Curriculum Vitae 

Publications:

 "Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash," with P. Collin-Dufresne and R. Goldstein, 2011

"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,'' with T. G. Andersen, 2010  

"Conflict of Interest and Certification in the U.S. IPO Market," with C. Schenone, 2010

"Life-Cycle Investment Decisions and Labor Income Risk," with R. S.  Goldstein, 2010

"Realized Volatility,'' with T. G. Andersen, 2009

"Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated," with Pierre Collin-Dufresne and Robert S. Goldstein, 2007

• Older version: "Portfolio Choice over the Life-Cycle in the Presence of `Trickle Down' Labor Income"

"An Empirical Investigation of Continuous-Time Equity Return Models," with Torben G. Andersen and Jesper Lund, 2002

"Core and `Crust': Consumer Prices and the Term Structure of Interest Rates,'' with A. Ajello and O. Chyruk, 2011

"Modeling Credit Contagion via the Updating of Fragile Beliefs,'' with R. Goldstein, P. Collin-Dufresne, and J. Helwege, 2011

"The Determinants of Interest Rate Volatility in the U.S. Treasury Market,'' with T. G. Andersen

"Stochastic Volatility, Mean Drift and Jumps in the Short Term Interest Rate," 2004, with Torben G. Andersen and Jesper Lund

"Pricing Options under Stochastic Volatility: An Empirical Investigation," 2002

Other Links: 

My web page at SSRN

My web page at the Federal Reserve Bank of Chicago 

 

The views expressed herein are those of the author and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System.