Research Material
Last Update: March 2011
- Mar 2011: ``Maximum Expected Utility by MCMC''
with Michael Johannes and Nick Polson,
Abstract,
Paper
- Sept 2010: ``Bayesian
Econometrics in
Finance''
Forthcoming in Handbook of
Bayesian Econometrics, John Geweke, Gary Koop, Herman Van Dijk, editors, Oxford University Press.
Last version before publication: Abstract, Paper
- Mar 2010: ``MCMC Simulation-based
Estimation in Portfolio Selection''
with Nick Polson.
in Frontiers of
Statistical Decision Making and Bayesian Analysis, in honor of James O.
Berger.
Chen, Dey, Muller, Sun, Ye editors, Springer, 2010 Last version before
publication: Abstract, Paper
- Mar. 2010: "Predicting Systematic Risk:
Implications from Growth Options"
with Sheridan Titman and Atakan Yalcin.
Journal of Empirical Finance 17(5) 2010 Last
version before publication: Abstract,
Paper
- Aug. 2009: ``Empirical evidence on the
dependence of credit default swaps and equity prices''
with Debbie Dupuis, Nicolas Papageorgiou, Bruno Remillard,
Journal of Futures Markets 29 (8)
2009
Last version
before publication: Abstract, Paper
- April 2007: ``MCMC
Maximum Likelihood For Latent State
Models''
with Michael Johannes and Nick Polson,
Journal of Econometrics
137(2) April
2007
Last version before publication:
Abstract, Paper
- Oct. 2006: ``Market Beta Dynamics and
Portfolio Efficiency''
with Eric Ghysels,
Abstract
, Paper
- Sept. 2006:
``Credit
Migration and
Basket Derivative Pricing with Copula''
with Tony Berrada, Debbie Dupuis, Nicolas Papageorgiou, Bruno
Remillard
Journal of Computational
Finance
vol 10(1), Fall 2006
Last version before publication:
Abstract, Paper
- Jan. 2005: ``Optimal Forecasts of Long-Term Returns and Asset Allocation:
Arithmetic, Geometric or Other Means''
with Alex Kane and Alan Marcus,
Journal of Financial Econometrics 3 Winter 2005, 37-55.
Abstract ,
Paper
- Sept. 2004: ``Bayesian Analysis of Stochastic Volatility
Models with Leverage Effect and Fat tails''
with Nick Polson and Peter Rossi,
Journal of Econometrics 122, Sept. 2004
Pre-publication version:
Abstract ,
Paper
- Aug. 2004: ``A Model of the Convenience
Yields in
On-the-run Treasuries''
with Joseph Cherian and Bob Jarrow.
Review of Derivatives Research, August
2004
, Pre-publication version: Abstract
, Paper
- Nov. 2003: ``Geometric or Arithmetic
Mean: A New Take on
an Old Controversy''
with Alex Kane and Alan Marcus.
Financial Analysts Journal Nov/Dec 2003
, Pre-publication
version: Abstract ,
Paper
- Oct 2002: ``Optimal Forecasts of Long-Term Returns and Asset Allocation:
Arithmetic, Geometric or Other Means''
with
Alex Kane and Alan
Marcus.
Abstract
,
Paper
- August 02: ``Re-evaluating Dynamic
Trading Strategies :
The free lunch was no banquet''
with
Tong
Yao.
Abstract
,
Paper
- Jan. 02: ``Bayesian Analysis of Stochastic Volatility''
with Nick Polson and Peter Rossi.
Re-publication in the 20-year anniversary edition of the Journal
of Business and Economic Statistics, of the 1994
JBES article.
Paper
- May 01: Parts of my invited talk at the
International Conference on the Econometrics of Financial Markets,
Stochastic Volatility: Odds and Ends
- May 01: `` Bayes Factors for Stochastic Volatility Modeling''
with
Nick
Polson
Abstract, Paper under revision
- March 01: " Asset Allocation Models and
Market Volatility "
with Alan Marcus.
Financial Analysts Journal, March/April
2001. 2002 Graham and Dodd Scroll
Paper
- June 00: " Comment on Time Series analysis of
non-Gaussian observations based on state space models from both
classical and Bayesian perspectives by R. Durbin and S.J. Koopman "
with Nick Polson.
Journal of the Royal Statistical Society. Series B. vol 62.1, 2000, Paper
- April 00: " Contingent Claim Models with
Deterministic
Volatility:
Model Error vs Poor Estimation"
with Bob Jarrow. In Model
Risk,
edited by Rajna Gibson. Risk Books. London 2000.
- Jan. 00: " Bayesian Analysis of
Contingent Claim Model
Error "
with Bob Jarrow.
Journal of Econometrics 94. 2000, p
145-180,
Pre-publication version:
Abstract, Paper
- "Technical Appendix to Bayesian Analysis
of Contingent
Claim Model Error "
Paper
- May 99: ``Stochastic Volatility: Univariate and Multivariate Extensions''
with Nick Polson and Peter Rossi.
New version of: ``Models and Priors for Multivariate Stochastic Volatility'', first draft, 1994. It does not have the
skewness and the stochastic discount factor models anymore. It still has the multivariate factor model.
Abstract,
Paper
- March 99: " Portfolio Optimization in Good Times and Bad "
with Greg Chow, Mark Kritzman, and Chip Lowry.
Financial Analysts Journal, May/June 1999. Pre-publication version: Paper
This article by the chief strategist of the Gold Portfolio Council
demonstrates the effectiveness of our approach: Article