Research

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Working Papers

Single Modified Partial Least Squares (SMPLS) For Forecasting Using Many Predictors (WP) w/ Ahn and Bae

A Half Century of Female and Male Earnings Risk: Evidence from Millions of Individuals (WP) w/ Turner

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

Articles

12. Modeling Corporate Bond Returns (JF forth) w/ Kelly and Palhares

  • SSRN
  • 11. Understanding Momentum and Reversal (JFE 2021) w/ Kelly and Moskowitz

    10. Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner

    9. Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) 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