Constrained Polynomial Likelihood
Journal of Business and Economic Statistics, forthcoming, 2024 (with R. Masini and P. Schneider)
High-Frequency Tail Risk Premium and Stock Return Predictability
Journal of Financial and Quantitative Analysis, Vol. 59, issue 8, 3633-3670, 2024 (with G. Freire, R. Garcia, P. Orlowski and K. Ardison)
Nonparametric Option Pricing with Generalized Entropic Estimators
Journal of Business and Economic Statistics, Vol. 41, issue 4, 1173-1187, 2023 (with G. Freire, K. Ardison, and R. Azevedo)
Can a Machine Correct Option Pricing Models?
Journal of Business and Economic Statistics, Vol. 41, issue 3, 995-1009, 2023 (with J. Fan, G. Freire and F. Tang)
Pricing of Index Options in Incomplete Markets
Journal of Financial Economics , Vol. 144, 174-205, 2022 (with G. Freire)
Nonparametric Assessment of Hedge Fund Performance
Journal of Econometrics, Vol. 214, issue 2, 349-378, 2020 (with K. Ardison and R. Garcia)
A Hybrid Spline-Based Parametric Model for the Yield Curve
Journal of Economic Dynamics and Control , Vol. 86, 72-94, 2018 (with A. Faria)
Forecasting Bond Yields with Segmented Term Structure Models
Journal of Financial Econometrics , Vol. 16, Issue 1, 1-33, 2017 (with K. Ardison, D. Kubudi, A. Simonsen, and J. Vicente)
Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Journal of Financial Econometrics , Vol. 15, Issue 3, 333-376, 2017 (with K. Ardison, R. Garcia and J. Vicente)
Economic Implications of Nonlinear Pricing Kernels
Management Science, Vol. 63, Issue 10, 3361-3380, 2017 (with R. Garcia)
Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators
Journal of Econometrics, Vol 170, Issue 2, 519-537, 2012 (with R. Garcia)
Term Structure Movements Implicit in Asian Option Prices
Quantitative Finance , Vol 12, 1, 119-134, 2012 (with J. Vicente)
Do Interest Rate Options Contain Information About Excess Returns?
Journal of Econometrics , Vol. 164, 35-44, 2011 (with J. Graveline and S. Joslin)
Are Interest Rate Options Important for the Assessment of Interest Rate Risk?
Journal of Banking and Finance , Vol. 33, 7, 1376-1387, 2009 (with J. Vicente)
Identifying Volatility Risk Premia from Fixed Income Asian Options
Journal of Banking and Finance , Vol. 33, 4, 652-661, 2009 (with J. Vicente)
The Role of No-Arbitrage on Forecasting: Lessons from a Parametric Term Structure Model
Journal of Banking and Finance , Vol. 32, 12, 2695-2705, 2008 (with J. Vicente)