Extracting Tail Risk from High-Frequency S&P500 Returs (2019), (with Caio Almeida, Kym Ardison and Piotr Orlowski).
“Optimal Portfolio Strategies in the Presence of Regimes in Asset Returns,” (2019), (with Carlos Campani and Marcelo Lewin), Appendix.
”Persistent Monetary Non-neutrality in an Estimated Model With Menu Costs and Partially Costly Information,” (2018), Université de Montréal and TSE (with Marco Bonomo, Carlos Carvalho, and Vivian Malta).
“Limited participation in the joint behavior of asset prices and individual consumptions,” (2017), (with Veronika Czellar and François Le Grand).
“A Macro-finance Model of the Term Structure With Time-varying Market Prices of Risk,” (2015), (with Eric Jondeau and Florian Pelgrin), under revision.
“Funding Liquidity, Market Liquidity and the Cross-section of Stock Returns,” (2016), (with Jean-Sébastien Fontaine and Sermin Gungor).