Work in progress
Work 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.
- “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, SNB mimeo.
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.
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.
Paper to download
- “A forecast based comparison of restricted realized covariance models”, with Matteo Bonato and Massimiliano Caporin. Submitted to a Journal.
- “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.
Paper to download
- “Global FX Trading and FOMC Deliberations”, with Andreas Fischer, CEPR discussion paper and a SNB working paper # 2008-09. Under Revision.
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