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 serve as Co-Editor of the Journal of Econometrics (2024-). Previously, I have been Co-Editor of Econometric Theory (2009-2024) and Associate Editor of the Econometrics Journal (2012-2023) and the Journal of Econometrics (2020-2024). I am also Associate Editor of the Journal of Time Series Analysis (2013-). I have acted as President of SIdE - the Italian Econometric Association (2017-2019).

My research interests are Econometric theory and time series econometrics (bootstrap methods, non stationarity, nonparametric inference, unit roots and cointegration, structural change, infinite variance), Financial Econometrics (volatility modeling, duration modelling, 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
Nonparametric inference and RDD
Inference in econometric models for point processes, count data and duration models
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

Here are some (non-randomly) selected publications:

“Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations”, Journal of the Royal Statistical Society B (Statistical Methodology), forthcoming (with T. Mikosch, A. Rahbek and F. Vilandt)
“Comment on ̔Autoregressive Conditional Duration: a new model for irregularly spaced transaction data̕” (2025), Econometrica 93, 719–729 (with T. Mikosch, A. Rahbek and F. Vilandt)
“Bootstrap inference in the presence of bias” (2024), Journal of the American Statistical Association 119, 2908–2918 (with S. Goncalves, M. Nielsen and E. Zanelli)
“Inference in heavy-tailed non-stationary multivariate time series ” (2024), Journal of the American Statistical Association 119, 565–581(with M.Barigozzi and L.Trapani)
“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)