RESEARCH

 A Sorted Penalty Estimator: Inference for a Correlation-Robust Shrinkage Method            with Marcelo Medeiros

Journal of Econometrics, forthcoming             

 A correlation-robust shrinkage estimator: Oracle inequality and an application on out-of-sample factor selection         

Economics Letters, 2025             

Factor Correlation and the Cross Section of Asset Returns: A Correlation-robust Machine Learning Approach               

Journal of Empirical Finance, 77, March 2024             

 A Toolkit for Exploiting Contemporaneous Stock Correlations          with Kazuhiro Hiraki        

Journal of Empirical Finance, Volume 65, January 2022, Pages 99-124.        

A Greedy Approach to High-Dimensional Asset Pricing under Weak Identification            with Lingwei Kong

Presentation: Erasmus University, NYU Abu Dhabi  

Inference on High-Dimensional Characteristic-Based Portfolio Optimization              with Marcelo Medeiros

Option-Implied Expected Returns and the Construction of Mean-Variance Portfolios          with Kazuhiro Hiraki  

Presentation: OptionMetrics 2019  

• Leveraging Large Language Models for Inflation Prediction       with Marcelo Medeiros and Samuel Efraim

• Time-varying Parameter Models: A New Approach        with Marcelo Medeiros