Inventory Investment and the Cost of Capital (revised February 2012), with Selale Tuzel, Journal of Financial Economics, forthcoming. Data
New Orders and Asset Prices (2013), with Selale Tuzel, Review of Financial Studies, Volume 26, Number 1, pages 115-157. New Orders to Shipments Data Final WP version
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility, 2009, with Pierre Collin-Dufresne and Bob Goldstein , Journal of Financial Economics, Volume 94, Number 1, pages 47-66.
Identification of Maximal Affine Term Structure Models, 2008, with Pierre Collin-Dufresne and Bob Goldstein , Journal of Finance , Volume 63, Number 2, pages 743-795.
A Nonlinear Factor Analysis of S&P 500 Index Option Returns, 2006, Journal of Finance , Volume 61, Number 5, pages 2325-2363.
Mutual Fund Performance with Learning Across Funds, 2005, with Jay Shanken, Journal of Financial Economics 78, 507-552.
Bayesian Range-Based Estimation of Stochastic Volatility Models, 2005, with Michael Brandt, Finance Research Letters 2, 201-209.
Forecasting Volatility with Range-Based EGARCH Models (2006), with Michael Brandt, Journal of Business and Economic Statistics 26, 470-486.
The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets, 2003, Journal of Econometrics, Volume 116, pages 181-224.
Nonlinear Mean Reversion in the Short-Term Interest Rate, 2003, Review of Financial Studies, Volume 16, Number 3, pages 793-843.
Extracting Factors from Heteroskedastic Asset Returns, 2001
Journal of Financial Economics, Volume 62, Issue 2, pages 293-325.
Programs and sample data
The Weekend Effect in Equity Option Returns (revised October 2010), with Joshua Shemesh
The Market Price of Volatility Risk (revised October 2007), with Jefferson Duarte
Investing in Disappearing Anomalies (revised June 2003), with Lukasz Pomorski
Bayesian Estimation of Continuous-Time Finance Models (revised December 1998)
Estimating yield curves from asynchronous LIBOR and swap quotes