Working Papers

  • “Structural GARCH: The Volatility Leverage Connection,” (with Emil Siriwardane), (October 2013)
  • “Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights,” (with Viral Acharya and Diane Pierret) Social Science Research Network (SSRN) (2013) Accepted for Carnegie-Rochester Conference, November 2013, Forthcoming in Journal of Monetary Economics.
  • "The Conditional CAPM Explains the Value Premium," (with Turan G. Bali) Social Science Research Network (SSRN) (November 2012)
  • “Dynamic Conditional Beta,” (June 2012) Social Science Research Network (SSRN)
  •  “Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models,” (with Michael Fleming, Eric Ghysels, and Giang Nguyen), (June 2012)
  • “And Now, The Rest of the News: Volatility and Firm Specific News Arrival,” (with Martin K. Hansen and Asger Lunde), (March 2012)
  • "Volatility, Correlation and Tails for Systemic Risk Measurement," (with Christian T. Brownlees), (2011)
  • "When Is Noise Not Noise – A Microstructure Estimate of Realized Volatility," (with Zheng Sun) (2007)
  • "Fitting and Testing Vast Dimensional Time-Varying Covariance Models," (with Kevin Sheppard and Neil Sheppard) (2007)
  • "Forecasting Variance of Variance: The Square-root, the Affine and the CEV GARCH Models," with Isao Ishida - under revision
  • "Theoretical Properties of Dynamic Conditional Correlation Multivariate GARCH," (with Kevin Sheppard) (2005)
  • "Evaluating the Specification of Covariance Models for Large Portfolios," (with Kevin Sheppard) (2005)
  • "Time-Varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks," (with Young-Hye Cho) - under revision
  • "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," (with Young-Hye Cho) - under revision
  • "Macroeconomic Announcements and Volatility of Treasury Futures," (with Li Li) - under revision
  • "Conditional Volatility of Exchange Rates Under a Target Zone," (with Yin-Feng Gau) - under revision