Publications

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Investor Sentiment and Global Economic Conditions, with Eva Lütkebohmert-Holtz.
Journal of Empirical Finance, 2023, Vol.73, pp.134-152.
[Working Paper] [Published Version] [isentiment indices]

Financial Conditions Indices in an Incomplete Data Environment, with Punnoose Jacob.
Studies in Nonlinear Dynamics & Econometrics, 2023.
[CAMA Working Paper] [Published Version] [Data] Version with NZ data prepared for the Reserve Bank of New Zealand.

Policy

A monthly financial conditions index for New Zealand. Reserve Bank of New Zealand Discussion Paper.
[RBNZ Discussion Paper]

The role of contagion in the transmission of financial stress. ESRB Working Paper Series 81, European Systemic Risk Board.
[ESRB Working Paper]

Working Papers

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[NEW] Probabilistic Targeted Factor Analysis, with Santiago Montoya-Blandón.
[Working Paper][Python Library]

Betting Against (Bad) Beta.
[Working Paper]

Dynamic CoVaR, with Jorge Pinheiro and Yannis Tsafos.
[Working Paper]

Dormant Working Papers

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Contagion, Not Only Interconnection: Measuring the Transmission of Financial Distress. [Working Paper]

Growth Fragility and Systemic Risk under Model Uncertainty. [Working Paper] [Data]