On the Estimation of Asset Pricing Models Using Univariate Betas
with Raymond Kan, 2011, Economics Letters 110, pp. 117-121.
Research
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.
Playing the Field: Geomagnetic Storms and the Stock Market
with Anna Krivelyova, 2003, Review of Finance, R&R.
Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio
2003, Federal Reserve Bank of Atlanta Working Paper 2003-6.
Asset Returns and Economic Risk
2002, Federal Reserve Bank of Atlanta Economic Review, Second Quarter.