"Bayesian Nonparametric Learning of How Skill is Distributed Across the Mutual Fund Industry," Journal of
Econometrics, Forthcoming (with Mark Fisher).
"Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors,"
Journal of Econometrics, 210, 187-202, 2019 (with Mark Fisher).
"Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Journal of Risk and Financial
Management, 11(3), 52, 2018 (with John Maheu).
"A Comment on De Grauwe's, "The Legacy of the Eurozone Crisis and How to Overcome It,"" Journal of
Empirical Finance, 39, 166-168, 2016.
"Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility,"
Studies in Nonlinear Dynamics and Econometrics, 20, 455-475, 2016. Winner of the 2016 Best Paper Award.
“Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture,”
Journal of Econometrics, 178, 523-538, 2014 (with John Maheu).
“Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility,” in Wavelet Applica-
tions in Economics and Finance, ed. Gallegati, M. and Semmler, W., Springer, 2014 (with Brandon
Whitcher).
“Bayesian Semiparametric Multivariate GARCH Modeling,” Journal of Econometrics, 176, 3-17, 2013 (with
John Maheu).
“Bayesian Semiparametric Stochastic Volatility Modeling,” Journal of Econometrics 157, 306-316, 2010.
(with John Maheu). Winner of the 2012 Arnold Zellner award for the most significant theoretical paper
published in the Journal of Econometrics for 2010-2011.
“The Long-Run Fisher Effect: Can it be Tested?” Journal of Money, Credit, and Banking, 41, 221-231,
2009.
“Do Long Swings in the Business Cycle Lead to Strong Persistence in Output?” Journal of Monetary
Economics 53, 597-611, 2006 (with Ming Liu).
“Long-run Neutrality in a Fractionally Integrated Model,” Journal of Macroeconomics 27, 257-274, 2005
(with SangKun Bae and Scott G. Murdock).
“Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility,” Journal of Time Series Analysis
25, 895-922, 2004.
“Long Memory Inflationary Dynamics: The Case of Brazil,” Studies in Nonlinear Dynamics and Economet-
rics, 7, No. 3, Article 3, 2003 (with Francisco Cribari-Neto and Vald ́erio A. Reisen).
“Wavelet Estimation of a Local Long-Memory Parameter,” Exploration Geophysics, 31, 89-98, 2000 (with
Brandon Whitcher).
“An Alternative Maximum Likelihood Estimator of Long-Memory Processes Using Compactly Supported
Wavelets,” Journal of Economic Dynamics and Control, 24, 361-387, 2000.
“An Approximate Wavelet MLE of Short and Long Memory Parameters,” Studies in Nonlinear Dynamics
and Econometrics, 3, 239-253, 1999.
“Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings,” Econometric The-
ory, 15, 719-752, 1999 (with Francisco Cribari-Neto and Alvaro Novo).
“Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Fractional Differencing
Parameter,” Journal of Forecasting, 18, 17-32, 1999.
.“The Sensitivity of n-Alkane Analysis to Measurement Error: Implications for Use in the Study of Diet
Composition,” Journal of Agricultural Science, Cambridge, 131, 465-476, 1998 (with J.A. Newman and
F. Cribari-Neto).
“A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos,” Journal of Econometrics,
82, 157-192, 1997 (with William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen A. Jungeilges,
Daniel T. Kaplan). Reprinted in W.A. Barnett and J.M. Binner (eds.), Functional Structure and
Approximation in Econometrics, North Holland, Amsterdam, 481-615, 2004.
“MATLAB as an Econometric Programming Environment,” Journal of Applied Econometrics, 12, 735-744,
1997 (with Francisco Cribari-Neto).
“Quality of Life in Central Cities and Suburbs,” Annals of Regional Science, 31, 431-449, 1997 (with Charles
Leven). Abstract reprinted in R. W. Wassmer (eds.), Readings in Urban Economics: Issues and Public
Policy, Blackwell, Oxford, 208-209, 2000.
“CAPM Risk Adjustment for Exact Aggregation over Financial Assets,” Macroeconomic Dynamics, 1, 485-
512, 1997 (with William A. Barnett, and Yi Liu). Reprinted in W.A. Barnett and A. Serletis (eds.),
Theory of Monetary Aggregation, North Holland, Amsterdam, 245-273, 2000.
“Revisiting the Flexibility and Regularity Properties of the Asymptotically Ideal Model,” Econometric Re-
views, 16, 179-203, 1997.
“A Homotopy Approach to Solving Nonlinear Rational Expectation Problems,” Computational Economics,
10, 47-65, 1997.
“An Experimental Design to Compare Tests of Nonlinearity and Chaos,” in W.A. Barnett, A. Kirman, and
M. Salmon (eds.), Nonlinear Dynamics and Economics, Cambridge University Press, Cambridge, 163-
190, 1996, (with William A. Barnett, A. Ronald Gallant, Melvin Hinich, Jochen Jungeilges and Daniel
T. Kaplan).
“Comparisons of the Available Tests for Nonlinearity and Chaos,” in W.A. Barnett, Giancarlo Gandolfo,
and Claude Hillinger (eds.), Dynamics Disequilibrium Modeling: Theory and Applications, Cambridge
University Press, Cambridge, 313-346, 1996, (with William A. Barnett, A. Ronald Gallant, Melvin
Hinich, and Jochen Jungeilges).
“Robustness of Nonlinearity and Chaos Tests to Measurement Error, Inference Method, and Sample Size,”
Journal of Economic Behavior and Organization, 27, 301-320, 1995, (with William A. Barnett, A.
Ronald Gallant, Melvin Hinich, and Jochen Jungeilges).
“A Monte Carlo Study on Two Methods of Calculating the MLE’s Covariance Matrix of a Seemingly Unre-
lated Nonlinear Equation,” Econometric Reviews, 14, 315-330, 1995.
Edited Journal Issues
Editor's Introduction for the Special Issue of the Journal of Empirical Finance on "The Euro Zone in Crisis",
Journal of Empirical Finance, 39, Part B, 145-146, 2016 (with R.T. Baillie).
"Market Response to Taper Talk," Policy Hub: Macroblog, Federal Reserve Bank of Atlanta, Web, October 2021.
"Measuring and Managing COVID-19 Model Risk," Policy Hub, Federal Reserve Bank of Atlanta, Web, June 2020.
"Stress Testing with the Help of Bayes Theorem," Notes from the Vault, Federal Reserve Bank of Atlanta, Web,
March 2016.
“Making Wavelets in Finance,” Financial Engineering News, 1, 1-10, 1997.
“Modern Corporation and Private Property,” Society, November/December 1992, 101-106, (with Murray
Weidenbaum).
“Introduction to The Modern Corporation and Private Property,” in Adolf A. Berle and Gardiner C. Means,
The Modern Corporation and Private Property, New Jersey, Transaction Press, 1991, (with Murray
Weidenbaum). Translated into Chinese edition by Transaction Press, 2005. Translated into Bulgarian
edition by Transaction Press, 2012.
“American Business and the Global Marketplace,” Business in the Contemporary World , Summer 1990,
38-46, (with Murray Weidenbaum).
“Threats and Opportunities in the International Economy,” CSAB Formal Publication, July 1990, (with
Murray Weidenbaum).
“Supplementary Student Software for Browning and Browning, Microeconomic Theory and Application,”
Chi-square Software, 1988.