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Journal Article
Journal of Econometrics, ISSN 0304-4076, 02/2020, Volume 214, Issue 2, pp. 326 - 348
This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives... 
Asymmetric information | VIX derivative | Economic uncertainty | Implied variance | Illiquidity | HEDGING PRESSURE | LIQUIDITY | PRICE | OPTION VOLUME | RISK | IMPLIED VOLATILITY | STOCHASTIC VOLATILITY | MODEL | STOCK | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | UNIT-ROOT | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Financial management | Derivatives (Financial instruments)
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 12/2014, Volume 114, Issue 3, pp. 576 - 599
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of... 
Jump variation | Realized variation | High-frequency data | Microstructure noise | Pre-averaging | FINANCIAL-MARKETS | STOCHASTIC VOLATILITY | IMPLICIT | LEVERAGE | STOCK-PRICES | BUSINESS, FINANCE | REALIZED VARIANCE | MODELS | DIFFUSION | ECONOMICS | EXCHANGE | Foreign exchange | Futures market
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2018, Volume 127, Issue 1, pp. 21 - 50
We find new facts that relate the evolution of firm scope to the changing frictions in external capital markets over the last three decades. We find that... 
Firm boundaries | Conglomerates | Theory of firm | Internal capital markets | Diversification | RESOURCES | INDUSTRY | FIRMS | POWER | INEFFICIENT INVESTMENT | DISCOUNT | BUSINESS, FINANCE | INTERNAL CAPITAL-MARKETS | MERGER WAVES | DEREGULATION | ECONOMICS | ACQUISITIONS | Cash flow | Business schools | Capital market
Journal Article
Review of Quantitative Finance and Accounting, ISSN 0924-865X, 1/2016, Volume 46, Issue 1, pp. 1 - 24
We examine differences in price delay for a sample of real estate investment trust (REIT) and non-REIT matched pairs. Results suggest an economically and... 
Corporate Finance | Price efficiency | Finance | Accounting/Auditing | REIT | G12 | Operation Research/Decision Theory | Econometrics | G19 | Price delay | Economic aspects | Risk (Economics) | Real estate investment trusts | Securities | Analysis | Pricing | Studies | Pricing policies | REITs
Journal Article
Macroeconomic Dynamics, ISSN 1365-1005, 06/2019, Volume 23, Issue 4, pp. 1401 - 1441
Two essential imperfections determine the degree of the financial sector development in an economy: lending frictions, which constrain the ability to extend... 
financial frictions | long-term investment | secondary markets | Secondary Markets | Financial Frictions | Long-Term Investment | LIQUIDITY | INDUSTRY | INTERMEDIATION | CHOICE | TOO | SECONDARY CAPITAL-MARKETS | BANKS | STOCK MARKETS | ECONOMICS | ECONOMIC-GROWTH
Journal Article
SIAM Journal on Control and Optimization, ISSN 0363-0129, 2018, Volume 56, Issue 3, pp. 1912 - 1937
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a linearity-type condition the problem admits... 
Financial markets with friction | Utility maximization | Robust optimization | MATHEMATICS, APPLIED | financial markets with friction | utility maximization | PROPORTIONAL TRANSACTION COSTS | THEOREM | INFORMATION | robust optimization | DUALITY | OPTIMIZATION | ARBITRAGE | MODEL UNCERTAINTY | AUTOMATION & CONTROL SYSTEMS
Journal Article
Journal of Monetary Economics, ISSN 0304-3932, 11/2019, Volume 107, pp. 63 - 76
•Cross-country differences in entrepreneurship are explained by self-employment differences.•Develop a model that distinguishes between self-employed... 
Employers | Self-employed | Financial frictions | Entrepreneurs | TFP | Inequality | BUSINESS, FINANCE | RETURNS | BUSINESS | ECONOMICS | ENTREPRENEURSHIP | Businesspeople | Career choice | Analysis | Entrepreneurship | Equality | Gross domestic product
Journal Article
Journal of International Economics, ISSN 0022-1996, 05/2019, Volume 118, pp. 283 - 291
In this study, I build a two-country DSGE model to investigate the impact of financial integration on business cycle co-movements with financial frictions. In... 
Financial frictions | Business cycle co-movement | Financial integration | TRANSMISSION | ECONOMICS | Shock | Prices and rates | Business cycles | Analysis | Foreign exchange
Journal Article
The Journal of Finance, ISSN 0022-1082, 12/2019, Volume 74, Issue 6, pp. 3217 - 3257
ABSTRACT We empirically study whether systematic over‐the‐counter (OTC) market frictions drive the large unexplained common factor in yield spread changes.... 
Business schools | Corporate bonds | Financial markets | Marketing research | Conferences and conventions | Financial disclosure | Economic models | Equity indexed annuities | Bargaining | Markets | Inventory | Power | Over the counter sales
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 03/2017, Volume 41, pp. 116 - 117
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 12/2016, Volume 73, pp. 200 - 219
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE)... 
Stochastic Volatility | Third-order approximation | Financial frictions | Perturbation Methods | Uncertainty Shocks | CREDIT | DEMAND | IMPACT | DSGE MODEL | MONETARY-POLICY | RISK | ECONOMICS | Economic aspects | Monetary policy | Central banks
Journal Article
Economic Modelling, ISSN 0264-9993, 10/2019
Journal Article
Journal of Development Economics, ISSN 0304-3878, 09/2018, Volume 134, pp. 248 - 271
Using cross-country micro establishment-level data we document that crime and lack of access to finance are two major obstacles to business operation in poor... 
Establishments | Micro data | Misallocation | Rule of law | Financial frictions | Crime | MANAGEMENT | COUNTRIES | INTERMEDIATION | AGGREGATE PRODUCTIVITY | FIRMS | ECONOMIC-DEVELOPMENT | PROPERTY-RIGHTS | GROWTH | INVESTMENT | ECONOMICS
Journal Article
The Review of Economic Studies, ISSN 0034-6527, 01/2018, Volume 85, Issue 1, pp. 352 - 395
Abstract This article characterizes the efficiency properties of competitive economies with financial constraints, in which phenomena such as fire sales and... 
D62 | LIQUIDITY | E44 | MARKETS | Financial amplification | G21 | Systemic risk | INEFFICIENT INVESTMENT | G28 | DEBT | POLICIES | EQUILIBRIUM | Macro-prudential regulation | Pecuniary externalities | ECONOMICS | Fire sales | CRISES
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 09/2019, Volume 51, Issue 6, pp. 1581 - 1621
The Great Moderation was accompanied by an increase in financial volatility. We explore the sources of these divergent patterns in volatilities by estimating a... 
C11 | C13 | E44 | structural breaks | Bayesian methods | E32 | financial frictions | financial shocks | cyclical volatilities | CREDIT | DISTRESS | MONETARY-POLICY | RISK | BUSINESS, FINANCE | COSTS | ECONOMICS | Forecasts and trends | Financial services industry | Analysis | Volatility (Finance) | Monetary policy | Economic models | Vulnerability | Volatility | Moderation | Economic crisis
Journal Article
Empirical Economics, ISSN 0377-7332, 9/2016, Volume 51, Issue 2, pp. 547 - 575
Journal Article
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