Macroeconomic Fundamentals and the Shape of Sovereign Credit Risk
With Teng Jiao. Journal of Financial and Quantitative Analysis, forthcoming.
Scalable Variational Bayes Inference for Dynamic Variable Selection
With Mauro Bernardi and Nicolas Bianco. Journal of Computational and Graphical Statistics, forthcoming.
Mispricing and Risk Compensation in Cryptocurrency Returns
With Mykola Babiak. Journal of Financial and Quantitative Analysis, forthcoming.
Variational Inference for Large Bayesian Vector Autoregressions
With Mauro Bernardi and Nicolas Bianco. Journal of Business and Economic Statistics, 2024, 42(3), 1066–1082.
Trading Volume and Liquidity Provision in Cryptocurrency Markets
With Alexander Dickerson and Mykola Babiak. Journal of Banking and Finance, September 2022, Vol. 142.
Bond Risk Premiums with Machine Learning
With Andrea Tamoni and Matthias Büchner. The Review of Financial Studies, 2021, Vol. 34, No. 2, 1046–1089. INVESCO Best Paper Award, FMA 2019.
Adaptive Expectations and Commodity Risk Premiums
Journal of Economic Dynamics and Control, March 2021, Vol. 124.
Modeling Systemic Risk with Markov Switching Graphical SUR Models
With Monica Billio, Roberto Casarin, and Massimo Guidolin. Journal of Econometrics, 2019, Vol. 210, No. 1, 58–74.
Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section
With Massimo Guidolin and Francesco Ravazzolo. Journal of Business and Economic Statistics, 2017, Vol. 35, No. 1.