Testing for equal predictive accuracy with strong dependence (with Fabrizio Iacone), International Journal of Forecasting, 2024.
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Survey density forecast comparison in small samples (with Fabrizio Iacone and Fabio Profumo), International Journal of Forecasting, 40(4), 1486-1504, 2024.
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Does real-time macroeconomic information help to predict interest rates? (with Alberto Caruso), Journal of Money, Credit and Banking, forthcoming.
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Testing the predictive accuracy of COVID-19 forecasts (with Fabrizio Iacone, Alessia Paccagnini and Paulo Santos Monteiro),
International Journal of Forecasting, 2022.
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European spreads at the interest rate lower bound (with Sergio Pastorello), Journal of Economic Dynamics and Control, 119, 2020.
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International Stock Comovements with Endogenous Clusters (with Laura E. Jackson and Michael T. Owyang), Journal of Economic Dynamics and Control, 116, 2020.
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Comparing predictive accuracy in small samples using fixed-smoothing asymptotics (with Fabrizio Iacone), Journal of Applied Econometrics, 35(4), 391–405, 2020.
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Testing for optimal monetary policy via moment inequalities (with Valentina Corradi and Paulo Santos Monteiro), Journal of Applied Econometrics, 33(6), 780-796, 2018.
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Unspanned macroeconomic factors in the yield curve (with Michele Modugno and Domenico Giannone), Journal of Business and Economic Statistics, 34 (3), 472-485, 2016.
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A simple two-component model for the distribution of intraday returns (with David Veredas), The European Journal of Finance 18(9), 775-797, 2012.
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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.