Asset
Pricing
Asset Pricing with Incomplete Information and Fat Tails, (with Brice
V. Dupoyet and J. Huston McCulloch), Journal of Economic Dynamics and Control,
Vol.33, No.6 (2009), 1314-1331. WP
Intrinsic Bubbles and Fat Tails in Stock
Prices: A Note (with Brice V. Dupoyet), Macroeconomic Dynamics,
Vol.11, No.3 (2007), 405-422. WP
The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia
(with Brice V. Dupoyet), Journal of Economic Dynamics and Control,
Vol.31, No.3 (2007), 887-905. WP
Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its
Implications for Mean Equity Returns (with J. Huston McCulloch), Journal of Economic Dynamics and Control,
Vol.27, No.3 (2003), 399-421. WP
International Finance
Time-Varying Risk and Risk Premiums in Frontier
Markets (with Galin Todorov), October 2011.
Time-Varying Financial Spillovers from the US to
Frontier Markets (with Galin Todorov), May 2011.
Risk Premia in Forward Foreign Exchange Rates: A Comparison of Signal
Extraction and Regression Methods (with Zhiguang Wang), Empirical Economics, Vol. 42, No.1 (2012),
21-51. WP
Terms of Trade and Commodity Prices (with Mario J. Crucini), Review of International
Economics, Vol.8, Issue 4 (2000), 647-666. WP
Non-Linear Filtering - Applications
Testing for Persistence in Stock Returns with GARCH-Stable Shocks (with J.
Huston McCulloch), Quantitative Finance,
Vol.4, No.3 (2004), 256-265. WP
Do Fluctuations in U.S.
Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks? The Review of Economics and
Statistics, Vol.85, Issue 3 (2003), 765-771. WP
Alternative Regime Switching Models for Forecasting Inflation, Journal of Forecasting,
Vol.20 (2001), 21-35. WP
Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks
(with J. Huston McCulloch), Journal of Applied
Econometrics, Vol.13, No.6 (1998), 659-670. WP
The Comparative Forecast Performance of Univariate and Multivariate
Models: An Application to Real Interest Rate Forecasting, International Journal of
Forecasting, Vol.14, Issue 4 (1998), 457-468. WP
Non-Linear Time Series
/ Business Cycles
On the Economic Impact of Modeling Non-Linearities: The Asset Pricing
Example, Macroeconomic Dynamics,
Vol.10, No.1 (2006), 56-76. WP
On Business Cycle Asymmetries in G7 Countries (with Khurshid
M. Kiani), Oxford Bulletin of Economics
and Statistics, Vol.66, Issue 3 (2004), 333-351. WP
Asymmetries in the Conditional Mean Dynamics of Real GNP: Robust
Evidence, The Review of Economics and
Statistics, Vol.82, Issue 1 (2000), 153-157. WP
Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of
the Real U.S.
GDP, Studies in Non-Linear Dynamics
and Econometrics, Vol.3, No.4 (1999), 191-200. WP
Some Papers Co-Authored
with PhD Students
No Predictable Components in G7 Stock Returns (with Khurshid
M. Kiani), September 2004. WP
The Present Value Model with Stochastic Discount Rate and an ANN Process for
Broad Dividends (with Man Fu), Annals of Financial Economics (forthcoming). WP
Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad
Dividends and Macroeconomic Factors (with Man Fu), Journal of Risk and
Financial Management (forthcoming). WP
Forecast
Performance of Neural Networks and Business Cycle Asymmetries (with Khurshid M.
Kiani and Terry L. Kastens), Applied Financial Economics Letters, Vol.
1, Issue 4 (2005), 205-210. WP
Consumption Equilibrium Asset Pricing in Two Asian Emerging Markets (with
Ming-Hsiang Chen), Journal of Asian Economics,Vol.15,
Issue 2 (2004), 305-319. WP
Other Papers
Asset Pricing with Incomplete Information in a Discrete-Time Pure Exchange
Economy (with Brice V. Dupoyet), Journal
of Applied Research in Finance, Vol.III, Issue 1(5), (2011), 9-26. WP
A Comparison of Two Alternative Approaches to Modeling Level Shifts in the
Presence of Outliers, Communications in Statistics:
Simulation and Computation, Vol.33, No.3 (2004), 661-671. WP
Modeling
Economic Time Series with Stable Shocks, December 1996. Unpublished
Ph.D. Dissertation, Department of Economics, The Ohio
State University.