ABOUT ME

I am Distinguished Research Professor of Economics at the University of Exeter Business School, Department of Economics, and Full Professor of Econometrics at the University of Bologna, Department of Economics.

I also act as Co-Editor of Econometric Theory and Associate Editor of the Journal of Econometrics and the Journal of Time Series Analysis. Previously, I have been Associate Editor of the the Econometrics Journal (2012-2023). I also acted as President of SIdE - the Italian Econometric Association.

My research interests are Time series econometrics (bootstrap methods, non stationarity, unit roots and cointegration, structural change, infinite variance), Financial Econometrics (volatility modeling, duration modelling, continuous time finance; financial time series modeling) and macroeconometrics (structural VAR modelling, DSGE models).

My current research is on:

Random bootstrap measures, with applications to econometric modeling and hypothesis testing
Inference in econometric models for point processes and count data
Inference in econometric models with parameters on the boundary of the parameter space
Inference in Proxy SVARs
Econometrics of network data
Inference in nonstationary/cointegrated/infinite variance time series
Long memory modeling and structural breaks

My key publications:

“Inference in heavy-tailed non-stationary multivariate time series”, Journal of the American Statistical Association, forthcoming (with M.Barigozzi and L.Trapani)
“Bootstrap inference in the presence of bias”, Journal of the American Statistical Association, forthcoming (with S. Goncalves, M. Nielsen and E. Zanelli)
“Inference under random limit bootstrap measures” (2020), Econometrica 88, 2547-2574 (with I. Georgiev)
“Sieve-based inference for infinite-variance linear processes” (2016), Annals of Statistics 44, 1467-1494. (with I. Georgiev and A.M.R. Taylor)
"Bootstrap testing of hypotheses on co-integration relations in VAR models" (2015), Econometrica 83, 813–831 (with H.B. Nielsen and A. Rahbek)
"Bootstrap Determination of the Co-integration Rank in VAR Models" (2012), Econometrica 80, 1721-1740 (with A. Rahbek and A.M.R. Taylor)