Research

 Working Papers

Understanding Momentum and Reversal (WP) w/ Kelly and Moskowitz

Instrumented Principal Component Analysis (WP) w/ Kelly and Su

The Nature of Household Labor Income Risk (WP) w/ Turner

Articles

9. Characteristics are Covariances: A Unified Model of Risk and Return (JFE forth) w/ Kelly and Su)

8. The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin

7. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim

6. Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly

5. The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly

4. The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu

3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly

2. Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)

1. Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger

Older Working Papers