2026

January

Scalable Variational Bayes Inference for Dynamic Variable Selection

2025

June

Transaction Costs and the Stochastic Discount Factor

May

Extrapolation Bias and the Lottery Effect: Evidence from Cryptocurrency Markets

April

Do Sectors Matter for Commodity Pricing?

March

Correlated False Discoveries and Asset Pricing Anomalies

February

Weak Signals, Small Bets: A Portfolio Perspective on Firm Characteristics

January

Media Appearances

Mispricing and Risk Compensation in Cryptocurrency Returns

Teaching

2024

October

Macroeconomic Fundamentals and the Shape of Sovereign Credit Risk

January

Variational Inference for Large Bayesian Vector Autoregressions

2023

July

It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction

2022

December

Variational Bayes Inference for Volatility-Managed Portfolios

September

Trading Volume and Liquidity Provision in Cryptocurrency Markets

July

Time-Varying Skewness and Momentum Crashes

2021

April

Bond Risk Premiums with Machine Learning

March

Adaptive Expectations and Commodity Risk Premiums

2019

May

Modeling Systemic Risk with Markov Switching Graphical SUR Models

2018

March

Divide and Conquer: Financial Ratios and Industry Returns Predictability

2017

January

Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section