Papers

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. Domenico De Giovanni , Arturo Leccadito, Debora Loccisano. Annals of Operations Research (2022).

DOI PDF

Predictive Identification Robust Confidence Sets with Application to Tail Risk Measures. Lynda Khalaf , Arturo Leccadito, Debora Loccisano. R&R to the Journal of Financial Econometrics (2025).

Tail risk in energy markets: jumps, volatility and systematic uncertainty. Work in progress (2025).

Jump dynamics and systematic risk for low frequency forecasting: evidence from the energy markets. Work in progress (2025).