Sample of works in progress
Sample of works in progress
Here you can find some of my current research projects. These typically lie in the following fields: FX market microstructure, time-series analysis of financial market data, central bank communication, monetary policy, macroeconomics and finance.
-NEW: “On the Predictability of Stock Prices: a Case for High and Low Prices”, with Massimiliano Caporin and Paolo Santucci de Magistris. Submitted to the SNB working paper series. Paper to download
- NEW: “Hedging risk spillovers in international equity portfolios”, with Matteo Bonanto and Massimiliano. Caporin. Submitted to the SNB working paper series. Paper to download
- “Rollover risk during the crisis”, with Viral Acharya and Asani Sarkar. Accepted and presented at the 2010 American Economic Meetings in Atlanta; work in progress.
- “Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity”, with Tommaso Mancini-Griffoli. Presented at the 2011 American Economic Meetings in Denver. Swiss National Bank working paper no. 2010-14.
Paper to download
- “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”, with Loriano Mancini and Jan Wrampelmeyer. SNB Working Paper 2010-3. Awarded as “Outstanding Paper in International Finance” at the Eastern Finance Association meetings in Las Vegas, 16 April 2010.
Paper to download
- “Do Financial Market Variables Help Predict the State of the Swiss Business Cycles? ”, with Mario Meichle and Attilio Zanetti, SNB mimeo.
- “Intraday Patterns in FX Returns and Order Flow”, with Francis Breedon, Paper accepted and presented at the 2009 American Economic Association meetings, S. Francisco. Forthcoming as a SNB working paper.
Paper to download
- “Forecasting realized (co)variances with Block Wishart Autoregressive Model”, with Matteo Bonato and Massimiliano Caporin. SNB Working Paper # 2009-3.
Paper to download
- “Exchange Rate Risk, Transactions Costs and the Forward Bias Puzzle”, with Asani Sarkar, work in progress.
Abstract to download
- “Monetary Policy Effects on Long-term Rates and Stock Prices”, with Samuel Reynard, work in progress. Presented at the 2008 American Economic Association meetings in New Orleans and at the 2008 European Finance Association meetings in Athens.
Paper to download
- “Information contents and predictability of extreme prices in financial markets”, submitted to the Swiss National Bank working paper series
Paper to download