Publications

• International asset pricing with heterogeneous agents: Estimation and inference, Journal of Empirical Finance, January 2024, 75(), https://doi.org/10.1016/j.jempfin.2023.101459, (with Jules Tinang)
• Biofuel policies and their ripple effects: An analysis of vegetable oil price dynamics and global consumer responses, Energy Economics, December 2023, 128, https://doi.org/10.1016/j.eneco.2023.107127
• Valuing Downside Risk on International Stock Markets, Finance, August 2023, https://doi.org/10.3917/fina.pr.022 (with Prince Hikouatcha)
• The Changing Landscape of Treasury Auctions, The Journal of Banking and Finance, March 2023, https://doi.org/10.1016/j.jbankfin.2022.106714 (with Shehryar Amin)
• Operations Revenue Insurance, Foundations and Trends® in Technology, Information and Operations Management, July 2022, 15(3), 225-246, (with Paolo Guiotto and Andrea Roncoroni)
• Portfolio Optimization and Asset Pricing Implications under Returns Non-Normality Concerns, Finance, January 2022, 43(1), 47-94, (with Jules Tinang)
• Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets, Management Science, October 2021, 67(10), 6266-6293, (with Patrick Augustin)
• The Term Structures of Expected Loss and Gain Uncertainty, The Journal of Financial Econometrics, June 2020, 18(3), 473-501, (with Bruno Feunou, Ricardo Lopez Aliouchkin and Lai Xu)
• Downside Risks and the Cross-Section of Asset Returns, The Journal of Financial Economics, July 2018, 129(1), 69-86, (with Adam Farago)
• Implied Volatility And Skewness Surface, The Review of Derivatives Research, July 2017, 20(2), 167-202, (with Bruno Feunou and Jean-Sébastien Fontaine)
• Asymmetries and Portfolio Choice, The Review of Financial Studies, February 2017, 30(2), 667-702, (with Magnus Dahlquist and Adam Farago)
• The Long and the Short of the Risk-Return Tradeoff, The Journal of Econometrics, August 2015, 187(2), 580-592, (with Marco Bonomo, René Garcia, and Nour Meddahi)
• Real Economic Shocks and Sovereign Credit Risk, The Journal of Financial and Quantitative Analysis, April 2016, 51(2), 541-587, (with Patrick Augustin)
• Which Parametric Model for Conditional Skewness?, The European Journal of Finance, 2016, 22(13), 1237-1271, (with Bruno Feunou and Mohammad Jahan-Parvar)
• Consumption Volatility and the Cross-Section of Stock Returns, The Review of Finance, March 2015, 19(1), 367-405
• Risk Premium, Variance Premium and the Maturity Structure of Uncertainty, The Review of Finance, January 2014, 18(1), 219-269, (with Bruno Feunou, Jean-Sébastien Fontaine and Abderrahim Taamouti)
• A Stochastic Volatility Model with Conditional Skewness, The Journal of Business and Economic Statistics, October 2012, 30(4), 576-591, (with Bruno Feunou)
• Modeling Market Downside Volatility, The Review of Finance, January 2013, 17(1), 443-481, (with Bruno Feunou and Mohammad Jahan-Parvar)
• Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices, The Review of Financial Studies, January 2011, 24, 82-122, (with Marco Bonomo, René Garcia and Nour Meddahi)