- Financial/Energy/Macro
Uncertainty
- Liquidity and Information Flow Around Monetary Policy
Announcements, Journal
of
Money, Credit and Banking, forthcoming, 2012 [SSRN].
- Impact of Macroeconomic News on Metal Futures (with H. Miao
and S. Ramchander), Journal
of Banking and Finance, 2012 [PDF].
- Oil Volatility and the Option Value of Waiting: An
analysis of the G-7 (with D. Bredin and S. Fountas), Journal
of Futures Markets, 2011 [PDF
- SSRN].
- Oil Price Uncertainty (with A. Serletis), Journal
of
Money,
Credit and Banking, 42:6, 1137-1159, 2010 [PDF
- SSRN].
- Another Perspective on the Effects of Inflation Uncertainty, Journal
of
Money,
Credit and Banking, 36:5, 911-28, 2004 [PDF
- SSRN].
- Oil Price Uncertainty in Canada (with A. Serletis), Energy
Economics, 31, 852-856, 2009 [PDF].
-
- Corporate Finance (Restructurings,
Governance)
- Corporate Governance and Liquidity, Journal
of Financial and Quantitative Analysis (with K.
Chung and JC Kim), April 2010 [PDF]
(lead article).
- Do Tracking Stocks Reduce Informational Asymmetries? An
Analysis of Liquidity and Adverse Selection (with P.K. Jain and
J.C. Kim), Journal of
Financial Research, XXVIII:2, 197-213, 2005 [PDF].
- The Reaction of Security Prices to Tracking Stock
Announcements (with P. Westra) Journal
of
Economics and Finance, 24, 36-55, 2000. [PDF]
-
- Asset Pricing (Long
memory, dynamic factor models, APT)
- Fractional difference in discrete time (with H. Mio and
R. Elliott), Quantitative
Finance, 2012 [PDF].
- Fractional Integration in Commodity Futures Returns (with H.
Jin), Financial
Review, 2009 [PDF].
- Long Memory in Commodity Futures Volatility: A Wavelet
Perspective (with H. Jin), Journal
of
Futures Markets, May 2007 [PDF]
(lead article).
- Long Memory in Energy Futures Prices (with A.
Serletis), Review
of
Financial Economics, 17:2, 146-155, 2008 [PDF].
- Can the Volatility of the Federal Funds Rate Explain the
Time-Varying Risk Premium in Treasury Bill Returns? Journal
of
Macroeconomics, 23:1, 73-97, 2001 [PDF].
- Estimating the Arbitrage Pricing Theory with Observed Macro
Factors, Economics
Letters, 55, 241-246, 1997. [PDF]
- Econometric
Methods (unit roots, MGARCH, count models)
- Flexible Bivariate Count Data
Regression Models (with Shif Gurmu), Journal
of Business and Economic Statistics, forthcoming,
2012.
- An Impulse-Response Function for a
Vector Autoregression with Multivariate-GARCH-in-Mean, Economics
Letters, 79:1, 21-26, 2003 [Abstract]
[PDF].
- F versus t tests for Unit Roots (with Peter
E. Kennedy) Economics
Bulletin, 3:3, 1-6, 2001 [PDF].
- Testing for Unit Roots: What Should
Students be Taught? (with Peter E. Kennedy), Journal
of Economic Education, 32:2, 137-146, 2001 [PDF]
[Jstor].
- Working
Papers and Dissertation
- My dissertation
has details on modifying the structural vector autoregression to
include multivariate generalized autoregressive conditional
heteroskedasticy (i.e., a VAR with MGARCH-in-Mean).
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