Working Papers

• A stochastic monetary policy asset pricing model (with Harjoat Bhamra)

• The econometrics of portfolio sorts (with Walter Distaso and Valentina Corradi)

Other Projects

• Forecasting the auction price of collateralized NPLs: leveraging machine learning and the real-time macroeconomic dataflow (with Damiano Brigo, Walter Distaso, and Filippo Pellegrino)

• Forecasting the volatility of treasury futures using machine learning (with Deutsche Bank)