Research

Publications

• Real Estate Returns and the Macroeconomy: Insights from Big Data in the U.S., Canada, and the U.K, 2026, with J. Díaz and E. Hansen. The Journal of Real Estate Finance and Economics, Forthcoming.

• Forecasting the Volatility of U.S. Oil and Gas Firms with Machine Learning, 2025, with J. Díaz and E. Hansen. Journal of Forecasting, vol. 44, p.1383-1402.

  ⤓ Lyócsa and Todorova’s Original Data   ⤓ Sample (up to 2019)

• Time-Varying Risk Aversion and International Stock Returns, 2025, with M. Guidolin and E. Hansen. The North American Journal of Economics and Finance, vol. 75, p.102271.

  ⤓ Working Paper

• Machine-Learning Stock Market Volatility: Predictability, Drivers, and Economic Value, 2024, with J. Díaz and E. Hansen. International Review of Financial Analysis, vol. 94, p.103286.

  ⤓ Long Data (up to 2019)   ⤓ Short Data (up to 2019)

• Gold Risk Premium Estimation with Machine Learning Methods, 2023, with J. Díaz and E. Hansen. Journal of Commodity Markets, vol. 31, p. 100293.

  ⤓ Original Data (up to 2019)

• Economic Drivers of Commodity Volatility: The Case of Copper, 2021, with J. Díaz and E. Hansen. Resources Policy, vol. 73, p. 102224.

  ⤓ Sample (up to 2020)

• A Random Walk Through The Trees: Forecasting Copper Prices Using Decision Learning Methods, 2020, with J. Díaz and E. Hansen. Resources Policy, vol. 69, p. 101859.

  ⤓ Sample (up to 2020)

Working Papers

• Strategic Competition Timing of Voluntary Disclosure: Evidence from Analyst/Investor Days, with O. Kolokolova and S. Sarah Zhang.

  Latest draft Dec 2025

Work-in-Progress

• Save The Date: Analyst/Investor Days as a Trading Signal, with O. Kolokolova and S. Sarah Zhang.

• Price Discovery Around Voluntary Disclosure Events, with O. Kolokolova and S. Sarah Zhang.