Research

Research Interest: Financial Econometrics, Time Series, Forecasting, Quantitative Finance

Publications

• Dynamic Autoregressive Liquidity (DArLiQ) (with C.M. Hafner and O.B. Linton), Journal of Business & Economic Statistics (2023)
  

• Asymmetric short-rate model without lower bound (with F. Vrins), Quantitative Finance (2023)
  

• Dynamic portfolio selection with sector-specific regularization (with C.M. Hafner), Econometrics and Statistics (2022)
  

• A dynamic conditional score model for the log correlation matrix (with C.M. Hafner), Journal of Econometrics (2021)
  

Working Papers

• The effect of stock splits on liquidity in a dynamic model (with C.M. Hafner and O.B. Linton), Cambridge Working Papers in Economics (2024)
  

Work in Progress

• Forever blowing bubbles: modeling prices from speculative markets (with C.M. Hafner and A.C. Harvey)
  

• Multivariate AutoRegressive Smooth LiQuidity (MARSLiQ) (with C.M. Hafner and O.B. Linton)