Research Interests

My research focuses on the intersection of financial econometrics, commodity markets, and monetary policy. Key areas include:

Financial Econometrics

Developing and applying advanced econometric methods to financial data, with emphasis on high-frequency observations and realized volatility measures.

Commodity Markets & Financialization

Investigating how the growing presence of financial investors in commodity markets has altered the relationship between macroeconomic fundamentals and commodity prices.

Monetary Policy & Textual Analysis

Using NLP and embedding-based methods to decompose FOMC communications into tone and novelty components, studying their differential effects on asset returns and volatility.

Volatility Modeling

Modeling volatility transmission between related financial instruments using HAR-X and Bayesian VAR frameworks with high-frequency data.