Working papers

Measuring Horizon-Specific Systematic Risk via Spectral Betas (with F. Bandi, S. Chaudhuri and Andrew W. Lo)

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia (with M. Boons and F. Baba).(Formerly titled: "Value Timing: Risk and Return Across Asset Classes")

Mind the (Convergence) Gap: Forward Rates Strike Back! (with A. Berardi, M. Markovich and A. Plazzi)

Bond Risk Premia with Machine Learning (with D. Bianchi and M.Buchner)

Long-run economic uncertainty (with F. Bandi and L. Bretscher)

Fiscal Policy Driven Bond Risk Premia (with L. Bretscher and A. Hsu)

Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks (with L. Bretscher and A. Hsu)

News Shocks and Asset Prices (with A. Malkhozov and L. Bretscher)

A persistence-based Wold-type decomposition for stationary time series (with F. Ortu, F. Severino  and C. Tebaldi)

The horizon of systematic risk: a new beta representation (with F. Bandi). The paper was previously circulated under the titles``Business-cycle consumption risk and asset prices.''

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)