- “The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility“, 2023, (with Ruijun Bu, Marwan Izzeldin, Anthony Murphy, and Mike Tsionas), Journal of Empirical Finance. 70(1):144-164.
- “A Generalized Heterogeneous Autoregressive Model using Market Information“, 2022, (with Marwan Izzeldin, Ingmar Nolte, and Vasileios Pappas), Quantitative Finance, 22(8):1513-1534.
- “Forecasting the Realized Variance in the Presence of Intraday Periodicity“. (with Ana-Maria H. Dumitru and Marwan Izzeldin).
- “A Simple Model Correction for Modelling and Forecasting (Un)Reliable Volatility“. (with Marwan Izzeldin and Mike Tsionas).
- “Identifying the Underlying Components of High-Frequency Data: Pure vs Jump Diffusion Processes“. (with Marwan Izzeldin and Giovanni Urga).
- “Bolstering the Modelling and Forecasting of Realized Covariance Matrices using (Directional) Common Jumps“. (with Marwan Izzeldin and Ingmar Nolte).
- “Tail Risk and Asset Prices in the Short-term“. (with Caio Almeida, Gustavo Freire and Rene Garcia).