Non-Parametric Estimation

Growth-Optimal Portfolio Restrictions on Asset Pricing Models (with Bruce Lehmann)

Macroeconomic Dynamics, 1, 1997, 333-354

Cambridge University Press | PDF file

• Addendum to Growth Optimal Portfolio paper that derives decomposition of SDF into permanent and transitory components (1994) PDF file

Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data (with Ronald Gallant, Robert Hussey, and George Tauchen)

Journal of Econometrics, 66, 1995, 251-287

Elsevier | PDF file

Computational Aspects of Nonparametric Simulation Estimation (with Ronald Gallant, Robert Hussey, and George Tauchen)

Computational Techniques for Econometrics and Economic Analysis, Kluwer Academic Publishers,1994, Editor: David Belsley

Springer

A New Approach to International Arbitrage Pricing (with David Hsieh and S.Viswanathan)

Journal of Finance, 48, December 1993, 1719-1747

American Finance Association | PDF file

• Nominated for Smith-Breeden best paper award, Journal of Finance, 1994

No Arbitrage and Arbitrage Pricing: A New Approach (with S. Viswanathan)

Journal of Finance, 48, September 1993, 1231-1262

American Finance Association | PDF file

• Nominated for Smith-Breeden best paper award, Journal of Finance, 1993