Massimo has taught and published original research in a variety of fields spanning a wide and modern notion of financial economics: the theory and econometrics of derivative pricing, asset pricing theory and econometrics, macro-style dynamic general equilibrium models of finance phenomena, as well as financial econometrics (ie risk management and forecasting applications).
Recently, Massimo's research has focused on a number of related applications:
- Optimal dynamic asset allocation models in the presence of non-linear dynamics of asset returns, such regimes, stochastic volatility, and breaks
- Forecasting non-linear time series and the value of mixing different forecasts in a variety of applications and environments
- The effects of new classes of assets (eg real estate investment vehicles, small capitalisation stocks, index funds specialising in emerging markets) for optimal portfolio selection
- Using information from financial markets (prices and returns) to evaluate the impact of social and political phenomena (such as conflict and political instability) on growth potential
- Writing and solving dynamic general equilibrium models of asset prices when beliefs follow rational dynamic processes induced by the existence of incomplete information on the processes driving fundamentals (dividends, earnings, monetary policy, etc)
