- Financial
and Macro Volatility
(development of VAR with MGARCH-in-Mean)
- Another
Perspective on the Effects of Inflation Uncertainty, Journal
of
Money, Credit and Banking, 36:5, 911-28, 2004 [PDF].
- Some Empirical Evidence
on the Real Effects of Nominal Volatility, Journal
of Economics and Finance, 28:1, 1-13, 2004.
- Corporate
Finance (Restructurings, Governance)
- Corporate Governance and
Liquidity, Journal
of Financial and Quantitative Analysis (with K.
Chung and JC Kim), forthcoming, 2009 [PDF].
- 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 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].
- A Reexamination of
Fractional Integrating Dynamics in Foreign Exchange Markets (with H.
Jin and W. Koo), International
Review of Economics and Finance, 15, 120-135, 2006.
- Sources of Time-Varying
Risk Premia in the Term Structure, Advances
in Investment Analysis and Portfolio Management, 9, 85-108,
2002.
- 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)
- An
Impulse-Response
Function for a Vector Autoregression with Multivariate-GARCH-in-Mean, Economics
Letters, 79:1, 21-26, 2003 [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].
- Working Papers and Dissertation
- Oil
Price Uncertainty
(with A. Serletis), Dec 2007 (revise and resubmit-2nd round).
- Fedspeak:
A Market Microstructure Analysis, working paper.
- 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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