| November 2006 | Vector Multiplicative Error Models: Representation and Inference
with Fabrizio Cipollini, Giampiero M. Gallo: t0331
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| Vector Multiplicative Error Models: Representation and Inference
with Fabrizio Cipollini, Giampiero M. Gallo: w12690
|
| April 2006 | Execution Risk
with Robert Ferstenberg: w12165
|
| November 2003 | A Multiple Indicators Model for Volatility Using Intra-Daily Data
with Giampiero M. Gallo: w10117
|
| October 2001 | Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
with Kevin Sheppard: w8554
|
| September 1999 | Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
with Young-Hye Cho: w7330
|
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market
with Young-Hye Cho: w7331
|
| CAViaR: Conditional Value at Risk by Quantile Regression
with Simone Manganelli: w7341
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| October 1997 | Option Hedging Using Empirical Pricing Kernels
with Joshua V. Rosenberg: w6222
|
| August 1997 | Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
with Joe Lange: w6129
|
| November 1996 | The Econometrics of Ultra-High Frequency Data
w5816
|
| May 1995 | GARCH Gamma
with Joshua V. Rosenberg: w5128
|
| December 1994 | Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
with Joshua Rosenberg: w4958
|
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model
with Jeffrey R. Russell: w4966
|
| November 1993 | Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
with Alex Kane, Jaesun Noh: w4519
|
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
with Jaesun Noh, Alex Kane: w4520
|
| Estimating Sectoral Cycles Using Cointegration and Common Features
with Joao Victor Issler: w4529
|
| September 1992 | Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination
with Takatoshi Ito, Wen-Ling Lin: w3504
|
| November 1991 | Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns
with Wen-Ling Lin, Takatoshi Ito: w3911
|
| April 1991 | Measuring and Testing the Impact of News on Volatility
with Victor K. Ng: w3681
|
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure
with Victor K. Ng: w3682
|
| March 1991 | Measuring Risk Aversion From Excess Returns on a Stock Index
with Ray Chou, Alex Kane: w3643
|
| February 1991 | Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
with Takatoshi Ito, Wen-Ling Lin: w2609
|
| October 1990 | Testing For Common Features
with Sharon Kozicki: t0091
|
| May 1990 | Valuation of Variance Forecast with Simulated Option Markets
with Che-Hsiung Hong, Alex Kane: w3350
|
| March 1990 | Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
with Scott J. Brown, N. Edward Coulson: w3291
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| November 1988 | Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills
with Victor Ng, Michael Rothschild: t0065
|
| 1980 | Hypothesis Testing in Spectral Regression; the Lagrange Multiplier Test as a Regression Diagnostic
in Evaluation of Econometric Models, Jan Kmenta and James B. Ramsey, eds.
|
| 1979 | Estimating Structural Models of Seasonality
in Seasonal Analysis of Economic Time Series, Arnold Zellner, ed.
|
| 1978 | Simultaneous Estimation of the Supply and Demand for Housing Location in a Multizoned Metropolitan Area
with Katharine Bradbury, Owen Irvine, Jerome Rothenberg
in Residential Location and Urban Housing Markets, Gregory K. Ingram
|
| 1976 | INTERPRETING SPECTRAL ANALYSES IN TERMS OF TIME-DOMAIN MODELS
in Annals of Economic and Social Measurement, Volume 5, number 1, Sanford V. Berg, editor
|
| April 1974 | Interpreting Spectral Analyses in Terms of Time-Domain Models
w0037
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