Stanford Graduate School of Business
Investor Flows and the 2008 Boom/Bust in Oil Prices, (with ). Management Science, Vol. 60, No. 2, February 2014, 300-318.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Estimation and Evaluation of Conditional Asset Pricing Models, (with Stefan Nagel). Journal of Finance, Vol. 66, No. 3, June 2011, 873–909. Supplement
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function, (with ). Journal of Econometrics, Vol. 102, No. 1, May 2001, 111-141.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Transform Analysis and Asset Pricing for Affine Jump-Diffusions, (with Darrell Duffie and Jun Pan). Econometrica, Vol. 68, No. 6, November 2000, 1343-1376.
Type: Published Papers
Topic(s): Equilibrium Asset Pricing
Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Portfolio Constraints, (with A. Marcet). Macroeconomic Dynamics, Vol. 3, No. 2, June 1999, 243-277.
Type: Published Papers
Topic(s): Equilibrium Asset Pricing
Efficient Estimation of Linear Asset Pricing Models with Moving Average Errors, (with L. Hansen). Journal of Business and Economic Statistics, Vol. 114, No. 1, January 1996, 53-68.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Simulated Moments Estimation of Markov Models of Asset Prices, (with D. Duffie). Econometrica, Vol. 61, No. 4, July 1993, 929-952.
Type: Published Papers
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Econometric Implications of Consumption-Based Asset Pricing Models. In Advances in Econometrics, Sixth World Congress, eds. J. J. Laffont and C. A. Sims, Cambridge: Cambridge University Press, 1993.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Specification and Estimation of Intertemporal Asset Pricing Models. In Handbook of Monetary Economics, eds. B. Friedman and F. Hahn, Amsterdam: North Holland, 1990.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
Asset Prices in a Time Series Model with Disparately Informed, Competitive Traders. In New Approaches to Monetary Economics, Proceedings of the Second International Symposium in Economic Theory and Econometrics, eds. W. Barnet and K. Singleton, Cambridge: Cambridge University Press, 1987.
Type: Book Chapters
Topic(s): Econometric Methods, Equilibrium Asset Pricing
An Empirical Analysis of the Pricing of Mortgage-Backed Securities, (with Lee Wakeman, Kenneth B. Dunn). Journal of Finance, Vol. 38, Issue 2, May 1983, 613–623.
Type: Published Papers
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns, (with Lars Peter Hansen). Journal of Political Economy, Vol. 91, No. 2, April 1983, 249-265.
Type: Published Papers