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1-17 of 17
JEL: C58 - Financial Econometrics
Journal Article
News and Asset Pricing: A High-Frequency Anatomy of the SDF Get access
The Review of Financial Studies, Volume 38, Issue 3, March 2025, Pages 712–759, https://doi.org/10.1093/rfs/hhae019
Published: 16 May 2024
Journal Article
Missing Data in Asset Pricing Panels Get access
The Review of Financial Studies, Volume 38, Issue 3, March 2025, Pages 760–802, https://doi.org/10.1093/rfs/hhae003
Published: 27 January 2024
Journal Article
When Do Low-Frequency Measures Really Measure Effective Spreads? Evidence from Equity and Foreign Exchange Markets Get access
The Review of Financial Studies, Volume 36, Issue 10, October 2023, Pages 4190–4232, https://doi.org/10.1093/rfs/hhad028
Published: 18 April 2023
Journal Article
Arbitrage Portfolios Get access
The Review of Financial Studies, Volume 34, Issue 6, June 2021, Pages 2813–2856, https://doi.org/10.1093/rfs/hhaa102
Published: 07 September 2020
Journal Article
Microstructure in the Machine Age Get access
The Review of Financial Studies, Volume 34, Issue 7, July 2021, Pages 3316–3363, https://doi.org/10.1093/rfs/hhaa078
Published: 07 July 2020
Journal Article
Dissecting Characteristics Nonparametrically Get access
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2326–2377, https://doi.org/10.1093/rfs/hhz123
Published: 17 April 2020
Journal Article
Factors That Fit the Time Series and Cross-Section of Stock Returns Get access
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2274–2325, https://doi.org/10.1093/rfs/hhaa020
Published: 17 March 2020
Journal Article
Empirical Asset Pricing via Machine Learning
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2223–2273, https://doi.org/10.1093/rfs/hhaa009
Published: 26 February 2020
Journal Article
Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based Get access
The Review of Financial Studies, Volume 33, Issue 9, September 2020, Pages 4403–4443, https://doi.org/10.1093/rfs/hhz135
Published: 11 November 2019
Journal Article
Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options Get access
The Review of Financial Studies, Volume 33, Issue 1, January 2020, Pages 155–211, https://doi.org/10.1093/rfs/hhz043
Published: 26 April 2019
Journal Article
Measuring Tail Risks at High Frequency Get access
The Review of Financial Studies, Volume 32, Issue 9, September 2019, Pages 3571–3616, https://doi.org/10.1093/rfs/hhy133
Published: 13 December 2018
Journal Article
Replicating Anomalies Get access
The Review of Financial Studies, Volume 33, Issue 5, May 2020, Pages 2019–2133, https://doi.org/10.1093/rfs/hhy131
Published: 10 December 2018
Journal Article
Risk Everywhere: Modeling and Managing Volatility
The Review of Financial Studies, Volume 31, Issue 7, July 2018, Pages 2729–2773, https://doi.org/10.1093/rfs/hhy041
Published: 22 May 2018
Journal Article
Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks Get access
The Review of Financial Studies, Volume 30, Issue 12, December 2017, Pages 4349–4388, https://doi.org/10.1093/rfs/hhx052
Published: 08 June 2017
Journal Article
Deflation Risk Get access
The Review of Financial Studies, Volume 30, Issue 8, August 2017, Pages 2719–2760, https://doi.org/10.1093/rfs/hhx021
Published: 27 February 2017
Journal Article
Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective Get access
The Review of Financial Studies, Volume 29, Issue 4, April 2016, Pages 1007–1038, https://doi.org/10.1093/rfs/hhv062
Published: 27 October 2015
Journal Article
Exploring Return Dynamics via Corridor Implied Volatility Get access
The Review of Financial Studies, Volume 28, Issue 10, October 2015, Pages 2902–2945, https://doi.org/10.1093/rfs/hhv033
Published: 01 June 2015
