Research Interests
Empirical Finance, Fixed Income Markets, Yield Curve Modeling, Volatility, Heavy Tails Distribution Modeling
Selected Publications
Cambridge Working Papers in Economics
Harvey, A. and Palumbo, D. Regime Switching Models for Directional and Linear Observations, (2021) CWPE2123Palumbo, D. Testing and Modelling Time Series with Time Varying Tails, (2021) CWPE2111
Harvey, A. C. and Palumbo, D. Score-Driven Models for Realized Volatility, (2019) CWPE1950