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Identification of Maximal Affine Term Structure Models
forthcoming in the Journal of Finance, with Pierre Collin-Dufresne and
Bob Goldstein. |
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Abstract |
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Nonlinear Factor Analysis of S&P 500 Index Option Returns
Journal of Finance 41: 2325-2363 (2006) |
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Volatility Forecasting with Range-Based EGARCH Models
Journal of Business and Economic Statistics 24: 470-486
(2006), with Michael Brandt |
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Mutual Fund Performance with Learning Across Funds
Journal of Financial Economics 78: 507-552 (2005), with
Jay Shanken |
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Bayesian Range-Based Estimation of Stochastic Volatility Models
Finance Research Letters 2: 201-209 (2005), with Michael
Brandt |
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Nonlinear Mean Reversion in the Short-Term Interest Rate
Review of Financial Studies 16: 793-843 (2003) |
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The Dynamics of Stochastic Volatility: Evidence from Underlying
and Options Markets
Journal of Econometrics 116: 181-224 (2003) |
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Extracting Factors from Heteroskedastic Asset Returns
Journal of Financial Economics 62:, 293-325 (2001) |
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Programs and Sample Data |
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The Predictive Failure of the Baba, Hendry and Starr Model of M1
Journal of Economics and Business 50: 477-507 (1998),
with Gregory Hess and Richard Porter |
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The Interest Sensitivity of Wealth in the Life Cycle Model
Economics Letters 46: 321-325 (1994) |
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