Recent Papers
"Time-Varying Arrival Rates of Informed and Uninformed Trades," with David Easley, Maureen O'Hara, Liuren Wu. Journal of Financial Econometrics, Forthcoming, (2008) PDF
"ARCH/GARCH Models in Applied Financial Econometris," (with Sergio M. Focardi and Frank J. Fabozzi), Chapter in Handbook Series in Finance by Frank J. Fabozzi, John Wiley and Sons, (2008) PDF
"The Underlying Dynamics of Credit Correlations," (with Arthur Berd and Artem Voronov), Journal of Credit Risk (2007), Vol. 3, N2: 27-62 PDF
"Execution Risk," (with Robert Ferstenberg) Journal of Portfolio Management, Winter (2007), V33, I2, pp.34-45 PDF
"CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," (with Simone Manganelli), Journal of Business and Economic Statistics. (2007), Vol. 25 PDF
"Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions," (with Riccardo Colacito) Forthcoming in the book edited by Francis X. Diebold : The Known and the Unknowable in Financial Risk Management, (2007) PDF
"Are Exchange Traded Funds Fairly Priced?" (with Debojyoti Sarkar) Institutional Investor, Fifth Anniversary Issue, (2006) PDF
"The Spline-GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," (with J. Gonzalo Rangel), (2006). Working Paper No. SC-CFE-04-05, forthcoming Review of Financial Studies PDF
"A GARCH Option Pricing Model with Filtered Historical Simulation," (with Giovanni Barone-Adesi and Loriano Mancini), forthcoming Review of Financial Studies 2007 PDF
Working Papers
"Dynamic Equicorrelation," (with Bryan Kelly), 2008 Paper
"Investigating ICAPM with Dynamic Conditional Correlations," (with Turan Bali) 2007 PDF
"High Dimension Dynamic Correlations," Prepared for a Festschrift for David Hendry, Oxford University, 2007 PDF
"When is Noise Not Noise - A Microstructure Estimate of Realized Volatility," (with Zheng Sun), 2007 PDF
"Fitting and Testing Vast Dimensional Time-Varying Covariance Models," (with Kevin Sheppard and Neil Sheppard), 2007 PDF
"Measuring and Modeling Execution Cost and Risk," (with Jeffrey Russell), 2007 PDF
"Vector Multiplicative Error Models: Representation and Inference," (with Fabrizio Cipollini and Giampiero M. Gallo) NBER Working Paper No. 0331, 2006 PDF
"Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness," (with Abhishek Mistry), 2007 PDF
"High Frequency Multiplicative Component GARCH," (with Magdalena E. Sokalska and Ananda Chanda), Working Paper No. SC-CFE-05-05, 2005 PDF
"Forecasting Variance of Variance: The Square-root, the Affine and the CEV GARCH Models," with Isao Ishida - under revision PDF