Working papers

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies (with J. van Binsbergen, M. Boons and C. Opp)

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)

Monetary Policy and Bond Prices with Drifting Equilibrium Rates (with C. Favero and A. Melone)

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)

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

Expectations and Aggregate Risk (with A. Malkhozov and L. Bretscher)

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)