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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.

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I also act as Co-Editor of the Journal of Econometrics (2024-) and Associate Editor of the Journal of Time Series Analysis (2013-). 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 have also acted as President of SIdE - the Italian Econometric Association (2017-2019).

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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).

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My current research is on:​

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  • 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

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Selected publications:

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  • “Bootstrap inference in the presence of bias”, Journal of the American Statistical Association, forthcoming (with S. Goncalves, M. Nielsen and E. Zanelli)

  • “Inference in heavy-tailed non-stationary multivariate time series”, 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)

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