His research interests are in the areas of asset pricing and macroeconomics.
He is well known for his work on Epstein–Zin preferences which provide a recursive specification of a utility function which separates the elasticity of intertemporal substitution from the coefficient of relative risk aversion.
Previously, from 1988 to 2009 he was the Richard M. Cyert and Morris H. DeGroot Professor of Economics and Statistics at the David A. Tepper School of Business (previously the Graduate School of Industrial Administration) at Carnegie Mellon University, and is a research associate at the National Bureau of Economic Research.
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