Research
 Books
"Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance"
(with Rustam Ibragimov), 2017, World Scientific Publishing and Imperial College Press, ISBN: 978-981-4689-79-3
"Efficiency and Productivity Analysis: Using Copulas in Stochastic Frontier Models"
2024, Routledge, ISBN: 78-036-7346-09-6, with free Python Companion
Selected Refereed Journal Articles
"Efficient estimation of parameters in marginals in semiparametric multivariate models"
(with Ivan Medovikov and Valentyn Panchenko, Supplementary Materials, Scripts for Simulations and Applications), R&R, Journal of Computational and Graphical Statistics
"Bank Cost Efficiency and Credit Market Structure under a Volatile Exchange Rate"
(with Mikhail Mamonov and Chris Parmeter), R&R, Journal of Banking and Finance
(with Kien C. Tran and Mike G. Tsionas), European Journal of Operational Research, 2023, 304(3)
"A Machine Learning Attack on Illegal Trading"
(with Robert James and Henry Leung, Supplement), Journal of Banking and Finance, 2023, 148
"A New Approach to Credit Ratings"
(with Giorgi Petraia and Stan Uryasev), Journal of Banking and Finance, 2022, 140
"Consistent Estimation of Linear Regression Models Using Matched Data"
(with Masayuki Hirukawa, Scripts for Simulations, Supplemental Material), Journal of Econometrics, 2018, 203(2)
"A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion"
(with Ivan Medovikov, Scripts for Simulations), Journal of Financial Econometrics, 2017, 15(3)
"Endogenous Environmental Variables in Stochastic Frontier Models"
(with Christine Amsler and Peter Schmidt, Scripts for Simulations), Journal of Econometrics, 2017, 199(2)
"GEL Estimation for Heavy-Tailed GARCH with Robust Empirical Likelihood Inference"
(with Jonathan Hill, Supplemental Material), Journal of Econometrics, 2016, 190(1)
"Endogeneity in Stochastic Frontier Models"
(with Christine Amsler and Peter Schmidt, ZIP-Archive Data and Scripts), Journal of Econometrics, 2016, 190(2)
"Likelihood-based estimation in a panel setting: Robustness, redundancy, and validity of copulas"
(with Peter Schmidt), Journal of Econometrics, 2009, 153(1)
"GMM Redundancy Results for General Missing Data Problems"
(with Peter Schmidt), Journal of Econometrics, 2009, 151(1)