Overview on my Research Topics

I have conducted my main research in Empirical Finance, Commodities, Applied Econometrics & Financial Economics. In particular, I have been interested in topics including: Efficiency & Market Imperfection, Arbitrage Costs & Asset Price Dynamics, Behavioral Finance, Investor sentiment and bubbles, Financial Crisis & Alternative Finance, Volatility Modeling with High Frequency Data, Financial Integration, Contagion & Systemic Risk (VaR, Co-VaR, Expected Shorfall), Taylor Rule & Monetary Policy, Unconventional Monetary Policy, Exchange Rate Dynamics, Inflation & Inflation Uncertainty, Financial Development and Economic Growth, Householder’s Consumption Models, China and Commodity Markets, Oil Price Uncertainty, COVID-19 and financial markets, ethic finance, etc. My recent work focuses on the effect of epidemic crises on financial markets and commodities. I am also interested in investigating the relationship between investor's sentiments and emotions and financial markets.

To study these topics, I have always conducted empirical research. Indeed, I applied different econometric methods and tests: Time Series, Panel Data, Financial Econometrics Models, Nonlinear Models, Threshold Cointegration Models, Nonlinear Panel Data Models, Econometrics of Qualitative Variables, Wavelet, etc.