Refereed Publications

"Non-Standard Errors,"  (with 342 co-authors from 34 countries and 207 institutions), Journal of Finance, 2024

"The term-structure of CIP violations," (with P. Augustin, L. Schmid, and D. Song), Journal of Finance, 2024, Online Appendix  Poster 

"Interest rate skewness and biased beliefs," (with M. Bauer), Journal of Finance, 2024, Online Appendix, Anderson Review

"Currency risk premiums: A multi-horizon perspective," (with M. Dahlquist), Foundations and Trends in Finance, 2023

"Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," (with D. Creal and P. Hoerdahl), Journal of International Economics, 2023, Online Appendix, Anderson Review

"Pricing currency risks," (with M. Dahlquist and L. Lochstoer), Journal of Finance, 2023, Online Appendix

"International yield curves and currency puzzles," (with D. Creal), Journal of Finance, 2023, Online Appendix

"Monetary policy risk: Rules vs. discretion,"  (with D. Backus, S. Zin, and I. Zviadadze), Review of Financial Studies, 2022, Online Appendix

"Conditional dynamics and the multi-horizon risk-return trade-off," (with L. Lochstoer and S. Lundeby), Review of Financial Studies, 2022, Online Appendix, presentation at the NBER Long Term Asset Management

"The PPP view of multihorizon currency risk premiums," (with D. Creal), Review of Financial Studies, 2021, Online Appendix

"Benchmark interest rates when the government is risky," (with P. Augustin, L. Schmid, and D. Song), Journal of Financial Economics, 2021,  Online Appendix, VoxEU column, Poster, Slides

"A macrofinance view of US Sovereign CDS premiums," (with L. Schmid and A. Schneider), Journal of Finance, 2020 (Slides)

"Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," (with P. Augustin and D. Song), Journal of Financial Economics, 2020, Online Appendix, Anderson Review

"Term Structures of Asset Prices and Returns," (with D. Backus and N. Boyarchenko), Journal of Financial Economics, 2018

"Macroeconomic-driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," (with B. Dunn and F. Longstaff), Review of Financial Studies, 2018, Anderson Review

"Crash Risk in Currency Returns," (with J. Graveline and I. Zviadadze), Online Appendix, Journal of Financial and Quantitative Analysis, 2018 (Slides)

"Sources of Entropy in Representative Agent Models," (with D. Backus and S. Zin), Journal of Finance, 2014 (Slides)

"Monetary Policy Regimes and The Term Structure of Interest Rates," (with R. Bikbov), Online Appendix, Code, Journal of Econometrics, 2013 (Slides)

"CDS Auctions," (with A. Gorbenko and I. Makarov), Review of Financial Studies, 2013 (Bloomberg Brief)

"The Term Structure of Inflation Expectations," (with P. Mueller), Online Appendix, US Real Yields 1971 - 2002,  Journal of Financial Economics, 2012 

"Disasters Implied by Equity Index Options," (with D. Backus and I. Martin), Journal of Finance, 2011 (Slides)

"Yield Curve and Volatility: Lessons from Eurodollar Futures and Options," (with R. Bikbov), Journal of Financial Econometrics, 2011

"No-Arbitrage Macroeconomic Determinants of the Yield Curve," (with R. Bikbov), Journal of Econometrics, 2010

"Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," (with R. Bikbov), Management Science, 2009

"Understanding Index Options Returns," (with M. Broadie and M. Johannes), Review of Financial Studies, 2009

"On the Role of Risk Premia in Volatility Forecasting," Journal of Business and Economic Statistics, 2007

"Efficient estimation of jump diffusions and general dynamic models with a continuum of moment conditions," (with M. Carrasco, J.-P. Florens, and E. Ghysels), Journal of Econometrics, 2007 

"Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 ," (with M. Broadie and S. Sundaresan),  Journal of Finance, 2007 (Slides)

"Model Specification and Risk Premia: Evidence from Futures Options," (with M. Broadie and M. Johannes),  Journal of Finance, 2007

"Alternative Models for Stock Price Dynamics," (with A. R. Gallant; E. Ghysels; G. Tauchen), Journal of Econometrics , 2003

 "Empirical Reverse Engineering of the Pricing Kernel," Journal of Econometrics, 2003 

"A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," (with E. Ghysels), Journal of Financial Economics, 2000

Non-Refereed Publications

Comment on "Iterative and Recursive Estimation in Structural Non-Adaptive Models'' by Sergio Pastorello, Valentin Patilea and Eric Renault, Journal of Business and Economic Statistics, 2003 

"Estimation of Stochastic Volatility Models for the Purpose of Option Pricing," (with E. Ghysels), Computational Finance 1999, 2000