I am a professor of Finance at Stockholm Business School (SBS) Stockholm University. I do research in Financial Volatility and Correlation modeling; Nonparametric Interest Rate Modeling; Derivatives and Empirical Asset Pricing. Recently, I have been also extended my research area to the financial networks and Financial markets microstructure. My articles have been published in international peer reviewed journals such as: Journal of Financial Econometrics; Journal of Financial Stability; Journal of Empirical Finance; Quantitative Finance; Journal of International Financial Markets, Institutions & Money; Energy Economics, amongst others.
Currently, I am doing several research projects:
1. The research project investigates how the trading imbalance and trading of one country affect the foreign exchange markets, equity and interest rates through the debt networks.
(Funded by Handelsbanken’s Jan Wallanders och Tom Heldelius research)
2. The research project studies the investors' hedging, arbitrage and the trading invariant properties.
(Funded by the NASDAQ fundation and Handelsbanken’s Jan Wallanders och Tom Heldelius research)
3. The project studies the financial market risk spillover across different financial markets.(Funded by Handelsbanken’s Jan Wallanders och Tom Heldelius research)
4. The sequential herding in the equity markets.