Working Papers
- “Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns,” (with Turan G. Bali and Yi Tang) (March 2014)
- “Structural GARCH: The Volatility Leverage Connection,” (with Emil Siriwardane), (October 2013)
- "The Conditional CAPM Explains the Value Premium," (with Turan G. Bali) Social Science Research Network (SSRN) (November 2012)
- “Dynamic Conditional Beta,” (June 2012) Social Science Research Network (SSRN)
- “Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models,” (with Michael Fleming, Eric Ghysels, and Giang Nguyen), (June 2012)
- "Volatility, Correlation and Tails for Systemic Risk Measurement," (with Christian T. Brownlees), (2011)
- "When Is Noise Not Noise – A Microstructure Estimate of Realized Volatility," (with Zheng Sun) (2007)
- "Fitting and Testing Vast Dimensional Time-Varying Covariance Models," (with Kevin Sheppard and Neil Sheppard) (2007)
- "Forecasting Variance of Variance: The Square-root, the Affine and the CEV GARCH Models," with Isao Ishida - under revision
- "Theoretical Properties of Dynamic Conditional Correlation Multivariate GARCH," (with Kevin Sheppard) (2005)
- "Evaluating the Specification of Covariance Models for Large Portfolios," (with Kevin Sheppard) (2005)
- "Time-Varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks," (with Young-Hye Cho) - under revision
- "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," (with Young-Hye Cho) - under revision
- "Macroeconomic Announcements and Volatility of Treasury Futures," (with Li Li) - under revision
- "Conditional Volatility of Exchange Rates Under a Target Zone," (with Yin-Feng Gau) - under revision