Publications

2024

• Risk Premia in the Bitcoin Market

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• Spectral Factor Model for Corporate Bonds

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2023

• Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

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2017

• Dynamic Analysis of Multivariate Time Series Using Wavelet Dependence Graphs

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2016

• Functional Principal Component Analysis for Derivatives of Multivariate Curves

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• Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle

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• Option Implied Stock Return Distribution

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2012

• Shape Invariant Modeling of Pricing Kernels and Risk Aversion

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2011

• Nonparametric Estimation of Risk-Neutral Densities

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• Parametric Estimation of Risk Neutral Density Functions

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