Research Interests

Published Papers

• Interest Rate Volatility and No-Arbitrage Affine Term Structure Models
  Management Science, Forthcoming, with Le.
• Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets
  Review of Financial Studies, January 2019, with Chen and Ni.
• Interest Rate Volatility, the Yield Curve, and the Macroeconomy
  Journal of Financial Economics, May 2018, with Konchtichki.
• Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?
  Management Science, April 2017, Single Authored.
  
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
  Journal of Finance, June 2014, with Priebsch and Singleton.
  
• Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs
  Journal of   Financial   Economics, September 2013, with Le and Singleton.
  
• Macro-Finance Term Structure Models with Lags
  Journal of Financial Econometrics, Fall 2013, with Le and Singleton.
• Rare Disasters and Risk Sharing with Heterogeneous Beliefs
  Review of Financial Studies, July 2012, with Chen and Tran.
• Generalized Transform Analysis of Affine Processes: with Applications in Finance
  Review of Financial Studies, July 2012, with Chen. Online Appendix.
  
• Do Options Contain Information About Excess Bond Returns?
  Journal of Econometrics, September 2011, with Almeida and Graveline.
• A New Perspective on Gaussian Dynamic Term Structure Models
  Review of Financial Studies, March 2011, with Singleton and Zhu. Matlab code
• Affine Disagreement and Asset Pricing
  American Economic Review, May (p&p), 2010, with Chen and Tran.
• An Equivalence Result for VC Sets
  Econometric Theory, December, 2003, with Sherman.

Working Papers/Work in Progress

• The Term Structure of Liquidity Premium, with Li and Song.
• A Model of Macro-Finance with Accounting Measurement, with Konchitchki.
• Macro-Accounting: Another View, with Konchitchki.
• Resolving Expections Puzzles in Dynamic Term Structure Models, with Le and Singleton.