On the statistical properties of tests of parameter restrictions in beta-pricing models with a large number of assets
with Amedeo Andriollo and Giulio Rossetti, 2023, working paper.
Research
Priced Risk in Corporate Bonds
with Alex Dickerson and Philippe Mueller, 2023, working paper, R&R Journal of Financial Economics.
Asset Pricing with Volatility-Free and Volatility-Only Liquidity Measures
with Bartosz Gebka and Georgios Xyngis, 2002, working paper. [pdf coming soon]
A Visit to the Spectral Zoo
with Bartosz Gebka and Georgios Xyngis, 2022, working paper.
Are the Primary Dealers of the New York Fed Really Special?
with Danilo Giannone, 2022, working paper.
Out-of-Sample Comparisons of Dynamic Trading Strategies: A Bootstrap Approach
with Rohit Allena, 2022, working paper. [pdf coming soon]
Capital Share Risk in U.S. Asset Pricing: A Reappraisal
with Nikolay Gospodinov, 2021, Journal of Finance, Replications and Comments.
On the Mimicking-Portfolio Squared Sharpe Ratio Estimator: Asymptotic and Exact Distributions
with Raymond Kan and Xiaolu Wang, 2022, working paper. [pdf coming soon].
Bootstrapping Sharpe Ratios
with Raymond Kan and Xiaolu Wang, 2022, working paper. [pdf coming soon].
On Aggregate Measures of Alpha
with Raymond Kan, 2022, working paper. [pdf coming soon].