Research
Published Research Papers
"A test for time-varying smooth transition conditional covariance models in multivariate time series"
Studies in Nonlinear Dynamics & Econometrics, 2025
"Collapse of Silicon Valley Bank and USDC Depegging: A Machine Learning Experiment" (with P-O.D and J.C)
FinTech, 2024
"Jump-robust REGARCH-MIDAS-X estimators for Bitcoin and Ethereum volatility indices" (with J.C)
Stats, 2023
"Tracking 'Pure' Systematic Risk with Realized Betas for Bitcoin and Ethereum" (with J.C)
Econometrics, 2023
"Testing for nonlinearity in conditional covariances"
Journal of Time Series Econometrics, 2017
"Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models" (with A.P-F)
Annals of Economics and Statistics, 2016
"Volatility spillovers across daytime and overnight information between China and world equity markets" (with J.H)
Applied Economics, 2015
Ongoing Research
- "Scalar BEKK with covariance targeting and smooth transition" (previously entitled: Nonlinear Scalar BEKK)
- "A misspecification test for nonlinearity in conditional covariances" (with T.C)
Research Interests
- Nonlinear time series econometrics and modeling volatility
- Tests in multivariate conditional heteroskedastic models
- Score Driven Models (Generalized Autoregressive Score)
- Financial econometrics with applications to cryptocurrencies
- Volatility modeling and forecasting
- Machine learning applications in finance