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Publications
2008--
[45] The intertemporal relation between expected returns and
risk, Journal of
Financial Economics, January 2008, 87(1),
101-131.
[44] Idiosyncratic
Volatility and the Cross-Section of Expected Returns, Journal of Financial and
Quantitative Analysis, March 2008,
43(1), 29-58 (with Nusret Cakici).
[43] Aggregate
Earnings, Firm-Level Earnings, and Expected Stock Returns, Journal of Financial and
Quantitative Analysis, forthcoming (with K. Ozgur Demirtas and Hassan Tehranian).
[42] Is There an Intertemporal Relation Between Downside Risk and
Expected Returns? Journal of
Financial and Quantitative Analysis, forthcoming (with K. Ozgur Demirtas and Haim Levy).
[41] Risk Measurement Performance of Alternative
Distribution Functions, Journal
of Risk and Insurance, June 2008, 75(2), 411-437 (with Panayiotis Theodossiou).
[40] A Model-Independent Measure of
Aggregate Idiosyncratic Risk, Journal
of Empirical Finance, forthcoming (with Nusret Cakici and Haim Levy).
[39] The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR, Journal
of Banking and Finance, February
2008, 32(2), 269-282
(with Hengyong Mo and Yi Tang).
[38] Nonlinear Mean
Reversion in Stock Prices, Journal
of Banking and Finance, May 2008, 32(5), 767-782 (with K. Ozgur Demirtas and Haim Levy).
[37] The Conditional
Beta and the Cross-Section of Expected Returns, Financial Management, forthcoming (with Nusret Cakici
and Yi Tang).
[36] Testing Mean Reversion
in Financial Market Volatility: Evidence from S&P 500 Index Futures, Journal of Futures Markets, January
2008, 28(1), 1-33 (with K. Ozgur Demirtas).
[35] Small Sample
Bias in Panel Data, Finance
Letters, forthcoming
(with K. Ozgur Demirtas).
2007
[34] An Extreme
Value Approach to Estimating Interest Rate Volatility: Pricing Implications
for Interest Rate Options, Management
Science, February 2007, 53(2), 323-339.
[33] A Conditional
Extreme Value Volatility Estimator Based on High-Frequency Returns, Journal
of Economic Dynamics and Control, February 2007, 31(2), 361-397 (with David Weinbaum).
[32] A Generalized Extreme Value Approach to
Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7),
1611-1647.
[31] Modeling the
Dynamics of Interest Rate Volatility with Skewed Fat-Tailed Distributions, Annals of Operations
Research, April 2007, 151(1), 151-178.
[30] A Conditional-SGT-VaR
Approach with Alternative GARCH Models, Annals
of Operations Research, April 2007, 151(1), 241-267 (with Panayiotis Theodossiou).
[29] Cyclicality in
Catastrophic and Operational Risk Measurements, Journal
of Banking and Finance, April 2007, 31(4), 1191-1235 (with Linda Allen).
[28] Value at Risk and the Cross-Section of
Hedge Fund Returns, Journal
of Banking and Finance, April 2007, 31(4), 1135-1166 (with Bing Liang and Suleyman Gokcan).
[27] A New Look at
Hedging with Derivatives: Will Firms Reduce Market Risk Exposure? Journal of Futures Markets, November
2007, 27(11), 1053-1083 (with Susan Hume and Terrence Martell).
[26] The Relativity of Volatility, The
Value-at-Risk Reference April 2007, pp. 429-439 (with Salih N. Neftci) Edited by Jon Danielsson, Risk Books.
2006
[25] Is There a
Risk-Return Tradeoff? Evidence from High-Frequency Data, Journal of Applied Econometrics, December
2006, 21(8), 1169-1198 (with Lin Peng).
[24] Inflation Shoe
Leather Costs and Average Inflation Rates Across Countries, Journal
of International Money and Finance, November 2006, 25(7), 1103-1129 (with Thom
B. Thurston).
[23] A Comprehensive Analysis of the Short-Term
Interest Rate Dynamics, Journal
of Banking and Finance, April 2006,
30(4), 1269-1290
(with Liuren Wu).
