Published papers
Published papers
Drift bursts in pure jumps: detection and application to Bitcoin
Accepted by Journal of Business & Economic Statistics, 2025
Do Designated Market Makers Provide Liquidity During Extreme Downward Price Movements? (with Mario Bellia, Kim Christensen, Roberto Reno' and Loriana Pelizzon)
Journal of Financial Markets, 2025, forthcoming
BUMVU estimators (with Roberto Reno' and Patrick Zoi)
Journal of Econometrics, 2024, forthcoming
An unbounded intensity model for point processes (with Kim Christensen)
Journal of Econometrics, 2024, 204(1)
Jumps of Staleness? (with Roberto Reno')
Journal of Business & Economic Statistics, 2024, 42(2), 516-532
Zeros (with Federico Bandi, Davide Pirino and Roberto Reno')
Management Science, 2020, 66, 3466-3479
Estimating jump activity using multipower variation
Journal of Business & Economic Statistics, 2022, 40(1), 128-140
Statistical inference for price staleness (with Davide Pirino and Giulia Liveri)
Journal of Econometrics, 2020, 218(1), 32–81
Efficient Multipowers (with Roberto Reno')
Journal of Financial Econometrics, 2018, 16(4), 629–659
Systemic co-jumps (with Massimiliano Caporin and Roberto Reno')
Journal of Financial Economics, 2017, 126(3), 563–591