Teaching Ratings [TR]
Curriculum Vitae [CV]
Google Scholar [Profile]
Tel: (614) 753 9072
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)
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).
ARTICLES in FIELD JOURNALS
1. A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium, Journal of Banking and Finance, August 2015, 57, 101-117 (with Turan Bali and Nusret Cakici).
Journal of Banking and Finance, 2011, vol. 35, 1971-1983.
Recent Working Papers
1. Term Structure of the Price of Volatility Risk: Preference-Based Explanation (01/2016)
Summary: 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
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).