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
3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
- Lead Article
- Winner of 2012 AQR Insight Award First Prize
- Awarded Q Group 2011 Research Grant
- SSRN
- Code
- Data
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