[22] Peer Pressure: Industry
Group Impacts on Stock Valuation Precision and Contrarian Strategy
Performance, Journal of Portfolio
Management, Spring 2006,
32(3), 80-92 (with K. Ozgur Demirtas, Armen Hovakimian, and John Merrick).
[21] Aggregate
Idiosyncratic Risk and Market Returns, Journal of Investment Management,
4th Quarter 2006, 4(4),
4-14 (with Nusret Cakici).
2005
[20] Does
Idiosyncratic Risk Really Matter? Journal
of Finance, April 2005, 60(2), 905-929 (with Nusret Cakici,
Xuemin Yan, and Zhe Zhang).
[19] The Empirical
Performance of Alternative Extreme-Value Volatility Estimators, Journal of Futures Markets, September
2005, 25(9), 873-892. (with David Weinbaum).
2004
[18] Cyclicality in
the Catastrophic Risk of Financial Institutions, Operational Risk Modelling and
Analysis: Theory and Practice, August 2004, pp. 209-246
(with Linda Allen and Yi Tang) Edited by Marcelo Cruz,
Risk Books.
[17] Alternative Approaches to Estimating VaR for Hedge Fund Portfolios, Intelligent Hedge
Fund Investing April 2004, pp. 253-277 (with Suleyman
Gokcan) Edited by Barry
Schachter, Risk
Books.
[16] Value at Risk
and Expected Stock Returns, Financial Analysts Journal,
March 2004, 60(2), 57-73 (with Nusret Cakici).
2003
[15] Disturbing Extremal Behavior of Spot Rate Dynamics, Journal
of Empirical Finance, September 2003, 10(4), 455-477 (with Salih N. Neftci).
[14] The Generalized
Extreme Value Distribution, Economics
Letters, June 2003,
79(3), 423-427.
[13] Modeling the
Stochastic Behavior of Short Term Interest Rates: Pricing
Implications for Discount Bonds, Journal
of Banking and Finance, February 2003, 27(2), 201-228.
[12] An Extreme
Value Approach to Estimating Volatility and Value at Risk Journal of Business,
January 2003, 76(1), 83-108.
2002
[11] Excessive
Variation in Risk Factor Correlations and Volatilities, Journal of Futures Markets,
December 2002, 22(12), 1119-1146 (with
Salih N. Neftci).
[10] On the
Efficiency of Monetary Policy Rules with Flexible Prices and Rational
Expectations, Journal
of Economics and Business,
December 2002, 54(6), 615-631 (with Thom B. Thurston).
2001
[9] The Relativity
of Volatility, Risk, April 2001,
14(4), 91-94 (with Salih N. Neftci).
[8] Estimating the
Term Structure of Interest Rate Volatility in Extreme Values, Journal of Fixed Income,
March 2001, 10(4), 7-14 (with Salih N. Neftci).
2000
[7] Empirical
Estimates of Inflation Tax Laffer Surfaces: A 30
Country Study, Journal
of Development Economics, December 2000, 63(2), 529-546 (with Thom
B. Thurston).
[6] Modeling the
Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH, and
Moving Average Models, Journal of Futures Markets, September
2000, 20(8), 717-751.
[5] Testing the
Empirical Performance of Stochastic Volatility Models of the Short Term
Interest Rate, Journal of
Financial and Quatitative Analysis, June
2000, 35(2), 191-215.
[4] U.S. Money
Demand and the Welfare Cost of Inflation in a Currency-Deposit Model, Journal
of Economics and Business,
June 2000, 52(3), 233-258.
[3] Pricing
Eurodollar Futures Options Using the BDT Term Structure Model: The Effect
of Yield Curve Smoothing, Journal of Futures Markets, March
2000, 20(3), 293-306 (with Ahmet K. Karagozoglu).
1999
[2] An Empirical
Comparison of Continuous Time Models of the Short Term Interest Rate, Journal of Futures Markets, October
1999, 19(7), 777-798.
[1] Implementation
of the BDT Model with Different Volatility Estimators: Applications to
Eurodollar Futures Options, Journal of Fixed Income,
March 1999, 8(4), 24-34 (with Ahmet K. Karagozoglu).
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