PUBLISHED PAPERS:
"What is certain about uncertainty?", (2023) 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, 61(2), 624-54.
First draft: July, 2020
International Finance Discussion Paper # 1294 (Federal Reserve Board), SSRN
Coverage: Vice-Chair Jefferson's speech at the Global Risk, Uncertainty, and Volatility conference
“Efficient Estimation of Integrated Volatility and Related Processes”, (2017) with Eric Renault and Bas J.M. Werker
Econometric Theory, 2017, 33(2), 439-478.
WORKING PAPERS:
“Linear Factor Models and the Estimation of Expected Returns”, with Peter de Goeij and Bas J.M. Werker
This paper analyzes the (asymptotic) properties of factor-model-based expected return estimators for individual assets. We show that using factor-model-based-estimators of expected returns leads to sizable precision gains in the estimates of expected returns compared to using historical averages.
Presentations: World Congress of Econometric Society 2025, EEA-ESEM 2024, FinEML 2024, Society of Financial Econometrics (SoFiE) 2024, System Econometrics Meeting 2024, CFE-CM Statistics conference, CIREQ Montréal Econometrics Conference in honor of Eric Renault, and BlackRock, Erasmus University Rotterdam, Federal Reserve Board, Northwestern University Kellogg School of Management, and Tilburg University.
“Variance Dynamics in Term Structure Models”
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.
Presentations: World Congress of Econometric Society 2020, FMA Conference on Derivatives and Volatility 2019, System Econometrics Meeting 2019, EC2 2018, EFA 2018, NBER-NSF Time series conference, Northern Finance Association (NFA) 2018, Society of Financial Econometrics (SoFiE) 2018, and Aarhus University, AQR, Bauer College of Business, Bilkent University, BlackRock, Federal Reserve Board, HEC Montreal, Northwestern University Kellogg School of Management, Melbourne University, Sabanci University, University of Sydney Business School, Queen Mary University of London, and Warwick Business School.
"Testing Model-Based Contributions in Misspecified Asset Pricing Models"
Presentations: System Econometrics Conference 2025, FinEML (Financial Econometrics meets Machine Learning) 2025 (scheduled), CFE-CM Statistics Conference 2025 (scheduled).
POLICY PAPERS:
"Drivers of Option-Implied Interest Rate Volatility" (2024)
FEDS Notes, October, 2024
"Estimating Retail Credit in the U.S." (2024), with Jessica N. Flagg, Simona M. Hannon, and Mark J. Wicks
FEDS Notes, June, 2024
"Elevated Option-Implied Interest Rate Volatility and Downside Risks to Economic Activity" (2023)
FEDS Notes, December, 2023
Permanent Working Papers:
“Monetary Policy Risk in the Cross-Section of Expected Equity Returns - High Frequency Analysis ’’
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