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RESEARCH INTERESTS

Statistics and time series analysis

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SOME CURRENT PROJECTS

  • network time series modelling (with Brendan Martin, Mihai Cucuringu, Francesco Sanna Passino)

  • tails of garch predictive densities (with Karim Abadir and Paolo Paruolo)

  • non-parametric time-varying parameter estimation (with Paolo Gorgi)

  • robust filtering (with Leopoldo Catania and Andrew Harvey)

MAIN PUBLICATIONS

My work has been published in: Annals of Statistics, Biometrika, Journal of the American Statistical Association, Journal of the Royal Statistical Society (Series C), Journal of Econometrics, Bernoulli, Econometric Theory, Journal of Time Series Analysis, Statistics and Probability Letters, among others.

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For the full list of publications, see my CV

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