Working papers

Value Timing: Risk and Return Across Asset Classes (with M. Boons and F. Baba)

Level and Volatility Shocks to Fiscal Policy: Term Structure Implications (with L. Bretscher and A. Hsu)

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

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

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

Implications of Predictability Across Horizons for Asset Pricing Models (with C. Favero, F. Ortu and H. Yang).

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)