Lucas Forests
Presented at The 2019 SOM PhD Conference and a seminar at the University of Groningen
Corporate Financing Policies, Financial Leverage, and Stock Returns: Inspecting the mechanisms (Submitted, joint with Lammertjan Dam and Pim Heijnen).
Asset pricing with many macroeconomic predictors.
Structural estimation of non-linear rational expectations models with recursive preferences (with Diego Ronchetti): Link to SSRN.
Presented at
The Midwest Finance Association 2020 Annual Meeting,
The Society of Financial Econometrics (SoFiE) 2021 Annual Meeting,
The 2022 SOM PhD Conference
The 16th International Conference on Computational and Financial Econometrics (2022)
and seminars at Ca'Foscari University of Venice and the University of Groningen.
Nonparametric estimation of non-anticipative optimization strategies (with Diego Ronchetti)
Sieve estimation of PDE models in economics and finance.
Machine Learning market incompleteness: a gradient-based approach.