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My primary field of research is applied macro-finance, with a particular focus on econometrics and empirical finance. The bulk of my research concentrates on modelling the yield curve of government bonds and understanding its relation with macroeconomic fundamentals. I am also interested in issues about policy making and forecasting.
Full details of publications can be found at Google Scholar
Testing for optimal monetary policy via moment inequalities (with Valentina Corradi and Paulo Santos Monteiro). Journal of Applied Econometrics, forthcoming
Unspanned macroeconomic factors in the yield curve (with Michele Modugno and Domenico Giannone), Journal of Business and Economic Statistics, 34 (3), 472-485, 2016.
A simple two-component model for the distribution of intraday returns (with David Veredas), The European Journal of Finance 18(9), 775-797, 2012.
How arbitrage-free is the Nelson and Siegel model? (with Ken Nyholm and Rositsa Vidova-Koleva), Journal of Empirical Finance 18(3), 393-407, 2011.