Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks, (with Scott Joslin and Marcel Priebsch). Journal of Finance, Vol. 69, no. 3, June 2014, 1197–1233.
Investor Flows and the 2008 Boom/Bust in Oil Prices, (with ). Management Science, Vol. 60, No. 2, February 2014, 300-318.
Gaussian Macro-Finance Term Structure Models with Lags, (with Scott Joslin and Anh Lee). Journal of Financial Econometrics, Vol. 11, No. 4, Fall 2013, 581-609.
Why Gaussian Macro-Finance Term Structure Models are (Nearly) Unconstrained Factor-VARs, (with Scott Joslin and Anh Le). Journal of Financial Economics, Vol. 109, No. 3, September 2013, 604–622.
Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields, (with Don Kim). Journal of Econometrics, Vol. 170, No. 1, September 2012, 32–49.
Estimation and Evaluation of Conditional Asset Pricing Models, (with Stefan Nagel). Journal of Finance, Vol. 66, No. 3, June 2011, 873–909. Supplement
How Sovereign Is Sovereign Credit Risk?, (with Francis Longstaff, Jun Pan, and Lasse Pedersen). American Economic Journal: Macroeconomics, Vol. 3, No. 2, April 2011, 75-103.
A New Perspective on Gaussian Dynamic Term Structure Models, (with Scott Joslin and Haoxiang Zhu). Review of Financial Studies, Vol. 24, 2011, 926-970. Supplement
An Equilibrium Term Structure Model with Recursive Preferences, (with Anh Le). American Economic Review, Papers and Proceedings, May 2010.
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk, (with Anh Le and Qiang Dai). Review of Financial Studies, Vol. 23, No. 5, 2010, 2184-2227.