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Publications prior to 2004
Realized Peaks over Threshold: A time-varying extreme value approach with high-frequency based measures, with Marco Bee and Debbie J. Dupuis (2019). Journal of Financial Econometrics, Vol. 17, No. 2, pp. 254--283.
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach, with Marco Bee and Julien Hambuckers (2019). Quantitative Finance, Vol. 19, No. 8, pp. 1255-1266.
Ground-level ozone: Evidence of increasing serial dependence in the extremes, with Debbie J. Dupuis (2018). Annals of Applied Statistics, Vol.13, No. 1, pp. 34-59.
Measuring the propagation of financial distress with Granger-causality tail risk networks, with Fulvio Corsi, Fabrizio Lillo and Davide Pirino (2018). Journal of Financial Stability, Vol. 38, pp. 18-36.
Realized Extreme Quantile: A joint model for conditional quantiles and measures of volatility with EVT, with Marco Bee and Debbie J. Dupuis (2018). Journal of Applied Econometrics, Vol. 33, No. 3, pp. 398-415.
Can volatility models explain extreme events? (2018). Journal of Financial Econometrics, Vol. 16, No. 2, pp. 297-315.
Estimating and forecasting conditional risk measures with Extrene Value Theory: A review, with Marco Bee (2018). Risks, Vol. 6, No. 2, pp. 45.
An Extreme Value analysis of the last century crises across industries in the U.S. economy, with Marco Bee and Massimo Riccaboni (2017). Journal of Economic Dynamics and Control, Vol. 81, pp. 65-78.
A characteristic function based approach to Approximate Maximum Likelihood estimation, with Marco Bee (2017). Communications in Statistics, Theory and Methods, Vol. 47, No. 13, pp. 3138-3160.
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective, with Marco Bee and Debbie J. Dupuis (2016). Journal of Empirical Finance, Vol. 36, pp. 86-99.
A simple approach to the estimation of Tukey's gh distribution, with Marco Bee (2016). Journal of Statistical Computation and Simulation, Vol. 86, No. 16, pp. 3287-3302.
U.S. stock returns: Are there seasons of excesses? with Marco Bee and Debbie J. Dupuis (2016). Quantitative Finance, Vol. 16, No. 9, pp. 1453-1464.
Cluster analysis of weighted bipartite networks: A new copula-based approach, with Alessandro Chessa, Irene Crimaldi, Massimo Riccaboni (2014). PlosOne, 9(10): e109507.
