Published papers

  • Scenario Generation for Long-Run Interest Rate Risk Assessment,  published in the Journal of Econometrics, Vol. 201, No. 2, December 2017 (joint with R. Engle and E. Siriwardane)​
  • Staying at Zero with Affine Processes,  published in the Journal of Econometrics, Vol. 201, No. 2, December 2017 (joint with A. Monfort, F. Pegoraro and J.P. Renne)​
  • A Quadratic Kalman Filter,  published in the Journal of Econometrics, Vol. 187, No. 1, July 2015 (joint with A. Monfort and J.P. Renne)
  • Credit and Liquidity in Interbank Rates: A Quadratic Approach, published in the Journal of Banking and Finance, Vol. 68, July 2016 (joint with A. Monfort and J.P. Renne)

Working Papers

  • The Term Structure of Macroeconomic Risks at the Zero Lower Bound, updated 2018, (formerly Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound).
  • Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion, 2019 revised version, R&R Management Science (joint with A. Monfort, F. Pegoraro and J.P. Renne)
  • Default Risk and the Pricing of U.S. Sovereign Bonds, 2019 (joint with B. Dittmar, A. Hsu and P. Simasek)
  • Identifying Beliefs From Asset Prices, 2018 (joint with A. Ghosh)
  • Macro-Finance Term Structure Models with External Macro Shocks, 2019, (joint with J.S. Fontaine and B. Feunou)
  • A Hidden Volatility Factor in the VIX, mimeo (joint with R. Engle)
  • Managing Hedge Fund Liquidity Risks, mimeo (joint with S. Darolles)

Academic Discussions

  • Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World, J. Cotter, S. Gabriel and R. Roll, 9th Tau Finance Conference 2018
  • Nonparametric Assessment of Hedge Fund Performance, C. Almeida, K. Ardison and R. Garcia, CIREQ annual conference 2018
  • Risky Bank Guarantees, T. Makinen, L. Sarno and G. Zinna, BCB Sao Paulo conference 2017
  • Time-varying Lower Bound of Interest Rates in Europe, C. Wu and D. Xia, NFA conference 2017
  • Time-Varying Volatility and the Power Law Distribution of Stock Returns, M. Warusawitharana, FMA annual conference 2017
  • Assessment of Uncertainty in High Frequency Data: the Observed Asymptotic Variance, P. Mykland and L. Zhang, EFA annual conference 2016
  • Term Structure Modeling when Monetary Policy is Unconventional: A New Approach, B. Feunou, J.S. Fontaine and A. Le, 2015 Banque de France workshop on Modeling the term structure at the zero lower bound.