Research Material
Last Update: April 2013
- March 2013: ``Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships'',
with Cedric Okou, forthcoming Journal of Financial Econometrics
Last version before publication,
Abstract,
Paper
- Jan. 2013:
``Asset Allocation in Finance: A Bayesian Perspective'',
with Nick Polson,
in Bayesian Theory and Applications: a Tribute to Adrian Smith, p. 501-516,
Damien, Dellaportas, Polson and Stephen editors, Oxford University Press.
Abstract, Paper
- Jan 2013: ``Modern Portfolio Theory'',
in Portfolio Theory and Management, H. Kent Baker and Greg Filbeck editors,
Jan. 2013, Oxford University Press.
Abstract and Introduction
- Nov. 2012: ``Are Underwriting Cycles Real and Forecastable'', with Martin Boyer and Simon
Van-Norden,
Journal of Risk and Insurance 79(4).
Abstract,
Paper
- June 2012: ``Maximum
Expected Utility by MCMC'' with Michael Johannes and Nick Polson,
Abstract, Paper
- Nov. 2011: ``Bayesian Econometrics in Finance''
in Oxford Handbook of
Bayesian Econometrics, p. 439-512.
John Geweke, Gary Koop, Herman Van Dijk, editors, Oxford University Press.
Last pre-publication version: Abstract, Paper
- Dec. 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
- March 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
- 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
SSRN version
- 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
- August 2002: ``Re-evaluating Dynamic Trading Strategies: The free lunch was no banquet'', with Tong Yao.
Abstract
,
Paper
- Jan. 2002: ``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 2001: Parts of invited talk at the Delphi International Conference on the Econometrics of Financial Markets,
Stochastic Volatility: Odds and Ends
- May 2001: ``Bayes Factors for Stochastic Volatility Modeling'', with Nick Polson
Abstract, Results published in the 2004 JPR paper
- March 2001: ``Asset Allocation Models and Market Volatility'', with Alan Marcus.
Financial Analysts Journal, March/April 2001. 2002 Graham and Dodd Scroll
Paper
- June 2000: ``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. 62(1), 2000,
Paper
- April 2000: ``Contingent Claim Models with Deterministic Volatility:
Model Error vs Poor Estimation'', with Bob Jarrow.
In Model Risk,
Rajna Gibson editor,Risk Books. London 2000.
- Jan. 00: ``Bayesian Analysis of Contingent Claim Model Error'', with Bob Jarrow.
Journal of Econometrics 94, 2000, 145-180
Pre-publication version:
Abstract, Paper
Technical Appendix to: Bayesian Analysis of Contingent Claim Model Error:
Paper
- May 1999: ``Stochastic Volatility: Univariate and Multivariate Extensions'',
with Nick Polson and Peter Rossi.
New version of: ``Models and Priors for Multivariate Stochastic Volatility'' from 1994,
with the multivariate factor model.
Abstract, Paper
- March 1999: " 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
Article by the chief strategist of the Gold Portfolio Council
discussing the effectiveness of our approach: Article