- New York University , New York, NY. Ph.D. in Economics, September 2006;
Università commerciale L. Bocconi , Milan, Italy.
- M.A. in Economics, July 2001;
- B.A. in Economics, October 2000;
University of California San Diego , San Diego, CA;
- Visiting Scholar: Spring 1999, Summers 2003 and 2004.
- Assistant Professor of Finance , University of North Carolina at Chapel Hill, Kenan-Flagler Business School (July 2006 - present)
- Assistant Professor of Finance, New York University, Leonard Stern School of Business, Department of Finance (Sep/07 – May/08)
- Visiting Scholar, Federal Reserve Bank of Minneapolis (August 2007)
- International Asset Pricing with Recursive Preferences
Journal of Finance, forthcoming. (with M.M. Croce)
- ’O Sole Mio. An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions
Review of Financial Studies, forthcoming. (with A. Bassi and Paolo Fulghieri)
- International Robust Disagreement
American Economic Review, 2012, 102(3), 152-55. (with M.M. Croce)
- A component model for dynamic correlations
Journal of Econometrics, 2011,164(1), 45-59. (with R. Engle and E. Ghysels)
- Risks for the long run and the real exchange rate
Journal of Political Economy, 2011, 119(1), 153–181. (with M.M. Croce)
- The Short- and Long-Run Beneﬁts of Financial Integration
American Economic Review, 2010, 100(2), 527-31. (with M.M. Croce)
- Term structure of risk, the role of Known and Unknown Risks and Non-stationary Distributions
The Known, the Unknown and the Unknowable in Financial Risk Management, 2010, edited by Francis X. Diebold, Neil A. Doherty, Richard J. Herring. Princeton University Press. (with R.F. Engle)
Robusteness and US Monetary Policy Experimentation
Journal of Money, Credit, and Banking, 2008, 40(8), 1599-1623. (with T.Cogley, L.P.Hansen, and T.J.Sargent)
Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas
Journal of Money, Credit, and Banking, 2007, 39(2), 67-100. (with T. Cogley and T. Sargent)
Testing and valuing dynamic correlations for asset allocation
Journal of Business and Economic Statistics, 2006, 24(2), 238-253. (with R.F. Engle)
Selected Working papers
- Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory
Latest draft: 8/2012. (with Eric Ghysels and J. Meng)
- Someone likes it skewed: an experimental analysis of Skewness and Risk Aversion
Latest draft: 11/2012 (with Anna Bassi and Paolo Fulghieri)
- BKK the EZ way: an International Production Economy with Recursive Preferences
Latest draft: 11/2012.(with Max Croce, Steven Ho, and Philip Howard)
- TARP: a Threshold Auto-Regressive asset Pricing model
Latest draft: in progress. (with Eric Ghysels and H. Ru)
- Recursive allocations and wealth distribution with multiple goods: existence, survivorship, and dynamics.
Latest draft: 7/2011. (with M.M. Croce)
- Six anomalies looking for a model. A consumption based explanation of international finance puzzles
Latest draft: 1/2009.
- On the existence of the exchange rate when agents have complete home bias and non-time separable preferences Latest draft: 11/2006.
RefereeB.E. Journal of Macroeconomics, Economic Letters, Finance Research Letters, Journal of Economic Dynamics and Control, Journal of Finance, Journal of Financial Econometrics, Journal of International Economics, Journal of Monetary Economics, Journal of Money Credit and Banking, Journal of Political Economy, Management Science, Quantitative Finance, Review of Economic Dynamics, Studies in Nonlinear Dynamics & Econometrics, American Economic Review, Journal of International Money and Finance, Review of Financial Studies, Research Grants Council (RGC) of Hong Kong, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Journal of Economic Theory.
Grants, honors, and awards
- Morgan Stanley, Equity Market Microstructure Research Grant (with Eric Ghysels), 2007.
- McCracken Fellowship (September 2001 – April 2006).
- Fondazione Invernizzi Fellowship (September 2000 - June 2001).
- B.A. in Economics summa cum laude.
- Provost's honors at UCSD.
Invited seminars and conference presentations
- 2012-2013, Federal Reserve Bank of Saint Louis, Asset Pricing and Portfolio Allocation in the Long-Run (Rio de Janeiro, Brazil), Annual Meeting of the American Finance Association (San Diego, CA), Annual Meeting of the Society for Economic Dynamics (Seoul, Korea).
- 2011-2012, UCLA (Anderson), University of Southern California (Marshall), Conference in honor of Tom Sargent's Nobel Prize (NYU), University of Wisconsin, Madison (Econ), Virginia Commonwealth University (Econ), Macroeconomics of Risk and Uncertainty workshop (Central Bank of Chile, Santiago), SFS Finance Cavalcade (Virginia), Society fr Economic Dynamics (Cyprus).
- 2010-2011, MIT (Sloan), Boston University (Finance), University of Minnesota (Finance), Federal Reserve Bank of Kansas City, AEA Annual Meeting (Denver, CO), SFS Finance Cavalcade (University of Michigan).
- 2009-2010, New York University (Economics), Carnegie Mellon University (Finance), Annual Meeting of the American Economic Association (Atlanta, GA), Western Finance Association (Victoria, Canada), Annual Meeting of the Society for Economic Dynamics (Montreal, Canada), Econometric Society World Congress (shangai, China).
