| September 2009 | Systemic Risk and the Refinancing Ratchet Effect
with Amir E. Khandani, Robert C. Merton: w15362
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| December 2008 | Impossible Frontiers
with Thomas J. Brennan: w14525
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| November 2008 | What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
with Amir E. Khandani: w14465
|
| January 2007 | Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|
| April 2005 | Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
with Dmitry V. Repin, Brett N. Steenbarger: w11243
|
| March 2005 | Systemic Risk and Hedge Funds
with Nicholas Chan, Mila Getmansky, Shane M. Haas: w11200
|
| March 2003 | An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
with Mila Getmansky, Igor Makarov: w9571
|
| October 2001 | The Psychophysiology of Real-Time Financial Risk Processing
with Dmitry V. Repin: w8508
|
| Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model
with Jiang Wang: w8565
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| May 2001 | Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky, Jiang Wang: w8311
|
| March 2000 | Nonparametric Risk Management and Implied Risk Aversion
with Yacine Ait-Sahalia: w6130
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| Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Harry Mamaysky, Jiang Wang: w7613
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| Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
with Jiang W. Wang: w7625
|
| November 1997 | Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
with Dimitris Bertsimas, Leonid Kogan: w6250
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| Econometric Models of Limit-Order Executions
with A. Craig MacKinlay, June Zhang: w6257
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| November 1995 | Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Yacine Ait-Sahalia: w5351
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| February 1995 | A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
with James M. Hutchinson, Tomaso Poggio: w4718
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| Maximizing Predictability in the Stock and Bond Markets
with A. Craig MacKinlay: w5027
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| April 1994 | Implementing Option Pricing Models When Asset Returns Are Predictable
with Jiang Wang: w4720
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| October 1991 | An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, A. Craig MacKinlay: w3888
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| March 1991 | Data-Snooping Biases in Tests of Financial Asset Pricing Models
with A. Craig MacKinlay: w3001
|
| February 1991 | An Econometric Analysis of Nonsynchronous Trading
with A. Craig MacKinlay: w2960
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| When are Contrarian Profits Due to Stock Market Overreaction?
with A. Craig MacKinlay: w2977
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| May 1989 | Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with A. Craig MacKinlay: w2168
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| Long-term Memory in Stock Market Prices
w2984
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| April 1989 | The Sources and Nature of Long-term Memory in the Business Cycle
with Joseph G. Haubrich: w2951
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| June 1988 | The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with A. Craig MacKinlay: t0066
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| August 1986 | Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
t0059
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