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Articles in refereed publications

Leverage and Asymmetric Volatility: The Firm Level Evidence, (2016), with Jan Ericsson and Xiao Huang. Forthcoming on the Journal of Empirical Finance

The Bubble Economy and the Lost Decade: Learning from the Japanese Economic Experience, (2015) with William Tsutsui, Journal of Global Initiatives: Policy, Pedagogy, Perspective: Vol. 9: No. 1, Article 6.

Unconditional and conditional exchange rate exposure. (2012) with Ines Chaieb (previously circulated as "Foreign exchange exposure of U.S. firms and macroeconomic conditions: Is there a link?") forthcoming in the Journal of International Money and Finance. Download pre-print

Asset pricing in segmented markets. Evidence from lab experiments, (2011) With Lucy Ackert, and Qi Li. Southern Economic Journal , 77(3), 585–598

Performance, Bias, and Efficiency  of Foreign Exchange Correlation Forecasts, (2008), Review of Futures Markets. Volume 17, Number 2 issue (Fall) Downlaod from SSRN

How Important is Asymmetric Covariance for the Risk Premium of International Assets?  (2008), Journal of Banking and Finance, Volume 32, Issue 8, August 2008, Pages 1636-1647. Inquire Europe and Inquire UK Best Doctoral Paper at the European Finance Association Doctoral Tutorial 2004 in Maastricht. doi:10.1016/j.jbankfin.2007.11.017

The Accuracy of Density Forecasts from Foreign Exchange Options, (2005) with Peter Christoffersen, Journal of Financial Econometrics 2005 3(4):578-60. Download  (previously circulated as "The Informational Content of Over-the-Counter Currency Options"European Central Bank Working Paper No 366, Download)

Foreign Exchange Option and Returns Based Correlation Forecasts: Evaluation and Two Applications,  European Central Bank Working Paper No. 447, Download

Research in progress

Credit Constrained Consumer Credit, with L. and Jennifer Priestly and Edwin Baidoo

Is Exchange Risk Priced Beyond Intertemporal Risk? with Ines Chaieb and Oumar Sy, WP Kennesaw State University, Download

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This site was last updated 12/30/06