·
A Survey of Alternative Measures of
Macroeconomic Uncertainty: Which Measures Forecast Real Variables and Explain
Fluctuations in Asset Volatilities Better?, with Pietro Veronesi, Annual
Review of Financial Economics (In Press) 2022.
· Exploration Activity, Long Run Decisions and the Risk Premium on Energy Futures, Review of Financial Studies, 2019. Outreach Version of Article Podcast
· Imperfect Renegotiations in Interbank Financial Networks with Alfred Lehar, Management Science, 2018
· Investor and Central Bank Uncertainty Embedded in Index Options with Pietro Veronesi, Review of Financial Studies, 2014. Online Appendix
· What Ties Return Volatilities to Price Valuations and Fundamentals? with Pietro Veronesi, Journal of Political Economy , Vol. 121, No. 4 pp. 682-746, August 2013. Online Appendix Beliefs and Volatilities Spreadsheet (Updated to 2020:Q4 )
· Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle Review of Financial Studies, 2008. Appendices B and C
· Heterogeneous Beliefs, Speculation, and the Equity Premium Journal of Finance, 2008. Appendices C and D
· Pricing the Strategic Value of Putable Securities in Liquidity Crises Journal of Financial Economics, 2001.
· Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility Journal of Financial and Quantitative Analysis, 1997.
·
Controlling Information Premia By Repackaging Asset Backed Securities, Journal
of Risk and Insurance, 1997.
Current
Working Papers
·
When is the
Price of Analysts’ Dispersion Risk Positive?, with Amel Farhat, 2021.
· What Do CDO Tranche Spreads Tell Us About Credit Availability and Credit Rating Standards?, with Maksim Isakin, 2021.
· A New Measure of Credit Ratings Manipulation, 2020. Link available soon.
Book
Chapters
· The Economics of the Covariance of Stocks and Bonds, with Pietro Veronesi in Handbook of Fixed Income Securities, Wiley, 2016
Old Working Papers
· Options Prices with Uncertain Fundamentals with Pietro Veronesi, December 2002.
· Business Cycle Risk and the Equity Premium, Working Paper, University of California Los Angeles, 1994.
·
A
Continuous Time Filter for Tracking Regime Switches,
Working Paper, University of California Los Angeles, 1993
.
· Cyclical Fluctuations in Uncertainty: An Application to the Premium on Equities, Working Paper, University of California Los Angeles, 1992, with Joseph Ostroy, Seongwan Oh, and Kwanho Shin.
