Research areas
- Term structure of interest rates
- Fixed-income asset pricing
- Regime-switching models
- Volatility risk premium
Key papers
- bansal-zhou-2002-term-structure-regime-shifts — Term Structure of Interest Rates with Regime Shifts (Journal of Finance, with Ravi Bansal)
Recent work
- Continued work on volatility risk premium and macro-finance linkages.
Collaborators
- ravi-bansal (term structure, regime switching)
My notes
Co-author of the canonical regime-switching CIR term-structure paper that the CRE project’s architecture references directly. Importance score 4: highly cited in fixed income and macro-finance, currently at PBC School of Finance after a long career at the Federal Reserve Board.