Leverage and Asymmetric Volatility: The Firm Level Evidence, (2016), with Jan Ericsson
and Xiao Huang. Journal of Empirical Finance
The Bubble Economy and the Lost Decade: Learning from the Japanese Economic Experience,
(2015) with William Tsutsui, Journal of Global Initiatives: Policy, Pedagogy, Perspective:
Vol. 9: No. 1, Article 6.
Unconditional and conditional exchange rate exposure. (2012) with Ines Chaieb (previously
circulated as "Foreign exchange exposure of U.S. firms and macroeconomic conditions:
Is there a link?"), Journal of International Money and Finance. Download pre-print
Asset pricing in segmented markets. Evidence from lab experiments, (2011) With Lucy
Ackert, and Qi Li. Southern Economic Journal , 77(3), 585–598
Performance, Bias, and Efficiency of Foreign Exchange Correlation Forecasts, (2008),
Review of Futures Markets. Volume 17, Number 2 issue (Fall) Download from SSRN.
How Important is Asymmetric Covariance for the Risk Premium of International Assets?
(2008), Journal of Banking and Finance, Volume 32, Issue 8, August 2008, Pages 1636-1647.
Inquire Europe and Inquire UK Best Doctoral Paper at the European Finance Association
Doctoral Tutorial 2004 in Maastricht. Download.
The Accuracy of Density Forecasts from Foreign Exchange Options, (2005) with Peter
Christoffersen, Journal of Financial Econometrics 2005 3(4):578-60. Download (previously circulated as "The Informational Content of Over-the-Counter Currency
Options", European Central Bank Working Paper No 366, Download)
Foreign Exchange Option and Returns Based Correlation Forecasts: Evaluation and Two
Applications, European Central Bank Working Paper No. 447, Download
Presentations
Coles Seminar Series - Multi-horizon International Intertemporal Investments
Mathematics Fundations for International Students of Economics and Finance
Subprime credit card default patterns
Invited Vising Professor Lecture - Foreign exchange exposure
Invited Vising Professor Lecture - Default of credit constrained borrowers
Research Interest
International Finance
Empirical asset pricing
Volatility
Credit Constrained Lending
Research in Progress
Credit Constrained Consumer Credit, with L. and Jennifer Priestly and Edwin Baidoo
Is Exchange Risk Priced Beyond Intertemporal Risk? with Ines Chaieb and Oumar Sy, WP Kennesaw State University, Download
