Working Papers

"Identifying Monetary Policy in Macro-Finance Models" (with D. Backus, M. Chernov, and S. Zin), December 2018

"Correcting Misspecified Stochastic Discount Factors" (with M. Dello Preite, R. Uppal, and P. Zaffaroni), first draft November 2018 [available upon request]

Publications

"Term Structure of Risk in Expected Returns", forthcoming in the Review of Financial Studies, November 2020

• Online Appendix

''Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns'', Journal of Finance, 2017

• Online Appendix

"Crash Risk in Currency Returns" (with M. Chernov and J. Graveline), Journal of Financial and Quantitative Analysis, 2018

• Online Appendix