Asset Pricing Theories, Models, and Tests
with Nikolay Gospodinov, 2013, in Portfolio Theory and Management, H. Kent Baker, Greg Filbeck, eds., Chapter 3, pp. 46-72, Oxford University Press.
Research
Further Results on the Limiting Distribution of GMM Sample Moment Conditions
with Nikolay Gospodinov and Raymond Kan, 2012, Journal of Business and Economic Statistics 30, pp. 494-504.
Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions
with Raymond Kan, 2012, in Handbook of Computational Finance, Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle, eds., Chapter 9, pp. 223-251, Springer.
On the Estimation of Asset Pricing Models Using Univariate Betas
with Raymond Kan, 2011, Economics Letters 110, pp. 117-121.
Asset Pricing Models and Economic Risk Premia: A Decomposition
with Pierluigi Balduzzi, 2010, Journal of Empirical Finance 17, pp. 54-80.
Model Comparison Using the Hansen-Jagannathan Distance
with Raymond Kan, 2009, Review of Financial Studies 22, pp. 3449-3490.
Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models
with Pierluigi Balduzzi, 2008, Journal of Business and Economic Statistics 26, pp. 354-368.
Specification Tests of Asset Pricing Models Using Excess Returns
with Raymond Kan, 2008, Journal of Empirical Finance 15, pp. 816-838.
Financial Market Frictions
with Ramon P. DeGennaro, 2007, Federal Reserve Bank of Atlanta Economic Review, Third Quarter.
The News in Financial Asset Returns
with Gerald P. Dwyer Jr., 2004, Federal Reserve Bank of Atlanta Economic Review, First Quarter.