Surveying Generative AI’s Economic Expectations
This version: April 2023
[Abstract] [PDF] [ArXiv] [SSRN]

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text
(with Bryan Kelly and Yinan Su)
Review of Financial Studies
This version: May 2023
[Abstract] [PDF] [RFS] [SSRN] [Code] [Data]

Business News and Business Cycles
(with Bryan Kelly, Asaf Manela, and Dacheng Xiu)
Forthcoming at Journal of Finance
This version: April 2023
[Abstract] [PDF] [NBER] [SSRN] [Data]

Macro-based Factors for the Cross-Section of Currency Returns
(with Leandro Gomes and Joao Valente)
This version: May 2023
[Abstract] [PDF] [SSRN] [Code]

Change-point Computation for Large Graphical Models: A Scalable Algorithm for Gaussian Graphical Models with Change-points
(with Yves Atchadé)
Journal of Machine Learning Research
This version: January 2018
[Abstract] [PDF] [JMLR] [Code]