- 2008-2009, Italian Congress of Econometrics and Empirical Economics (Ancona, Italy, January 2009), Summer Meeting of the Econometric Society (Boston, MA, June 2009), Infiniti Conference on International Finance (Trinity College, Dublin, Ireland, June 2009), Annual Meeting of the Society for Economic Dynamics (Istanbul, Turkey, July 2009).
- 2007-2008, UNC (Finance), NYU (Finance), Society for Economic Dynamics, annual meeting (Cambridge, MA, July 2008), European Economic Association, annual meeting (Milan, Italy, August 2008).
- 2006-2007, Duke (Finance), University of Minnesota (Economics), North American Meeting of the Econometric Society (Durham, NC, June 2007), International Symposium on Financial Engineering and Risk Management (Beijing, June 2007).
- 2005-2006, NYU (Economics), Washington University in St. Louis (Economics), Columbia University (Economics), Federal Reserve Bank of New York, Fordham University (Business school), University of Rochester (Simon School), Federal Reserve Board, Federal Reserve Bank of St. Louis, Universitat Pompeu Fabra and CREI, Washington University (Olin School of Business), University of North Carolina at Chapel Hill (Kenan-Flagler School of Business), UCSD (Economics), Bank of Canada, SUNY Albany (Economics), UCLA (Economics), NBER Asset Pricing Program (Chicago, March 2006), Conference on Quantitative Evidence on Price Determination, hosted jointly by the Federal Reserve Board of Governors and the Journal of Money Credit and Banking (Washington D.C., USA. September 2005), University of Chicago - New York University joint workshop (New York, USA. September 2005).
- 2004-2005, Econometric Society World Congress (London, UK. August 2005), Society for Economic Dynamics Annual Meeting (Budapest, Hungary. June 2005), New York University -Bocconi joint workshop (La Pietra, Firenze, Italy. June 2005), The Seventh Annual Financial Econometrics Conference (Waterloo, Canada. March 2005), American Economic Association Annual Meeting (Philadelphia, USA. January 2005), Conference on Dynamic Stochastic General Equilibrium Models, (IMF, Washington D.C., April 2004).
- 2003-2004, NYU (Finance).
- `Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes', by T. Cogley, T. Sargent, and V. Tsyrennikov. Annual Meeting of the American Economic Association, Chicago, January 2012.
- `Robustly Optimal Monetary Policy in a Microfounded Model', by K. Adam and M. Woodford. "Information, Beliefs and Economic Policy", European Central Bank, Frankfurt, December 2011.
- ‘A sentiment-based explanation of the forward premium puzzle’, by J. Yu. Annual Meeting of the Western Finance Association, Santa Fe, June 2011.
- ‘FX Comovements: Disentangling the Role of Market Factors, Carry-Trades and Idiosyncratic Components’, by J.G.Rangel. Monetary policy, financial stability and the business cycle, Bank of Canada, Ottawa, May 2011.
- ‘Long and Short Run Correlation Risk in Stock Returns’, by M. Cosemans. Econometric Society Winter Meetings, Denver, January 2011.
- ‘Common Risk Factors in Currency Markets’, by H. Lustig, N. Roussanov, and A. Verdelhan. American Finance Association, Atlanta, January 2010.
- ‘Global Liquidity, Asset Prices and Monetary Policy: A GVAR Perspective’, by Julia V. Giese and Christin K. Tuxen. Infiniti Conference, Trinity College, Dublin, June 2009.
- ‘Deep Habits and the Cross Section of Expected Returns’, by Jules H. van Binsbergen. American Finance Association, San Francisco, January 2009.
- ‘Housing as a Measure for Long-Run Risk in Asset Pricing’, by J. Fillat. American Finance Association, San Francisco, January 2009.
- ‘Learning, Long-Run Risks and Asset Price Jumps’, by R. Bansal and Ivan Shaliastovich. American Economic Association, New Orleans, January 2008.
- ‘Long Run Asset Allocation’, by R. Bansal and D. Kiku. Western Finance Association, Big Sky, June 2007.
Other Activities and Professional Service
- Committee Member: 2011 Annual Meeting of the Western Finance Association (WFA)
- Committee Member [2011--2013]: Annual Meeting of the Society for Financial Econometrics (SoFiE)
- Committee Member: [2012--2013] Annual Meeting of the Society for Economic Dynamics (SED)
- Chair of the session ``Asset Pricing in the Long-Run'': 2009 Annual Meeting of the Western Finance Association
- Chair of the session ``International Financial Markets'': 2012 Duke/UNC Asset Pricing Conference
- `Investments’, undergraduate, UNC at Chapel Hill, Kenan-Flagler Business School
- Spring 2007, 2009-2012.
- `Investments’, MBA, UNC at Chapel Hill, Kenan-Flagler Business School
- Spring 2009-2012.
- `Consumption Based Asset Pricing’, PhD, UNC at Chapel Hill, Kenan-Flagler Business School
- Spring 2010-2012.
- `Foundations of Financial Markets’, undergraduate, NYU, Stern School of Business
- Fall 2007.