Publications

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).

Spectral factor models

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

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

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

Bond Risk Premia with Machine Learning

(with D. Bianchi and M.Buchner). Review of Financial Studies (2020).

Fiscal Policy Driven Bond Risk Premia

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

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

(with M. Boons and F. Baba-Yara). Review of Finance, 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.

[Appendix]

Implications of Return Predictability For Consumption Dynamics and Asset Pricing

(with C. Favero, F. Ortu and H. Yang). Journal of Business and Economic Statistics (2018, Forthcoming).

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]

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).