Published papers

• Systemic co-jumps (with Massimiliano Caporin and Roberto Renò), Journal of Financial Economics, 2017, 126(3), 563–591

(paper) (Web appendix) (MatLab codes)

• Efficient Multipowers (with Roberto Renò), Journal of Financial Econometrics, 2018, 16(4), 629–659

(paper) 

• Zeros (with Federico Bandi, Davide Pirino and Roberto Renò), Management Science, 2020, 66, 3466-3479

(paper)  

• Statistical inference for price staleness (with Davide Pirino and Giulia Liveri), Journal of Econometrics, 2020, 218(1), 32–81 

(paper) 

• Estimating jump activity using multipower variation, Journal of Business & Economic Statistics, 2022, 40(1), 128-140

(paper) (Web appendix) (MatLab codes) 

• Nonstandard errors (with 341 authors), Journal of Finance, 2024, 79(3), 2339-2390 

(paper) 

• An unbounded intensity model for point processes (with Kim Christensen), Journal of Econometrics, 2024, 204(1) 

(paper) 

• Jumps of Staleness? (with Roberto Renò), Journal of Business & Economic Statistics, 2024, 42(2), 516-532 

(paper) 

• Do Designated Market Makers Provide Liquidity During Extreme Downward Price Movements? (with Mario Bellia, Kim Christensen, Roberto Renò  and Loriana Pelizzon), Journal of Financial Markets, 2025, 76, 100988

(paper) 

• BUMVU estimators (with Roberto Renò and Patrick Zoi), Journal of Econometrics, 2026, 254, 105942

(paper) 

• Drift bursts in pure jumps: detection and application to Bitcoin, Journal of Business & Economic Statistics, 2026, 44(1), 360-371

(paper) 

Working papers

• Discontinuous trading in continuous-time econometrics (with Federico Bandi, Davide Pirino and Roberto Renò)  

(SSRN draft)