Published Papers
Search by topic or author to see the most recent faculty published papers.
Author
Research Topics
Research Center
Journal of Political Economy
August 2022
Econometrics
Instrumental Variable Identification of Dynamic Variance Decompositions
Financial Mathematics
May 2022
Econometrics
SVAR Identification From Higher Moments: Has the Simultaneous Causality Problem Been Solved?
Econometrica
July 2021
Econometrics
Local Projection Inference is Simpler and More Robust Than You Think
Econometrica
July 2021
Econometrics
Generalized Local-to-Unity Models
Journal of Econometrics
May 2021
Econometrics
Closed-form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps
Econometrica
March 2021
Econometrics
Local Projections and VARs Estimate the Same Impulse Responses
Review of Financial Studies
January 2021
Econometrics
Implied Stochastic Volatility Models
Journal of Econometrics
December 2020
Econometrics
The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis
Annals of Applied Probability
December 2020
Econometrics
From Tick Data to Semimartingales
Journal of Econometrics
July 2020
Econometrics
High Frequency Traders and the Price Process
Review of Economics and Statistics
June 2020
An Econometric Model of International Long-run Growth Dynamics for Long-horizon Forecasting
Journal of Applied Econometrics
May 2020
Econometrics
The Informativeness of Estimation Moments
Journal of Econometrics
May 2020
Econometrics
High-Frequency Factor Models and Regressions
Journal of Econometrics
April 2020
Inference in SVARs Identified with External Instruments
Econometrica
May 2020
Econometrics
Selection Without Exclusion
Brookings Papers on Economic Activity
March 2020
Econometrics
When is Growth at Risk?
American Economic Review
March 2020
International Finance
Dominant Currency Paradigm
Quantitative Economics
January 2020
Econometrics
Simple and Honest Confidence Intervals in Nonparametric Regression
Statistics and Probability Letters
December 2019
Refining the Central Limit Theorem Approximation via Extreme Value Theory
Review of Economic Studies
November 2019
