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

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

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

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