2026Time-Varying Skewness and Momentum CrashesREV ASSET PRICING STUD · forthcoming · Depolis, Petrella
2025Weak Signals, Small Bets: A Portfolio Perspective on Firm CharacteristicsVenturiREAG Best Articles Award, XXV Brazilian Finance Meeting
2025Mispricing and Risk Compensation in Cryptocurrency ReturnsJ FINANC QUANT ANAL · forthcoming · Babiak
2021Bond Risk Premiums with Machine LearningREV FINANC STUD · 34(2) 1046–1089 · Büchner, TamoniINVESCO Best Paper Award, FMA 2019
2017Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross SectionJ BUS ECON STAT · 35(1) · Guidolin, Ravazzolo