"Estimation of Tensor Factor Models with Missing Values," with Zhaocheng Zhang
"Glass Box Machine Learning and Corporate Bond Returns," with Sebastian Bell, Ali Kakhbod, and Abdolreza Nazemi
"3D-PCA: Factor Models with Restrictions"
"High Dimensional Factor Models with an Application to Mutual Fund Characteristics"
"Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?" with Sydney Ludvigson and Paulo Manoel, WSJ 2019/02/04, Retirement Income Journal 2019/2/7
“The Origins of Stock Market Fluctuations,” with Dan Greenwald and Sydney Ludvigson
"A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment," Federal Reserve Bank of New York Staff Report No. 131, May 2001, with Sydney Ludvigson and Nathan Barczi.
"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?" Federal Reserve Bank of New York Staff Report No. 130, May 2001. A shorter version of this paper is forthcoming in the Review of Economics and Statistics.