An Econometric Analysis of Volatility Discovery
Journal of Business & Economic Statistics, 42(3), 1095–1106
Academic journals
Research highlight
Cleansing by tight credit: Rational cycles and endogenous lending standards
Journal of Financial Economics, 150(1), 46-67
Research highlight
Informational Black Holes in Financial Markets
Journal of Finance, 78 (6), 3099-3140
Volatility and dark trading: Evidence from the Covid-19 pandemic
The British Accounting Review, 55 (4),101171
Idiosyncratic Volatility, Growth Options, and the Cross-Section of Returns
The Review of Asset Pricing Studies, 13 (4), 653–690
Research highlight
Dynamic Asset-Backed Security Design
The Review of Economic Studies, 90(6), 3282–3314
Research highlight
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Journal of Finance, 78 (1), 487-557
Research highlight
Asset Management Contracts and Equilibrium Prices
Journal of Political Economy, 130(12), 3146-3201
Research highlight
Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
Journal of Financial Economics 146(3), 1044-1072
Research highlight
Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims
The Review of Economic Studies, 89 (5), 2445–2490
Research highlight
Sentiment and Speculation in a Market with Heterogeneous Beliefs
American Economic Review, 112 (8), 2465-2517
