Professor of Economics
Zicklin School of Business
Baruch College, CUNY
55 Lexington Avenue
New York, NY 10010
United States
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Working Papers
Estimation of Agent-Based Models using the Wasserstein Distance, with Lulu Wang
News, Sentiment, and Trading, with Luca Barbaglia and Mingyuan Kong
Publications
Sentiment Analysis of Economic Text: A Lexicon-based Approach, Economic Inquiry (2025), 63, 125-143 (with L. Barbaglia, S. Consoli, L. Tiozzo Pezzoli, and E. Tosetti) Lexicon
Household Debt and Economic Growth in Europe, Macroeconomic Dynamics (2025), 29, e10 (with L. Barbaglia and E. Tosetti)
Forecasting GDP in Europe with textual data, Journal of Applied Econometrics (2023), 39, 338-355 (with L. Barbaglia and S. Consoli)
R packageForecasting with Economic News, Journal of Business and Economic Statistics (2023), 41, 708-719 (with L. Barbaglia and S. Consoli)
AppendixFine-grained, aspect-based sentiment analysis on economic and financial lexicon, Knowledge-Based Systems (2022), 247, 108781 (with L. Barbaglia and S. Consoli)
Forecasting Loan Default in Europe with Machine Learning, Journal of Financial Econometrics (2023), 21, 569–596 (with L. Barbaglia and E. Tosetti)
Are Professional Forecasters Bayesian?, Journal of Economic Dynamics and Control (2021), 123
AppendixForecasting the distribution of economic variables in a data-rich environment, Journal of Business and Economic Statistics (2015), 33, 144-164
AppendixAsymmetric quantile persistence and predictability: the case of U.S. inflation, Oxford Bulletin of Economics and Statistics (2015), 77, 297-318 (with D. Zerom)
Forecasting the Return Distribution using High-Frequency Volatility Measures, Journal of Banking and Finance (2013), 37, 4381-4403 (with J. Hua)
Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?, International Journal of Forecasting (2013), 29, 469-478 (with D. Zerom)
Differential Interpretation in the Survey of Professional Forecasters, Journal of Money, Credit, and Banking (2011), 43, 993-1017
U.S. Manufacturing: Productivity, Offshoring, and Imports, Economics Bulletin (2011), 31(4), 2875-2883 (with H.N. Ross)
A Semiparametric Analysis of Gasoline Demand in the US: Re-examining the Impact of Price, Econometric Reviews (2010), 29, 439-468 (with D. Zerom)
A Bootstrap-based Nonparametric Forecast Density, International Journal of Forecasting (2008), 24, 535-550 (with D. Zerom)
Nonlinear Mean Reversion in Stock Prices, Quantitative and Qualitative Analysis in Social Sciences (2007), 1, 1-20
Behavioral Heterogeneity in Stock Prices, Journal of Economic Dynamics and Control (2007), 31, 1938-1970 (with H.P. Boswijk and C.H. Hommes)
Heterogeneous Expectations, Exchange Rate Dynamics and Predictability, Journal of Economic Behavior and Organization (2007), 64, 111-128 (with F. Westerhoff)
Kernel Estimation of a Partially Linear Additive Model, Statistics and Probability Letters (2005), 72, 313-322 (with D. Zerom)
Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment, Journal of Macroeconomics (2006), 28, 169-174 (with C.H. Hommes)
Representativeness of News and Exchange Rate Dynamics, Journal of Economic Dynamics and Control (2005), 29, 677-689 (with F. Westerhoff)
Model Selection for Nonlinear Time Series, Empirical Economics (2004), 29, 901-920
Does Liquidity in the FX Market depend on Volatility?, Economics Bulletin (2004), 6(10) (with F. Westerhoff)
Testing for serial independence and linearity based on correlation integrals, Studies in Nonlinear Dynamics and Econometrics (2002), 6(2) (with C.G.H. Diks)