Term Structure and Currency Markets

A Long Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (with Ivan Shaliastovich)

Lead article, Review of Financial Studies, 2013, 26(1): 1-33

Oxford University Press | PDF file

Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle (with George Tauchen and Hao Zhou)

Journal of Business and Economic Statistics, 22, October 2004: 396 – 409

Taylor & Francis Online | PDF file

Term Structure of Interest Rates with Regime Shifts (with Hao Zhou)

Journal of Finance, 57, October 2002,1997-2043

American Finance Association | PDF file

The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies (with Magnus Dahlquist)

Journal of International Economics, 51, June 2000: 115-144

Elsevier | PDF file

• Winner of the CBOT Best Paper Award, Western Finance Association, 1999

An Exploration of the Forward Premium Puzzle in Currency Markets

Review of Financial Studies,10, 1997: 369-403

Oxford University Press | PDF file