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Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key fundi[...]

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both [...]

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]

Replication code for peer-reviewed article published in The Journal of Finance. Paper published online December 23, 2024. When citing this dataset, please also cite the a[...]

Replication files for peer-reviewed article published in Management Science. Paper published online January 26, 2022. When citing this dataset, please also cite the assoc[...]

Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan,[...]

Supplemental materials for peer-reviewed article published in Studies in Nonlinear Dynamics & Econometrics. Paper published online January 23, 2020. When citing this [...]

We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). [...]