Research Fellow, Charles A. Dice Center for Research in Financial Economics
Department of Finance,
Fisher College of Business
Ohio State University
840 Fisher Hall
2100 Neil Avenue
Columbus, OH 43210-1144
Tel: (614) 292-8477
Curriculum Vitae [CV]
Journal of Economic Theory, 154 (2014) pp. 453-489 (with Dietmar Leisen and Eric Renault).
Journal of Financial Economics, Vol. 105, No 1 July 2012, pp. 191-208. (with Gurdip Bakshi)
Management Science, Vol. 58, No. 3, March 2012, pp. 624-640.
Management Science, Vol.57, No. 8, August 2011, pp. 1406-1423. (with Turan Bali and Nusret Cakici)
Journal of Banking and Finance, 2011, vol. 35, 1971-1983.
The Review of Financial Studies, 2008, 21 (1): 181-231.
The Review of Financial Studies, 2008, 21 (2): 973-1011(with Eric Renault and René Garcia).
Recent Working Papers
1. Term Structure of the Price of Volatility Risk: Preference-Based Explanation (01/2016)
Abstract. In a multi-period model, we derive the price of volatility risks and show that market volatility and bond volatility are priced at any investment horizon. We find that the shape of the term structure of the price of volatility risks depends on the absolute risk aversion, the absolute prudence, and the shape of the term structure of interest rates. With plausible preference parameters, empirical results show that our framework is able to reproduce the term structure of the price of market volatility risk, as well as the term structure of the price of bond volatility documented in recent literature. Consistent with results in recent literature, our results show that the term structure of the price of volatility risk converges quickly to zero, indicating that investors do not price volatility risk for long investment horizons.
Latest draft: 09/2015 (with Gurdip Bakshi and Xiaohui Gao).
3. An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond
Latest draft: 07/2015. (with Gurdip Bakshi and Xiaohui Gao).
4. Crash Sensitivity and the Cross-Section of Expected Stock Returns, with corresponding Online Appendix.
Latest draft: 03/2015. (with Stefan Ruenzi and Florian Weigert).
Latest draft: 07/2015.(with Riccardo Colacito).
Latest draft: 12/2014. (with Gurdip Bakshi).