Journal Articles and Book Chapters- 2019: Too Good to Be True? Fallacies in Evaluating Risk Factor Models (with R. Kan and C. Robotti), Journal of Financial Economics, 132, 451–471
- 2019: Multivariate Return Decomposition: Theory and Implications (with S. Anatolyev), Econometric Reviews, 38, 487–508
- 2018: Market Consistent Valuations with Financial Imperfection (with H. Assa), Decisions in Economics and Finance, 41, 65–90
- 2018: Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models (with R. Kan
and C. Robotti), Econometric Reviews, 37, 695–718
- 2018: Monetary Policy Uncertainty, Positions of Traders and Changes in Commodity Futures Prices (with I. Jamali), European Financial Management, 24, 239–260
- 2017: Spurious Inference in Reduced-Rank Asset-Pricing Models (with R. Kan
and C. Robotti), Econometrica, 85, 1613--1628
- 2017: Foreign Exchange Predictability and the Carry Trade: A Decomposition Approach (with S. Anatolyev, I. Jamali and X. Liu), Journal
of Empirical Finance, 42, 199–211
- 2017: A Robust Approach to Hedging and Pricing in Imperfect Markets (with H. Assa), Risks, Volume 5, Issue 3 (special issue on Quantile Regression for Risk Assessment)
- 2017: Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables (with I. Komunjer and S. Ng), Journalof Econometrics, 200, 181–193
- 2016: On the Properties of the Constrained Hansen-Jagannathan Distance (with R. Kan
and C. Robotti), Journal
of Empirical Finance, 36, 121–150
- 2015: Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models (with S. Ng), Journal of Business
& Economic Statistics, 33, 403–417
- 2015: The Response of Stock Market Volatility to Futures-Based Measures of Monetary Shocks (with I. Jamali), International Review of Economics and Finance, 37, 42–54
- 2014: A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains (with D. Lkhagvasuren), Journal of Applied Econometrics, 29, 843–859
- 2014: Misspecification-Robust Inference in Linear Asset-Pricing Models with Irrelevant Risk Factors (with R. Kan
and C. Robotti), Review of Financial Studies, 27, 2139–2170
- 2013: Unit Roots, Cointegration and Pretesting in VAR Models (with A. M.
Herrera and E. Pesavento), Advances in Econometrics, 32, 81–115
- 2013: Commodity
Prices, Convenience Yields, and Inflation (with S. Ng), Review of Economics
and Statistics, 95, 206–219
- 2013: Chi-Squared
Tests for Evaluation and Comparison of Asset Pricing Models
(with R. Kan
and C. Robotti), Journalof Econometrics, 173, 108–125
- 2013: Asset Pricing Theories, Models, and Tests (with C. Robotti), in
Portfolio Theory and Management, H. K. Baker and M. G. Filbeck
(eds.), Oxford University Press
- 2012: Further
Results on the Limiting Distribution of GMM Sample Moment Conditions
(with R. Kan
and C. Robotti), Journal of Business
& Economic Statistics,
30, 494–504
- 2012: Local
GMM Estimation of Time Series Models with Conditional Moment
Restrictions (with T. Otsu), Journal
of Econometrics, 170, 476–490
- 2012: Nonparametric
Estimation of Scalar Diffusion Models of Interest Rates Using
Asymmetric Kernels (with M. Hirukawa), Journal
of Empirical Finance, 19, 595–609
- 2012: The Effects of Federal Funds Rate Surprises on S&P500 Volatility and Volatility Risk Premium (with I.
Jamali), Journal
of Empirical Finance, 19, 497–510
- 2012: Asymptotics of Near Unit Roots (with S. Anatolyev), Quantile, 10, 57–71
- 2011: Sensitivity
of Impulse Responses to Small Low Frequency
Co-movements: Reconciling the Evidence on the Effects of Technology
Shocks (with A. Maynard and E. Pesavento), Journal of Business
& Economic Statistics,
29, 455–467
- 2011: Bootstrap
Unit Root Tests in Models with GARCH(1,1) Errors (with Y. Tao), Econometric Reviews, 30, 379–405
- 2011: Risk
Premiums and Predictive Ability of BAX Futures (with I. Jamali), Journal
of Futures Markets,
31, 534–561
- 2011: Specification
Testing in Models with Many
Instruments (with S. Anatolyev), Econometric
Theory, 27,
427–441
- 2010: Modeling
Financial Return Dynamics via Decomposition (with S.
Anatolyev), Journal of Business
& Economic Statistics,
28, 232–245
- 2010: Inference
in Nearly Nonstationary SVAR Models with Long-Run Identifying
Restrictions, Journal of Business
& Economic Statistics,
28, 1–12
- 2009: A New Look at the Forward Premium Puzzle, Journal of Financial
Econometrics, 7, 312–338
- 2009: Tobacco
Taxes and Regressivity (with I. Irvine), Journal
of Health Economics, 28, 375–384
- 2008: Asymptotic
and Bootstrap Tests for Linearity in a TAR-GARCH(1,1)
Model with a Unit Root, Journal
of Econometrics,
146, 146–161
- 2006: Forecasting
Volatility (with A. Gavala and D. Jiang), Journal
of Forecasting, 25, 381–400
- 2005: Testing
for Threshold Nonlinearity in Short-Term Interest Rates, Journal
of Financial Econometrics,
3, 344–371
- 2005: A
'Long March' Perspective on Tobacco Use in Canada (with I.
Irvine), Canadian
Journal of Economics,
38, 366–393
- 2005: Robust
Asymptotic Inference in Autoregressive Models with Martingale
Difference
Errors, Econometric Reviews,
24,
59–81
| Selected as Best
Paper published in Econometric
Reviews in 2004 and 2005 |
- 2004: Asymptotic
Confidence Intervals for Impulse Responses of Near-Integrated Processes,
Econometrics
Journal, 7, 505–527
- 2004: Global
Health Warnings on Tobacco Packaging: Evidence from the Canadian
Experiment
(with I. Irvine), Topics in Economic
Analysis & Policy,
4, Issue 1, Article 30
- 2002: Median
Unbiased Forecasts for Highly Persistent Autoregressive Processes, Journal
of Econometrics,
111, 85–101
- 2002: Improved
Finite-Sample Inference in Overidentified Models with Weak Instruments,
Recent
Advances in Statistical Methods, Y.P. Chaubey
(ed.),
Imperial College Press, London, 132–146
- 2002: Bootstrap-Based
Inference in Models with a Nearly Noninvertible Moving Average Component,
Journal of Business
& Economic Statistics, 20,
254–268
- 2000: An Empirical Likelihood Ratio Test for a Unit Root: Solution to Problem 99.2.1
(with V. Zinde-Walsh), Econometric
Theory,
16, 143–146
|
|