On this page I summarize the research I am working on and published papers.
- Epidemics of liquidity shortages in interbank markets, Physisca A (2018). [DOI]
- Systemic contagion in the European interbank market (Working paper).
Econometrics and Data analysis:
- Tensor Autoregression in Economics and Finance (Working paper).
- Unveil stock correlation via a new tensor-based decomposition method (Submitted).
- Inference for stochastic volatility models: the Block-ABC approach (Working paper).
Applied mathematics in Finance:
- On the interplay between multiscaling and stock dependence, Quantitative Finance (2019). [DOI]
- On the statistics of Hurst (Working paper).
- Dynamic composition of multifractal spectra in financial time series (Working paper).