Research

Information Governance in Sustainable Finance (with F. Packer), BIS Papers, no 132, 2022

Inflation Risk and the Labor Market: Beneath the Surface of a Flat Phillips Curve, BIS Working Papers, no 1054, 2022

Insurance Companies as Liquidity Providers: The Case of Corporate-Bond Mutual Funds (with N. Mano), Working paper, 2022

Non-Bank Financial Intermediaries and Financial Stability (with A. Schrimpf and HS. Shin), Handbook of Financial Markets (forthcoming), 2022

Firm-Level R&D After Periods of Intense Technological Innovation: The Role of Investor Sentiment (with M. Carl), BIS Working Papers, no 916, 2021

Firm-Specific Risk-Neutral Distributions with Options and CDS (with M. Jahan-Parvar, S. Rosen, and J. Schindler), Management Science, forthcoming [WP version]

Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets (with P. Szerszen), Journal of Financial Markets, November 2020, Vol 51 [WP version]

Measuring the Liquidity Profile of Mutual Funds (with C. Scotti and I. Zer), International Journal of Central Banking, October 2020, Vol. 16(5) [WP version]

Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Term Loan Market (with S. Lee and V. Stebunovs), Journal of Banking & Finance, forthcoming [WP version]

Institutions and Return Predictability in Oil-Exporting Countries (with M. Jahan-Parvar and J. Shugarman), Quarterly Review of Economics and Finance, February 2019, Vol. 71 [WP version]

Assessing and Combining Financial Conditions Indexes (with S. Rosen and J. Schindler), International Journal of Central Banking, February 2017, Vol. 13(1) [WP version]

Macroeconomic Uncertainty and the Cross-Section of Option Returns, Journal of Financial Markets, November 2014, Vol. 21 [WP version]

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios (with M. Rodriguez and J. Wu) Journal of Banking & Finance, November 2013, Vol. 37(11) [WP version]