Bank Macroeconomic Forecasting during the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences' by L. Alessi, E. Ghysels, L. Onorante, R. Peach, S. Potter, (with Kirstin Hubrich), 2014, Journal of Business and Economic Statistics, 32(4)

Pdf


Fragmentation in the Euro overnight unsecured money market (with Carlos Garcia de Andoain and Peter Hoffmann), 2014, Economics Letters, 125: 298-302

Pdf


Measuring Comovements by Regression Quantiles (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2014, Journal of Financial Econometrics, 12 (4): 645-678

Pdf


Financial Dependence, Global Growth Opportunities, and Growth Revisited (with Alex Popov), 2013, Economics Letters, 120: 123-125

Pdf


The Impact of the Euro on Equity Markets (with Lorenzo Cappiello and Arjan Kadareja), 2010, Journal of Financial and Quantitative Analysis, 45(2): 473-502

Pdf


Forecasting with Judgement, 2009, Journal of Business & Economic Statistics, 27(4): 553-563

Pdf | Data | Matlab Codes


What Drives Spreads in the Euro Area Government Bond Market? (with Guido Wolswijk), 2009, Economic Policy, 48: 191-240

Pdf


The Central Banker as a Risk Manager: Estimating the Federal Reserve´s Preferences Under Greenspan (with Lutz Kilian), 2008, Journal of Money, Credit, and Banking, 40: 1103-1129

Pdf


Quantifying the Risk of Deflation (with Lutz Kilian), 2007, Journal of Money, Credit, and Banking, 39: 561-590

Pdf Data | Matlab Codes


Duration, Volume and Volatility Impact of Trades, 2005, Journal of Financial Markets, 8: 377-399

Pdf


CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (with Robert Engle), 2004, Journal of Business & Economic Statistics, 22(4): 367-381

Pdf | Data | Matlab Codes


Asset Allocation by Variance Sensitivity Analysis, 2004, Journal of Financial Econometrics, 2(3):370-389

Pdf | Data | Matlab Codes


EMU and the European Financial System: Structure, Integration and Policy Initiatives (with Philipp Hartmann and Angela Maddaloni), 2003, Oxford Review of Economic Policy, 19(1): 180-213

Pdf



_______________________


The impact of the securities markets programme, ECB Research Bulletin No. 17, European Central Bank, Frankfurt am Main, Winter 2012

Pdf


New methodologies for systemic risk measurement (with Stefano Corradin and Bernd Schwaab), ECB Research Bulletin No. 12, European Central Bank, Frankfurt am Main, Spring 2011

Pdf


The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets (with John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe,Fernando Monar, Benjamin Sahel, Matjaž Sušec, Jens Tapking and Tana Vong), 2011, ECB OP No. 122

Pdf


Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR (with Tae-Hwan Kim and Halbert White), 2008, in Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle, ed. by M. Watson, T. Bollerslev and J. Russell

Pdf


Measuring Financial Integration in New EU Member States (with Markus Baltzer, Lorenzo Cappiello and Roberto De Santis), 2008, ECB OP No. 81

Pdf


Financial integration and capital flows in the new EU Member States (with Lorenzo Cappiello), ECB Research Bulletin No. 6, European Central Bank, Frankfurt am Main, June 2007

Pdf


Financial Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, ECB WP No. 683

Pdf


Equity Market Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, in Financial Development, Integration and Stability. Evidence from Central, Eastern and South-Eastern Europe, ed. by K. Liebscher, J. Christl, P. Mooslechner and D. Ritzberger-Gruenwald, Edward Elgar UK

Pdf


Capital Markets and Financial Integration in Europe (with Philipp Hartmann and Cyril Monnet), 2006, in Competition and Profitability in European Financial Services. Strategic, Systemic and Policy Issues, ed. by A. Mullineux, M. Balling and F. Lierman, SUERF, Routledge

Pdf


The central banker as a risk manager (with Lutz Kilian), ECB Research Bulletin No. 2, European Central Bank, Frankfurt am Main, April 2005

Pdf


Risk Management for Central Bank Foreign Reserves (edited volume with Carlos Bernadell, Pierre Cardon, Joachim Coche and Francis X. Diebold), European Central Bank, Frankfurt am Main, May 2004

Pdf


A Comparison of Value at Risk Models in Finance (with Robert Engle), Risk Measures for the 21st Century, ed. Giorgio Szego, Wiley Finance, 2004

Pdf


A Framework for Forecasting and Evaluating Inflation Risks (with Lutz Kilian), The Economic Outlook for 2004. Proceedings of the 51st Conference on the Economic Outlook, Ann Arbor, MI, November 2003

Pdf

?

Home | Research | Contact

?
?