Refereed Publications
Jahan-Parvar, M.R., and F. Zikes (2023) "When do low-frequency measures really measure effective spreads? Evidence from equity and foreign exchange markets," the Review of Financial Studies, 36(10), 4190-4232. (link) and (pdf)
Cascaldi-Garcia, D., C. Sarisoy, J. M. Londono, J. Rogers, D. Datta, T. Ferreira, O. Grishchenko, M. R. Jahan-Parvar, F. Loria, S. Ma, M. Rodriguez, I. Zer (2023) "What is Certain about Uncertainty?," Journal of Economic Literature, 61(2), 624-654. (link) and (pdf)
Aramonte, S., M. R. Jahan-Parvar, S. Rosen, and J. Schindler (2022) "Firm-specific risk-neutral distributions with options and CDS," Management Science, 68(9), 7018-7033. (link) and (pdf)
Ghasseminejad, S. and M.R. Jahan-Parvar (2021) "The impact of financial sanctions: The Case of Iran," Journal of Policy Modeling, 43(3), 601-621. (link) and (pdf)
Gallant, A. R., M. R. Jahan-Parvar, and H. Liu (2019) "Does smooth ambiguity matter for asset pricing?" the Review of Financial Studies, 32(9), 3617-3666. (link) and (pdf)
Online Appendix (pdf)
Guerrieri, L., M. Iacoviello, F. Covas, J. C. Driscoll, M. R. Jahan-Parvar, M. Kiley, A. Queralto, and J. Sim (2019) "Macroeconomic Effects of Banking Sector Losses across Structural Models," International Journal of Central Banking, 15(3) 137-204. (link) and (pdf)
Aramonte, S., M. R. Jahan-Parvar, and J. K. Shugarman (2019) "Institutions and return predictability in oil-exporting countries," the Quarterly Review of Economics and Finance, 71(1), 14-26. (link and pdf)
Blanchard, O. J., C. G. Collins, M. R. Jahan-Parvar, T. Pellet, and B. A. Wilson (2018) "A year of rising dangerously? The U.S. stock market performance in the aftermath of the presidential election," Journal of Policy Modeling, 40(3), 489-502. (link and PIEE Policy Brief version: pdf)
Feunou, B., M. R. Jahan-Parvar, C. Okou (2018) "Downside Variance Risk Premium," Journal of Financial Econometrics, Lead Article, 16(1), 341–383. (link) and (pdf)
Most cited JFEc article in 2018.
Online Appendix (pdf)
Feunou, B., M. R. Jahan-Parvar, R. Tédongap (2016) "Which parametric model for conditional skewness?" European Journal of Finance, Lead Article, 22(13), 1237-1271. (link) and (pdf)
Jahan-Parvar, M. R., and H. Liu (2014) "Ambiguity Aversion and Asset Prices in Production Economies", the Review of Financial Studies, 27(10), 3060-3097. (link) and (pdf)
Cheng, A.-R., and M. R. Jahan-Parvar (2014) "Risk-Return Trade-Off in the Pacific Basin Equity Markets", Emerging Markets Review, 18, 123-140. (link) and (pdf)
Jahan-Parvar, M. R., X. Liu, and P. Rothman (2013) “Equity Returns and Business Cycles in Small Open Economies,” Journal of Money, Credit, and Banking, 45(6), 1117-1146. (link) and (pdf)
Online Appendix (pdf)
Jahan-Parvar, M. R., and H. Mohammadi (2013) "Risk and Return in the Tehran Stock Exchange," Quarterly Review of Economics and Finance, 53(3), 238-256. (link) and (pdf)
Feunou, B., M. R. Jahan-Parvar, and R. Tédongap (2013) “Modeling Market Downside Volatility,” Review of Finance, 17(1), 443-481. (link) and (pdf)
Fan, Q., and Jahan-Parvar, M. R. (2012) “U.S. Industry-Level Returns and Oil Prices,” International Review of Economics and Finance, 22(1), 112-128. (link) and (pdf)
Mohammadi, H., and M. R. Jahan-Parvar (2012) “Oil Prices and Exchange Rates in Oil–Exporting Countries: Evidence from TAR and M-TAR Models,” Journal of Economics and Finance, 36(3), 766-779. (link) and (pdf)
Landry, C. E., and M. R. Jahan-Parvar (2011) “Flood Insurance Coverage in the Coastal Zone,” Journal of Risk and Insurance, 78(2), 361-388. (link) and (pdf)
Jahan-Parvar, M. R., and H. Mohammadi (2011) “Real Exchange Rates and Oil Prices in Oil Exporting Countries: A Bounds Testing Approach,” Journal of Developing Areas, 45(1), 309-313. (link) and (pdf)
Cheng, A. R., M. R. Jahan-Parvar, P. Rothman (2010) “An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa,” Journal of Empirical Finance, 17(3), 413-427. (link) and (pdf)
MATLAB Code (zipped file)
Jahan-Parvar, M. R., and G. A. Waters (2010) “Equity Price Bubbles in the Middle East and North African Financial Markets,” Emerging Markets Review, 11 (1), 39-48. (link) and (pdf)
Jahan-Parvar, M. R., and H. Mohammadi (2009) “Oil Prices and Competitiveness: Time Series Evidence from Six Oil Producing Countries," Journal of Economic Studies, 36(1) 98-118. (link) and (pdf)