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Professional
Activities
Associate
Editor: Journal
of Banking and Finance: 2008-Present
Journal
of Futures Markets: 2007-Present
Journal of Risk: 2005-Present
Founding Member: Society
for Financial Econometrics: 2008-Present
Referee: American Economic
Review, Annals of
Operations Research, Economic
Inquiry, European
Financial Management, European Journal
of Finance, Financial
Analysts Journal, Financial
Management, International
Review of Economics and Finance, Journal
of Applied Econometrics, Journal
of Banking and Finance, Journal of Business, Journal
of Business and Economic Statistics, Journal
of Business, Finance, and Accounting, Journal
of Econometrics, Journal
of Economics and Business, Journal
of Economics and Finance, Journal
of Empirical Finance, Journal of Finance, Journal of Financial and
Quantitative Analysis, Journal
of Financial Econometrics, Journal of Financial
Research, Journal of
Financial Services Research, Journal
of Forecasting, Journal of Futures Markets, Journal
of Multinational Financial Management, Macroeconomic Dynamics,
Management Science, Multinational Finance Journal, National
Science Foundation, Quantitative
Finance, Review of Financial Studies,
Review of
Quantitative Finance and Accounting, and Social
Sciences and Humanities Research Council for Canada.
Papers Presented at Conferences:
Financial Management Association, Corporate Financing
Activities and Contrarian Investment, October 2008.
Financial Management Association, World Market Risk,
Country-Specific Risk, and Expected Returns in International Stock Markets,
October 2008.
Financial Management Association, Investigating ICAPM
with Dynamic Conditional Correlations, October 2008.
China
International Conference in Finance, Investigating ICAPM with Dynamic
Conditional Correlations, July 2008.
Inaugural Conference of the Society for Financial
Econometrics (SoFiE), Investigating ICAPM with
Dynamic Conditional Correlations, June 2008.
Financial Management Association, The Conditional
Beta and the Cross-Section of Expected Returns, October 2007.
Financial Management Association, Stock Returns, Inflation, and Real
Economic Activity, October 2007.
Bank of Canada, Predictability of
Interest Rates and Interest Rate Portfolios, July 2007.
European Finance Association, Is There an Intertemporal Relation Between Downside Risk and
Expected Returns? June 2006.
Financial Management Association, The Role of
Autoregressive Conditional Skewness and Kurtosis
in the Estimation of Conditional VaR October
2006.
Eastern Finance Association, Does Hedging with
Derivatives Reduce the Market Risk? April 2006.
American Economic
Association, Asymmetric Crime Cycles, January 2005.
American Economic Association, A Conditional Extreme Value
Volatility Estimator Based on High-Frequency Index Returns, January 2005.
European Finance Association, Value at Risk and the
Cross-Section of Hedge Fund Returns, June 2005.
Inquire Europe Symposium,
Value at Risk and the Cross-Section of Hedge Fund Returns, October 2005.
China
International Conference in Finance, Cyclicality in Catastrophic and
Operational Risk Measurements, July 2005.
China
International Conference in Finance, Predictability of Interest Rates and
Interest Rate Portfolios, July 2004.
Financial Management Association, Cyclicality in
Catastrophic and Operational Risk Measurements, October 2004.
Financial Management Association, Optimal Portfolio
Selection: Mean-variance versus mean-VaR, October
2004.
Financial Management Association, Does Hedging with
Derivatives Reduce the Market Risk Exposure?,
October 2004.
European Finance Association, Aggregate Earnings,
Firm Level Earnings and Expected Stock Returns, August 2004.
Goldman Sachs, Asset Management Group, Predictability
of Interest Rates and Interest Rate Portfolios, April 2004.
Financial Management Association, Testing the
Empirical Performance of VaR in Asset Pricing
Models, October 2003.
Financial Management Association, Correlation of
Stock and Market Returns in Asset Pricing Models, October 2003.
6th Biennial Conference of the Athenian Policy Forum, International Conference on the Global
Economy: Financial, Legal, and Technological Asymmetries, Risk
Management Performance of Alternative Distribution Functions, August 2002.
Multinational Finance Association, Risk Management
Performance of Alternative Distribution Functions, July 2002.
Financial Management Association, A Generalized
Extreme Value Approach to Estimating Value at Risk, October 2001.
Financial Management Association, Nonlinear
Parametric Models of the Short Term Interest Rate, October 2001.
Southern Finance Association, Nonlinear Parametric
Models of the Short Rate and Implications on the Prices of Caps and Floors,
November 2001.
Southern Finance Association, Pricing Interest Rate
Options Using the BDT Term Structure Model: The Effect of Yield Curve
Smoothing, November 1999.
Eastern Economic Association, Fiscal Explanations of
Inflation: An Empirical Reexamination, February 1998.
Papers Presented at Schools:
New York University, Stern School of Business, 2008,
Investigating ICAPM with Dynamic Conditional Correlations.
University
of Toronto, Rotman School of Management, 2007,
Predictability of Interest Rates and Interest Rate Portfolios.
Fordham University, Graduate School of Business, 2007, Stock Returns, Inflation, and Real
Economic Activity.
Koc
University, Graduate School
of Business, 2007, Stock Returns,
Inflation, and Real Economic Activity.
Sabanci
University, Graduate School
of Business, 2007, Stock Returns,
Inflation, and Real Economic Activity.
Bilkent University, Graduate School of Business, 2007, Stock Returns, Inflation, and Real
Economic Activity.
New York University, Stern School of Business, 2006, Is There an Intertemporal
Relation between Downside Risk and Expected Returns?
University of Massachusetts, Isenberg School of Management, 2006, Aggregate Earnings, Firm-Level Earnings,
and Expected Stock Returns.
Cornell University, Johnson Graduate School
of Management, 2005, Nonlinear
Mean-Reversion in Stock Prices.
Boston
College, Carroll School
of Management, 2005, The Intertemporal Relation between Expected Returns and
Risk.
Penn State University,
Smeal
College of Business, 2005,
Corporate Financing Activities and Contrarian Investment.
New York University, Stern School of Business, 2004, Cyclicality in Catastrophic and
Operational Risk Measurements.
City University of Hong Kong, 2004, Predictability of Interest
Rates and Interest Rate Portfolios.
Fordham University, Graduate School of Business, 2004, The Role of Exchange Rates in the Intertemporal Risk-Return Relation in International
Economies.
City University of New York,
Graduate School
and University
Center, 2003, An Extreme Value Approach to Pricing
Interest Rate Options.
Academic Service at Baruch
College:
Joint Committee on Research, Zicklin
School of Business,
Baruch College.
Recruiting Committee, Department of Finance, Baruch College.
Academic Affairs Committee of the Baruch College
Faculty Senate.
Representative to the Weissman School
of Arts and Sciences, Baruch
College.
Undergraduate Faculty Advisor, Department of Finance,
Baruch College.
Junior Faculty Advisor, Department of Finance, Baruch College.
Ph.D. Comprehensive Examination Committee, Department
of Finance, Baruch
College.
Ph.D. Dissertation Committee, Department of Finance, Baruch College.
Seminar Coordinator, Department of Finance, Baruch College.
Course Coordinator (Options, Financial Econometrics,
Empirical Asset Pricing), Department of Finance, Baruch College.
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