with Romeo Tedongap and Bingxin XING, Robust Empirical Regularities on the Heterogeneity of Inflation Across Consumer Goods, Journal of International Money and Finance, Forthcoming [SSRN]

with Rodrigo Sekkel, Morvan Nongni Donfack and Bingxin XING, U.S. Macroeconomic News and Low-Frequency Changes in Bond Yields in Canada, Sweden and the U.K., Journal of Banking and Finance, 168 (2024) 107270. [JBF][SSRN]

Generalized Autoregressive Positive-valued Processes. Journal of Business & Economic Statistics, 2024, VOL. 42, NO. 2, 786–800. [JBES][SSRN]

with Jean-Sebastien Fontaine, Anh Le and Christian Lundblad,  (2022)  Tractable Term-Structure Models, Management Science, 68(11):8411-8429. [MNSC] [SSRN]

with Jean-Sebastien Fontaine, Secular Economic Changes and Bond Yields, The Review of Economics and Statistics, (2023) 105 (2): 408–424. [RESTAT] [SSRN]

with Peter Christoffersen, Yoontae Jeon and Chayawat Ornthanalai, Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity, Review of Finance, Volume 25, Issue 4, July 2021, Pages 1261-1298. [RoF][SSRN]

with Ricardo Lopez Aliouchkin, Romeo Tedongap and Lai Xu , The Term Structure of Expected Quadratic Loss and Gain, Journal of Financial Econometrics, Volume 18, Issue 3, Summer 2020, Pages 473-501. [JFEC][SSRN]

with Jean-Sebastien Fontaine and Jianjian Jin, What model for the target rate, Studies in Nonlinear Dynamics & Econometrics (SNDE), Volume 25, Issue 1, February 2021, Article number: 20190005. [SSRN]

with Cedric Okou, Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models, Journal of Applied Econometrics, Volume 33, Issue 7, Dec. 2018, Pages 1007-1025.[JAE][SSRN][Appendix][RNMData]

with Cedric Okou, Good Volatility, Bad Volatility and Option Pricing, Journal of Financial and Quantitative Analysis, Vol. 54, No. 1, Feb. 2019, pp. 1-32.[JFQA][SSRN]

with Jahan-Parvar Mohammad and Cedric Okou, Downside Variance Risk Premium, Journal of Financial Econometrics, Volume 16, Issue 3, 1 June 2018, Pages 341-383. [JFEC][SSRN][Non-TechnicalSummary][Appendix]

with Romeo Tedongap and Jean-Sebastien Fontaine, Implied Volatility And Skewness Surface, Review of Derivatives Research, (July 2017) Volume 20, Issue 2, Pages 167-202. [RDR][Appendix][SSRN]

with Jean-Sebastien Fontaine, Gaussian Term Structure Models and Bond Risk Premia, Management Science, Volume 64, Issue 3, March 2018, Pages 1413-1439. [mnsc][Appendix][SSRN]

with Peter Christoffersen and Yoontae Jeon, Option Valuation with Observable Volatility and Jump Dynamics, Journal of Banking and Finance, Volume 61, Supplement 2, December 2015, Pages S101-S120. [Full text][abs][SSRN]

With Ernest Tafolong, Fourier Inversion Formulas for Multiple Assets Option Pricing, Studies in Nonlinear Dynamics & Econometrics, (2015) Volume 19, Issue 5, Pages 531-559. [SNDE] [SSRN]

With Jean-Sebastien Fontaine, Non-Markov Gaussian Term Structure Models: The Case of Inflation, Review of Finance, (August 2014) 18(5): 1953-2001.[Full text][abs]

With Jahan-Parvar Mohammad and Romeo Tedongap, Which parametric model for conditional skewness?, The European Journal of Finance, Volume 22, 2016 - Issue 13, Pages 1237-1271. [Full text][abs]

With Jean-Sebastien Fontaine, Abderahim Taamouti, and Romeo Tedongap, The Equity Premium And The Maturity Structure of Uncertainty, Review of Finance, (January 2014) 18(1): 219-269.[Full text][abs]

With Peter Christoffersen, Kris Jacobs and Nour Meddahi, The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation, Journal of Financial and Quantitative Analysis (June 2014), volume 49, issue 03, pp. 663-697.[Full text][abs]

With Romeo Tedongap, A Stochastic Volatility Model with Conditional Skewness, Journal of Business and Economic Statistics, Vol. 30, No. 4 (October 2012), pp. 576-591.[Full text][abs][Appendix]

With Jahan-Parvar Mohammad and Romeo Tedongap, Modeling Market Downside Volatility. Review of Finance,(January 2013) 17(1): 443-481.[Full text][abs][Appendix]

With Peter Christoffersen, Redouane Elkamhi, Kris Jacobs, Option Valuation with Conditional Heteroskedasticity and Nonnormality, Review of Financial Studies, vol. 23 (May, 2010), pp. 2139-2183, ISSN 1465-7368 [Full text] [abs]