"Risk and Return: Long-Run Relations, Fractional Cointegration, and Return Predictability", 2013, with Tim Bollerslev, Natalia Sizova, and George Tauchen. Journal of Financial Economics 108, pp. 409-424.
A previous working-paper version of the article (December 2011) can be downloaded here
"The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums", 2017, with Peter Schotman. The Review of Economics and Statistics 99 (5), pp. 884-895.
Replication data and code can be downloaded here. Please cite our work if you use this material.
A previous working-paper version of the article (August 2012) can be downloaded here
"The VIX, the Variance Premium, and Expected Returns", 2019, with Daniel Ventosa-Santaulària and J. Eduardo Vera-Valdés. Journal of Financial Econometrics 17 (4), pp. 517-558.
A previous working-paper version of the article (January 2015) can be downloaded here
"Market Maker Inventory, Bid-Ask Spreads, and the Computation of Option Implied Risk Measures", 2022, with Bjørn Eraker. Journal of Financial Econometrics forthcoming.
A previous working-paper version of the article (September 2021) can be downloaded here
"An Efficient Fixed-Effects Estimator for Corporate Finance" (with Darius Palia and Ge Wu)
Corresponding Matlab code can be found here. Please cite our work if you use this material.
"A Greater Multiplier with a Targeted Tax and Spend Strategy" (with Michael S. Long and Reza Farhadi)
"Interest Rates with Long Memory: A Generalized Affine Term-Structure Model"
"Predicting Returns with a Co-fractional VAR Model” (with Peter Schotman)
“Is There a Pre-Announcement Drift? - A Revisit”, with Lai Xu, Rutgers Business School
“Predictability Skepticism”, Rutgers Business School
"Statistical Analysis of CAPM Regressions: Singular Covariance Matrices and Endogenous Regressors", with Bent Jesper Christensen, CREATES