Working papers

Factor Models with Drifting Prices (with C. Favero and A. Melone)

New and Old Sorts: Implications for Asset Pricing (with M. Boons and F. Baba-Yara)

Smart beta made smart: Synthetic Risk Factors for Institutional and Retail Investors (with A. Johansson and R. Sabbatucci)

Uncertainty trends (with F. Bandi and L. Bretscher)

When it Rains it Pours: Cascading Uncertainty Shocks (with A. Diercks and A. Hsu)

Business-cycle consumption risk and asset prices (with F. Bandi)

Horizon-specific macroeconomic risks and the cross-section of expected returns (with M. Boons)

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling (with D. Bianchi)