Massimiliano De Santis 

Demystifying the Equity Premium BE Journal of Macroeconomics (2010)

Individual Consumption Risk and the Welfare Cost of Business Cycles, American Economic Review (2007)

Movements in the Equity Premium: Evidence from a Time-varying VAR, Studies in Nonlinear Dynamics and Econometrics (2007) 

Work In Progress:

Irreversible Investment and Excess Volatility of Equity Returns (2010, E-mail for preliminary draft)

Growth, Volatility, and Implications for Portfolio Selection

A Measure of Uncertainty and Aversion to Risky Investments