RESEARCH
Publications
Optimality of
the RiskMetrics Model, with Gloria
González-Rivera and Tae-Hwy Lee,
Finance Research Letters,
4, 137-145, September 2007.
Multivariate Autocontours for Specification
Testing in Multivariate GARCH Models,
with
Gloria González-Rivera, A Festschrift in
Honor of Robert F. Engle, edited by Tim Bollerslev,
Mark W. Watson and Jeffrey R. Russell, forthcoming, Oxford University
Press.
Working Papers
Autocontours: Dynamic Specification Testing, with Gloria
González-Rivera and Zeynep
Senyuz (to be
revised and resubmitted to Journal of
Business and Economic Statistics)
Testing and Modeling Threshold Asymmetries in Multivariate
Distributions of U.S.
Equity Returns
(submitted)
A Nonparametric
Investigation of Asymmetries in Stock Return Distributions (in progress)
Analyzing Economic Value
of Volatility Models for Large Stock Portfolios (in progress)