Publications
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation (with Luca Merlo and Lea Petrella), 2021, Journal of Banking and Finance, Vol. 133, Article 106248, doi:10.1016/j.jbankfin.2021.106248
Testing Beta-Pricing Models Using Large Cross-Sections (with Cesare Robotti and Paolo Zaffaroni), 2020, The Review of Financial Studies, Vol. 33, pp. 2796–2842.
Sectoral Decomposition of CO2 World Emissions: A Joint Quantile Regression Approach (with Luca Merlo and Lea Petrella), 2020, International Review of Environmental and Resource Economics.
Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress (with Lea Petrella), 2019, Journal of Multivariate Analysis, Vol. 173, pp. 70–84.
Short‐term forecasts of economic activity: Are fortnightly factors useful? (with Libero Monteforte), 2019, Journal of Forecasting, Vol. 38., pp. 207–221.
Revisions in official data and forecasting (with Cecilia Frale), 2014, Statistical Methods & Applications, Vol. 23, pp. 451–472
Working Papers
Robust Portfolio Choice (with Raman Uppal and Paolo Zaffaroni)
Dissecting Anomalies in Conditional Asset Pricing (with Paolo Zaffaroni)
Testing for Weak Factors in Conditional Asset Pricing (with Soohun Kim and Paolo Zaffaroni)
High-Dimensional Inference in Asset Pricing (with Federico Carlini)
Other Publications
Concomitant-Variable Latent-Class Beta Inflated Models to Assess Students’ Performance: An Italian Case Study (with Marco Centoni, Vieri Del Panta and Antonello Maruotti), 2018, Social Indicators Research.
Handling endogeneity and nonnegativity in correlated random effects models: Evidence from ambulatory expenditure (with Francesco Lagona and Antonello Maruotti), 2016, Biometrical Journal, Vol. 50, pp. 280–302.
A biclustering approach to university performances: an Italian case study (with francesca Martella and Antonello Maruotti), 2016, Journal of Applied Statistics, Vol. 43, pp. 31–45.
On Baseline Conditions for Zero-Inflated Longitudinal Count Data (with Antonello Maruotti), 2014, Communications in Statistics – Simulation and Computation, Vol. 43, pp. 743–760.