Research

Publications:

• Noncommon Breaks, forthcoming at Journal of Business & Economic Statistics 

• Structural Breaks in Grouped Heterogeneity, Journal of Business & Economic Statistics, 2023 vol.41 (3), pp. 742-754.

• Time-variation, Multiple Testing, and the Factor Zoo, International Review of Financial Analysis, 2022 (84), pp.10-23.

• Have Risk Premia Vanished? (with A.Timmermann), Journal of Financial Economics, 2022, vol.145(2), pp. 553-576.

• International Stock Return Predictability, International Review of Financial Analysis, 2021 (78), pp. 1019--1063.

• Break Risk (with A.Timmermann),  Review of Financial Studies, 2021 (34), pp. 2045--2100.

• Equity Premium Prediction and Structural Breaks, International Journal of Finance and Economics, 2020 (25), pp. 412--429.

• Equity Premium Forecasts with an Unknown Number of Structural Breaks, (with G.Bulkley and D.S.Leslie), Journal of Financial Econometrics, 2020 (18) pp. 59--94.

• Variable Selection in Panel Models with Breaks, (with A.Timmermann and Y.Zhu), Journal of Econometrics, 2019 (212) pp.323--344. 

• Most Recent Changepoint Detection in Panel Data, (with L.Bardwell, P.Fearnhead, I.Eckley and M.Spott), Technometrics, 2019 (61) pp. 88--98.

• Equity Premium Estimates from Economic Fundamentals under Structural Breaks, International Review of Financial Analysis, 2017 (52) pp. 49--61.

Working Papers:              

• Breaks in the Phillips Curve: Evidence from Panel Data (with A.Timmermann and J.H.Wright)

Coverage: WSJ, Brookings

• Factor Selection and Structural Breaks (with S.Chib)

• The Shared Cost of Pursuing Shareholder Value (with M.Fioretti and V.Saint-Jean)

• Detecting Breaks in Real-Time: A Panel Forecasting Approach (with A.Timmermann)             

• Inflation During the COVID Era: A High-Frequency Approach (with H.J. Ahn)