• " Aggregation of Preferences for Skewed Asset Returns, " June 2014 (with Dietmar Leisen and Eric Renault). Journal of Economic Theory, 154 (2014) 453-489

  • "Variance bounds on the permanent and transitory components of stochastic discount factors" (with Gurdip Bakshi),  Journal of Financial Economics, Vol. 105, No. 1 July 2012, pp. 191–208.

  • "Pricing Kernels with Stochastic Skewness and Volatility Risk,"; Management Science, Vol. 58, No. 3, March 2012, pp. 624-640. Online Appendix

  • "A Generalized Measure of Riskiness" (with Turan Bali and Nusret Cakici), "  Management Science, Vol. 57, No. 8, August 2011, pp. 1406–1423.

  • "Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence"The Review of Financial Studies, 2008, 21 (1): 181-231.

  • "State Dependence Can Explain Risk-Aversion Puzzle" (with René Garcia, and Eric Renault) The Review of Financial Studies, 2008, 21 (2): 973-1011.

  • "Explaining the Idiosyncratic Volatility Puzzle using Stochastic Discount Factors."  Journal of Banking and Finance, 2011, vol. 35, 1971-1983.

    Selected recent working Papers and papers under review

  • "Crash Sensitivity and the Cross-Section of Expected Stock Returns," June 2014 (with Stefan Ruenzi and Florian Weigert). Online Appendix

  • " The Term Structure of Co-Entropy in International Financial Markets " , September 2013 (with Riccardo Colacito)

  • "New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models," May 2014 (with Gurdip Bakshi).

  • "A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium" , Revised May 2013 (with Turan Bali and Nusret Cakici).