Publications
A Survey of Alternative Measures of Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better? (with Pietro Veronesi), Annual Review of Financial Economics, 2023
Exploration Activity, Long Run Decisions and the Risk Premium on Energy Futures , Review of Financial Studies, 2019 Outreach Version of Article Podcast
Imperfect Renegotiations in Interbank Financial Networks (with Alfred Lehar), Management Science, 2019
The Economics of the Comovement of Stocks and Bonds (with Pietro Veronesi) Handbook of Fixed-Income Securities (Wiley) by Pietro Veronesi, 2016
Investors' and Central Bank's Uncertainty Embedded in Index Options (with Pietro Veronesi), Review of Financial Studies, 2014
What Ties Price Volatilities to Asset Valuations and Fundamentals (with Pietro Veronesi), Journal of Political Economy, 2013
Heterogenous Beliefs, Speculation, and the Equity Premium , Journal of Finance, 2008
Inflation Uncertainty, Asset Valuations and the Credit Spreads Puzzle , Review of Financial Studies, 2008
Pricing the Strategic Value of Putable Securities in Liquidity Crises , Journal of Financial Economics, 2001
Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility , Journal of Financial and Quantitative Analysis, 1997
Controlling Information Premia By Repackaging Asset Backed Securities Journal of Risk and Insurance, 1997
Working Papers
When is the Price of Analysts' Disagreement Risk Positive? (with Amel Farhat), 2023
What Do CDO Tranche Spreads Tell Us About Credit Availability and Credit Rating Standards? (with Maksim Isakin), 2023
Is Intangibles Talk Informative about Future Returns? Evidence from 10-K Filings (with Amir Hosseini and Anup Srivastava), 2023
Hoarding, Stockouts, and Commodity Futures Prices During the Pandemic (with Swaminathan Balasubramaniam) 2023
Older Working Papers
Option Pricing With Uncertain Fundamentals (with Pietro Veronesi), Federal Reserve Board Working Paper, 1999
Business Cycle Risk and the Equity Premium, Working Paper, University of California Los Angeles,1994.
A Continuous Time Filter for Tracking Regime Switches Mimeo, University of California Los Angeles,1993.
Cyclical Fluctuations in Uncertainty: An Application to the Premium on Equities (with S. Oh, J. Ostroy, and K. Shin), Working Paper, Department of Economics, University of California, Los Angeles. 1991.