My main research areas of interest are the use of judgment in statistical decision theory and measurement of tail risks.
Judgment and Statistical Decision Theory
Forecasting with Judgment, 2009, Journal of Business & Economic Statistics, 27(4): 553-563, Pdf | Data | Matlab Codes
Statistical decision functions with judgment, 2025, Journal of Economic Theory, 223, Pdf
Double conditioning: the hidden connection between Bayesian and classical statistics, 2023, Pdf
Monetary Policy with Judgment (with Paolo Gelain), 2020, Pdf
Selecting Models with Judgment, 2018, Pdf | Data | Matlab Codes
Measurement of tail risks
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles (with Robert Engle), 2004, Journal of Business & Economic Statistics, 22(4): 367-381, Pdf | Data | Matlab Codes
The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences Under Greenspan (with Lutz Kilian), 2008, Journal of Money, Credit, and Banking, 40: 1103-1129, Pdf
Quantifying the Risk of Deflation (with Lutz Kilian), 2007, Journal of Money, Credit, and Banking, 39: 561-590, Pdf | Data | Matlab Codes
Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR (with Tae-Hwan Kim and Halbert White), 2008, in Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle, ed. by M. Watson, T. Bollerslev and J. Russell, Pdf
The Impact of the Euro on Equity Markets (with Lorenzo Cappiello and Arjan Kadareja), 2010, Journal of Financial and Quantitative Analysis, 45(2): 473-502, Pdf
Measuring Comovements by Regression Quantiles (with Lorenzo Cappiello, Bruno Gerard, and Arjan Kadareja), 2014, Journal of Financial Econometrics, 12 (4): 645-678, Pdf
VAR for VaR: Measuring tail dependence using multivariate regression quantiles (with Halbert White and Tae-Hwan Kim), 2015, Journal of Econometrics, 187: 169-188, Pdf | Data | Matlab Codes
Forecasting and Stress Testing with Quantile Vector Autoregression (with Sulkhan Chavleishvili), 2024, Journal of Applied Econometrics, 39: 66-85, Pdf | Data | Matlab Codes
Financial Conditions, Business Cycle Fluctuations and Growth at Risk (with Andrea Falconio), 2025, Journal of Economic Dynamics and Control, 176, Pdf
The Risk Management Approach to Macro-Prudential Policy (with Sulkhan Chavleishvili,Robert Engle, Stephan Fahr, Frederik Lund-Thomsen, Manfred Kremer and Bernd Schwaab), 2021, Pdf
Other Publications in Refereed Journals
Estimating systemic risk for non-listed euro-area banks (with Robert Engle, Tina Emambakhsh, Laura Parisi, and Riccardo Pizzeghello), 2024, Journal of Financial Stability, 75, Pdf
Covid-19 and rural landscape: The case of Italy (with Mauro Agnoletti and Francesco Piras), 2020, Landscape and Urban Planning, 204, Pdf
Measuring Financial Fragmentation in the Euro Area Corporate Bond Market (with Guillaume Horny and Benoit Mojon), 2018, Journal of Risk and Financial Management, 11, 74, Pdf
The portfolio of euro area fund investors and ECB monetary policy announcements (with Johannes Bubeck and Maurizio Habib), 2018, Journal of International Money and Finance, 89: 103-126, Pdf
Bank risk during the financial crisis: do business models matter? (with Yener Altunbas and David Marques), 2017, Journal of Financial Intermediation, 32(C): 29-44, Pdf
A high frequency assessment of the ECB Securities Markets Programme (with Eric Ghysels, Julien Idier, and Olivier Vergote), 2017, Journal of the European Economic Association, 15: 218-243, Pdf
Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area (with Carlos Garcia-de-Andoain, Florian Heider, and Marie Hoerova), 2016, Journal of Financial Intermediation, 28: 32-47, Pdf
Financial Development, Sectoral Reallocation, and Volatility: International Evidence (with Alexander Popov), 2015, Journal of International Economics, 96: 323-337, Pdf
Discussion of 'Central Bank Macroeconomic Forecasting during the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences' by L. Alessi, E. Ghysels, L. Onorante, R. Peach, S. Potter, (with Kirstin Hubrich), 2014, Journal of Business and Economic Statistics, 32(4), Pdf
Fragmentation in the Euro overnight unsecured money market (with Carlos Garcia de Andoain and Peter Hoffmann), 2014, Economics Letters, 125: 298-302, Pdf
Financial Dependence, Global Growth Opportunities, and Growth Revisited (with Alex Popov), 2013, Economics Letters, 120: 123-125, Pdf
What Drives Spreads in the Euro Area Government Bond Market? (with Guido Wolswijk), 2009, Economic Policy, 48: 191-240, Pdf
Duration, Volume and Volatility Impact of Trades, 2005, Journal of Financial Markets, 8: 377-399, Pdf
Asset Allocation by Variance Sensitivity Analysis, 2004, Journal of Financial Econometrics, 2(3): 370-389, Pdf | Data | Matlab Codes
EMU and the European Financial System: Structure, Integration and Policy Initiatives (with Philipp Hartmann and Angela Maddaloni), 2003, Oxford Review of Economic Policy, 19(1): 180-213, Pdf
Other Publications
The impact of the securities markets programme, ECB Research Bulletin No. 17, European Central Bank, Frankfurt am Main, Winter 2012, Pdf
New methodologies for systemic risk measurement (with Stefano Corradin and Bernd Schwaab), ECB Research Bulletin No. 12, European Central Bank, Frankfurt am Main, Spring 2011, Pdf
The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets (with John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe, Fernando Monar, Benjamin Sahel, Matjaž Sušec, Jens Tapking and Tana Vong), 2011, ECB OP No. 122, Pdf
Measuring Financial Integration in New EU Member States (with Markus Baltzer, Lorenzo Cappiello a nd Roberto De Santis), 2008, ECB OP No. 81, Pdf
Financial integration and capital flows in the new EU Member States (with Lorenzo Cappiello), ECB Research Bulletin No. 6, European Central Bank, Frankfurt am Main, June 2007, Pdf
Financial Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, ECB WP No. 683, Pdf
Equity Market Integration of New EU Member States (with Lorenzo Cappiello, Bruno Gerard and Arjan Kadareja), 2006, in Financial Development, Integration and Stability. Evidence from Central, Eastern and South-Eastern Europe, ed. by K. Liebscher, J. Christl, P. Mooslechner and D. Ritzberger-Gruenwald, Edward Elgar UK, Pdf
Capital Markets and Financial Integration in Europe (with Philipp Hartmann and Cyril Monnet), 2006, in Competition and Profitability in European Financial Services. Strategic, Systemic and Policy Issues, ed. by A. Mullineux, M. Balling and F. Lierman, SUERF, Routledge, Pdf
The central banker as a risk manager (with Lutz Kilian), ECB Research Bulletin No. 2, European Central Bank, Frankfurt am Main, April 2005, Pdf
Risk Management for Central Bank Foreign Reserves (edited volume with Carlos Bernadell, Pierre Cardon, Joachim Coche and Francis X. Diebold), European Central Bank, Frankfurt am Main, May 2004, Pdf
A Comparison of Value at Risk Models in Finance (with Robert Engle), Risk Measures for the 21st Century, ed. Giorgio Szego, Wiley Finance, 2004, Pdf
A Framework for Forecasting and Evaluating Inflation Risks (with Lutz Kilian), The Economic Outlook for 2004. Proceedings of the 51st Conference on the Economic Outlook, Ann Arbor, MI, November 2003, Pdf