It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
With Alexandre Rubesam and Andrea Tamoni. Working paper. R&R at Journal of Financial and Quantitative Analysis
Bayesian Methods
Variational Bayes Inference for Volatility-Managed Portfolios
With Mauro Bernardi and Nicolas Bianco. Working paper.
Divide and Conquer: Financial Ratios and Industry Returns Predictability
With Ken McAlinn. Working paper. Previously circulated as ‘Large-scale dynamic predictive regressions’.
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.