COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

(with L. Bretscher, A. Hsu, and P. Simasek). Review of Asset Pricing Studies (2020).

Fiscal Policy Driven Bond Risk Premia

(with L. Bretscher and A. Hsu). Journal of Financial Economics (2020).

Bond Risk Premia with Machine Learning

(with D. Bianchi and M.Buchner). Review of Financial Studies (2020), vol 34(2):1046-1089.

Spectral factor models

(with F. Bandi, S. Chaudhuri and Andrew W. Lo). Journal of Financial Economics, Accepted.

A persistence-based Wold-type decomposition for stationary time series

(with F. Ortu, F. Severino  and C. Tebaldi). Quantitative Economics (2020), vol. 11:203-230.

The scale of predictability

(with F. Bandi, B. Perron and C. Tebaldi). Journal of Econometrics (2019), vol. 208(1):120-140.


Long-Run Risk and the Persistence of Consumption Shocks

(with F. Ortu and C. Tebaldi). Review of Financial Studies (2013), vol. 26(11):2876-2915.

[Appendix] [Replication Code]

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

(with M. Boons and F. Baba-Yara). Review of Finance, (2021), vol. 25(2): 449-484.

Implications of Return Predictability For Consumption Dynamics and Asset Pricing

(with C. Favero, F. Ortu and H. Yang). Journal of Business and Economic Statistics (2019), vol 46(5):1493-1520.

Mind the (Convergence) Gap: Forward Rates Strike Back!

(with A. Berardi, M. Markovich and A. Plazzi). Management Science (Forthcoming)

Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns

(with C. A. Favero and A. E. Gozluklu). Journal of Financial and Quantitative Analysis (2011), vol. 46:1493-1520

Demographics and Stock Market Fluctuations

(with C. A. Favero). CESifo Economic Studies, Vol. 57, 1/2011

Implementing Stochastic Volatility in DSGE Models: A Comment

(with A. Hsu and L. Bretscher). Macroeconomic Dynamics (2018).