Research

PUBLISHED PAPERS:

• “Efficient Estimation of Integrated Volatility and Related Processes”, with Eric Renault and Bas J.M. Werker

  • Econometric Theory, 2017, 33(2), 439-478.

• "What is certain about uncertainty?", with Danilo Cascaldi-Garcia, Juan M. Londono, John Rogers, Deepa Datta, Thiago Ferreira, Olesya Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez and Ilknur Zer

  • Journal of Economic Literature (Forthcoming)

WORKING PAPERS:

• “Linear Factor Models and the Estimation of Expected Returns”, with Peter de Goeij and Bas J.M. Werker

This paper analyzes the properties of factor-model-based expected return estimators for individual assets, the product of beta, and lambda. We show that using factor-model-based-estimators of expected returns leads to sizeable precision gains in the estimates of expected returns compared to using historical averages. Inference about expected returns, unlike inference on factor prices, does not suffer from a small-beta bias.

• “Variance Dynamics in Term Structure Models”, currently being revised.

This paper designs a novel specification test for diagnosing the adequacy of affine term structure models to describe the observed yield variance dynamics, and derive the associated limit theory. Affine term structure models cannot accommodate the yield variance dynamics for the Eurodollar futures and options markets, especially during the crisis period of 2008–2010. However, logarithmic affine specification provides remarkably improved fit.

WORK IN PROGRESS:

• “Term Structure of Volatility and Bond Risk Premia’’, with Torben G. Andersen and Viktor Todorov

Permanent Working Papers:

• “Monetary Policy Risk in the Cross-Section of Expected Equity Returns - High Frequency Analysis ’’

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