Articles

Publications

• Model-Free International Stochastic Discount Factors

  with M. Sandulescu and A. Vedolin | Journal of Finance, 2021, Volume 76, Issue 2, 935-976

• On the Nature of Jump Risk Premia

  with P. Orłowski and P. Schneider | Management Science, 2022, forthcoming

• Dividend Growth Predictability and the Price Dividend Ratio

  with I. Piatti | Management Science, 2020, Volume 66, Issue 1, 130-158

• The Price of the Smile and Variance Risk Premia

  with P. Gruber and C. Tebaldi | Management Science, 2021, Volume 67, Issue 7, 3985–4642

• (Almost) Model-Free Recovery

  with P. Schneider | Journal of Finance, 2019, Volume 74, Issue 1, 323-370

• Divergence and the Price of Uncertainty

  with P. Schneider | Journal of Financial Econometrics, 2019, Volume 17, Issue 3, 341-396

• Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

  with L. Camponovo and O. Scaillet | Journal of Financial Econometrics, 2017, Volume 15, Issue 3, 377-387

• When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

  with A. Buraschi and A. Vedolin | Journal of Finance, 2014, Volume 69, Issue 1, February, 101-137

• Economic Uncertainty, Disagreement, and Credit Markets

  with A. Buraschi and A. Vedolin | Management Science, 2014, Volume 60 Issue 5, 1281-1296

• When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns

  with A. Buraschi and R. Kosowski | Review of Financial Studies, 2014, 27 (2), 581-616

• Robust Subsampling

  with L. Camponovo and O. Scaillet | Journal of Econometrics, 2012, Volume 167, Issue 1, 197-210

• Higher Order Infinitesimal Robustness

  with D. La Vecchia and E. Ronchetti | Journal of the American Statistical Association, 2012, Volume 107, Issue 500, 1546-1557

• A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations

  with F. Audrino | Journal of Business and Economic Statistics, 2011, 138-149

• Robust Value at Risk Prediction

  with L. Mancini | Journal of Financial Econometrics, 2011, 281-313

• Infinitesimal Robustness for Diffusions

  with D. La Vecchia | Journal of the American Statistical Association, June 2010, 703-712

• Correlation Risk and Optimal Portfolio Choice

  with A. Buraschi and P. Porchia | Journal of Finance, February 2010, Volume 65, Issue 1, 393-420

• Ambiguity Aversion and the Term Structure of Interest Rates

  with P. Gagliardini and P. Porchia - Review of Financial Studies, October 2009, 22, 4157-4188

• Limits of Learning About a Categorical Latent Variable under Prior Near-Ignorance

  with A. Piatti, M. Hutter and M. Zaffalon | International Journal of Approximate Reasoning, April 2009, Volume 50, Issue 4, 597-611

• Multiperiod Mean-Variance Efficient Portfolios with Endogenous Liabilities

  with M. Leippold and P. Vanini | Quantitative Finance, October 2009, 1469-1488

• Learning and Asset Prices under Ambiguous Information

  with M. Leippold and P. Vanini | Review of Financial Studies, 2008, 21, 2565 - 2597

• Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility

  with A. Sbuelz | Journal of Economic Dynamics and Control, November 2008, Volume 32, Issue 11, 3695 - 3717

• Accurate Short Term Yield Curve Forecasting Using Functional Gradient Descent

  with F. Audrino | Journal of Financial Econometrics, Fall 2007, 5, 591 - 623

• Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

  with F. Audrino | Journal of Applied Econometrics, 2006, 21, 345 - 369

• Equilibrium Impact of Value-at-Risk Regulation

  with M. Leippold and P. Vanini | Journal of Economic Dynamics and Control, 2006, 30, 1277 - 1313

• Robust Efficient Method of Moments

  with C. Ortelli | Journal of Econometrics, 2005, 128, 69 - 97.

• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

  with L. Mancini and E. Ronchetti | Journal of the American Statistical Association, 2005, 100, 628 - 641

• Robust GMM Tests for Structural Breaks

  with P. Gagliardini and G. Urga | Journal of Econometrics, 2005, 129, 1-2, 139 - 182

• A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

  with M. Leippold and P. Vanini | Journal of Economic Dynamics and Control, 2004, Volume 28, 1079 - 1113

• Robustness and Ambiguity Aversion in General Equilibrium

  with P. Vanini | Review of Finance, 2004, 279 - 324.

• Robust GMM Analysis of Models for the Short Rate Process

  with R. Dell'Aquila and E. Ronchetti | Journal of Empirical Finance, 2003, 10, 373 - 397

• A Note on Robustness in Merton's Model of Intertemporal Consumption and Portfolio Choice

  with P. Vanini | Journal of Economic Dynamics and Control, 2002, 26, 423 - 435

• Robust Inference with GMM Estimators

  with Elvezio Ronchetti | Journal of Econometrics, Volume 101, Issue 1, March 2001, Pages 37-69

• Short-Term Volatility Timing Reduces Downside Risk

  with G. Barone Adesi and P. Gagliardini | International Journal of Finance, 2001, 13, Nr. 2, 1794 - 1825

Working papers

• The Global Factor Structure of Exchange Rates

  with S. Korsaye and A. Vedolin; Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC

• Smart Stochastic Discount Factors

  with S. Korsaye and A. Quaini | Work in progress

• Predictable Risks and Predictive Regression in Present Value Models

  with I. Piatti | Work in progress

• Fear Trading

  with P. Schneider; University of Lugano - Institute of Finance; Swiss Finance Institute

• Ambiguity and Reality

  with J. Wrampelmeyer and C. Wiehenkamp | Work in progress

• Predictability Hidden by Anomalous Observations

  with L. Camponovo and O. Scaillet | Work in progress

• Robust Resampling Methods for Time Series

  with L. Camponovo and O. Scaillet | Work in progress

• Variance Covariance Orders and Median Preserving Spreads

  with S. Malamud | Work in progress

• Asset Pricing with Matrix Jump Diffusions

  with M. Leippold | Work in progress

• Arbitrage Free Dispersion

  with P. Orlowski and A. Sali

Work in progress

• Information-Theoretic Recovery

  with S. Korsaye, A. Quaini and A. Vedolin | Work in progress

• Robust Implied Moments and Expected Return Bounds

  with O. Bondarenko and P. Schneider | Work in progress

• A General Machine Learning Approach for High-Dimensional Asset Pricing with Frictions

  with S. Scheidegger | Work in progress