Published Articles

  • "Shocks and Crashes," (with Martin Lettau). National Bureau of Economic Research Twenty-eighth Macroeconomics Annual, 2013, e.d. by Jonathan Parker and Michael Woodford, 2013 pp. 293-354. MIT Press, Cambridge, MA.  Download online appendix HERE.
  • "A Factor Analysis of Bond Risk Premia" (with Serena Ng).  Handbook of Empirical Economics and Finance, 2010, e.d. by Aman Uhla and David E. A. Giles, pp. 313-372.  Chapman and Hall, Boca Raton, FL.  Download large dataset used to create factors HERE
  • "tay's As Good as cay: Reply"  (with Martin Lettau) Finance Research Letters, 2005, 2(1): 15-22.