Research

Research interests

My research is in financial econometrics and addresses how to model and forecast asset returns when they depart from normality: heavy tails, skewness and higher-order moments. The aim is to improve the measurement of financial risk and portfolio decision-making.

Flexible and semi-nonparametric distributions. I develop density families that accommodate skewness and kurtosis without imposing a rigid functional form — positive Gram-Charlier and Edgeworth expansions, moments expansion densities, polynomial-adjusted Student-t densities and the transformed Gram-Charlier distribution — establishing their parametric properties (positivity conditions, analytical moments) and extending them to multivariate and time-varying settings via dynamic conditional correlation and equicorrelation models.

Tail-risk measurement and forecasting. I apply these distributions to Value-at-Risk and Expected Shortfall estimation and validation, with work on backtesting procedures, copula-based evaluation of relative tail forecasting performance, and risk measures under sudden changes in volatility, as well as analytical bounds for tail-risk measures.

Volatility and conditional moments. Forecasting conditional volatility and kurtosis, the choice of proxies for evaluating volatility forecasts at different frequencies, and analytical moments of GARCH-family models under adjusted densities.

Higher-order preferences and portfolio choice. How skewness and kurtosis shape optimal portfolio allocation, the stability of constant relative risk aversion utility under high degrees of uncertainty, and asset selection based on higher-order moments.

Applications. Equity markets, energy markets, cryptocurrencies and interest-rate dynamics.

Work in progress. General cubic distributions for tail-risk forecasting and their asymptotic properties, and a stochastic ranking and allocation framework for dependent performance measures.

Keywords: financial econometrics · tail risk · Value-at-Risk · Expected Shortfall · GARCH models · quantile methods · semi-nonparametric distributions · higher-order moments · portfolio selection