Working papers

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")

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)

Implementing Stochastic Volatility in DSGE Models: A Comment (with A. Hsu and L. Bretscher)

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 Return Predictability For Consumption Dynamics and Asset Pricing (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)