Articles in journals with impact factor
2022 Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices, Journal of Financial Econometrics (forthcoming) PDF
2020 Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach, Economic Systems, 44, 100820
IES Working Papers
2019 Tail Risks, Asset Prices, and Investment Horizons, IES Working Papers 10/2019
2017 Systemic Risk in the European Financial and Energy Sector: Dynamic Factor Copula Approach, IES Working Papers 11/2017
Submissions
2022 Common Idiosyncratic Quantile Risk, preprint PDF
2020 Investment Disputes and Abnormal Volatility of Stocks, preprint PDF
