Twin Stars: Neutral Rates and Currency Risk Premiawith Bruno Feunou and Ingomar KrohnSSRN
What do Bond Investors Learn from Data Releases?
with Bruno Feunou and Guillaume Roussellet Revise and resubmit, Journal of FinancePDFSSRN
Do S&P 500 Options Increase Market Volatility? Evidence from 0DTEs
with Greg Adams, Chukwuma Dim, Bjørn Eraker, Chay Ornthanalai and Grigory Vilkov Revise and resubmit, Review of Financial StudiesPDFSSRN
Journal publications
Intermediary Leverage Shocks and Funding Conditions
with René Garcia and Sermin Gungor Journal of Finance, 80(1), 2025
PDFJournalSSRN
Secular Economic Changes and Bond Yields
with Bruno Feunou Review of Economics and Statistics, 105(2), 408–424, 2023
PDFJournalSSRN
Tractable Term Structure Models
with Bruno Feunou, Anh Le and Christian T. Lundblad Management Science, 2022
PDFJournalSSRN
What Model for the Target Rate?
with Bruno Feunou and Jianjian Jin Studies in Nonlinear Dynamics & Econometrics, 25(1), 2021
PDFJournal
Measuring Limits to Arbitrage in Fixed-Income Markets
with Guillaume Nolin Journal of Financial Research, 42(3), 525–552, 2019
PDFJournalData
Bond Risk Premia and Gaussian Term Structure Models
with Bruno Feunou Management Science, 2018
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Implied Volatility and Skewness Surface
with Bruno Feunou and Roméo Tédongap Review of Derivatives Research, 20(2), 167–202, 2017
PDFJournalSSRN
Non-Markov Gaussian Term Structure Models: The Case of Inflation
with Bruno Feunou Review of Finance, 18(5), 1953–2001, 2014
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Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
with Bruno Feunou, Abderrahim Taamouti and Roméo Tédongap Review of Finance, 18(1), 219–269, 2014
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Bond Liquidity Premia
with René Garcia Review of Financial Studies, 25(4), 1207–1254, 2012
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Book chapters
Advanced Topics in Macro-Finance Fixed Income Modelling
with René Garcia, 2016
in Handbook of Fixed Income, ed. Pietro Veronesi, University of Chicago
Estimating the Policy Rule from Money Market Rates when Target Rate Changes are Lumpy
2014
in Developments in Macro-Finance Yield Curve Modelling
Archived papers
Funding Risk, Market Liquidity, Market Volatility in the Cross-Section of Stockswith René Garcia and Sermin Gungor