Assistant Professor of Finance
Smeal College of Business
Pennsylvania State University
336 Business Building
University Park, PA 16802
- "The Price of Variance Risk," (with Ian Dew-Becker, Stefano Giglio, and Marius Rodriguez), Journal of Financial Economics, 2016, forthcoming,
We find that the average investor in the variance swap market is indifferent to news about future variance at horizons ranging from 1 quarter to 14 years. These results present a challenge to many structural models.
- "Separating the Components of Default Risk: A Derivative-Based Approach," Quarterly Journal of Finance, 2015, 5(1), 1550005-1:48.
I propose a general pricing framework that extracts risk-neutral loss given default from CDS and options data.
- "Why Do Term Structures in Different Currencies Comove?," (with Pab Jotikasthira and Chris Lundblad,) Journal of Financial Economics, 2015, 115(1), 58-83.
We show that a world inflation factor, through the risk compensation channel, is largely responsible for the co-movements of bond yields at long horizons.
- "Gaussian Macro-Finance Term Structure Models with Lags," (with Scott Joslin and Ken Singleton), Journal of Financial Econometrics, 2013, 11(4), 581-609.
We develop and study a term structure model with multiple lags under P but one lag under Q (as called for by the data).
- "Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs," (with Scott Joslin and Ken Singleton), Journal of Financial Economics, 2013, 109(3), 604-622.
We show that, relative to a factor-VAR, the role of no-arbitrage restrictions in a canonical gaussian term structure model is rather minimal.
- "An Equilibrium Term Structure Model with Recursive Preferences," (with Ken Singleton), American Economic Review, PP, 2010, 100(2), 557-561.
A structural term-structure model with recursive preferences is proposed with market prices of risks almost as flexible as those of reduced-form models. The structural constraints are nonlinear endogenous consumption and inflation drifts.
- "Discrete-Time AffineQ Term Structure Models with Generalized Market
Prices of Risk," (with Ken Singleton and Qiang Dai), Review of Financial Studies, 2010, 23(5), 2184-2227.
pdf, matlab code
A rich class of discrete-time nonlinear dynamic term-structure models
is developed with analytical bond prices and conditional likelihood.
- "Implied Bond Liquidity," (with Robert Bushman and Florin Vasvari),
We propose to measure the liquidity of bonds with limited transaction data by utilizing bond holdings information and transactions data of other bonds.
- "Risk Premia in Gold Leasing Markets," (with Haoxiang Zhu),
Risk premia embedded in gold loans are highly time varying and significantly positively related to the steepness of the gold yield curves.
- "The Structure of Risks in Equilibrium Affine Models of Bond Yields," (with Ken Singleton),
The affine model structure, and the constraints typically imposed by structural models that risk premia be driven exclusively by volatility are enough to very precisely extract volatility factors from the cross-section.
- "Interest Rate Volatility and No Arbitrage Term Structure Models," (with Scott Joslin),
The tight linkage between the risk neutral and physical drifts, imposed by the admissibility constraint, is the very source of affine stochastic volatility models' failure in matching the EH in the data.
- "Risk and Return Trade-off in the U.S. Treasury Market," (with Eric Ghysels, Sunjin Park, and Haoxiang Zhu),
We find that a higher short-run volatility component of bond yields significantly predicts a higher future excess return, above and beyond the predictive power of the yields. The long-run volatility component does not predict bond excess returns.