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1.
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We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decr[...]
2020 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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We document the effects of investor preferences for bonds with particular characteristics on their yields. Using a unique security-level dataset on institutional investor[...]
2018 | Book Chapter | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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This article calibrates a class of jump-diffusion long-run risks models and quantifies how well they can account for both equity and variance risk premiums while generati[...]
2015 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk pr[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Supplemental materials for peer-reviewed article published in Studies in Nonlinear Dynamics & Econometrics. Paper published online January 23, 2020. When citing this [...]
2021 | Dataset | Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche |
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6.
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The Federal Reserve target rate has a lower bound. Changes to the target rate occur with discrete increments. Using out-of-sample forecasts of the target rate, we evaluat[...]
2021 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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