Journal Articles
"High-frequency returns, jumps and the mixture of normals hypothesis," with Bradley S. Paye, Journal of Econometrics (2011), Forthcoming.
"Long memory in volatility and trading volume," with Chris Kirby, Journal of Banking and Finance (2011), Forthcoming.
"The specification of GARCH models with stochastic covariates," with Chris Kirby and Barbara Ostdiek, Journal of Futures Markets 28:10 (October 2008), 911-934.
"Information, trading, and volatility: Evidence from weather-sensitive markets," with Chris Kirby and Barbara Ostdiek, Journal of Finance 61:6 (December 2006), 2899-2930.
"Bootstrap tests of multiple inequality restrictions on variance ratios," with Chris Kirby and Barbara Ostdiek, Economics Letters 91:3 (June 2006), 343-348.
"Stochastic volatility, trading volume, and the daily flow of information," with Chris Kirby and Barbara Ostdiek, Journal of Business 79 (May 2006), 1551-1590.
"The economic value of volatility timing using "realized" volatility," with Chris Kirby and Barbara Ostdiek, Journal of Financial Economics 67 (March 2003), 473-509.
"A closer look at the relation between GARCH and stochastic autoregressive volatility," with Chris Kirby, Journal of Financial Econometrics 1 (December 2003), 365-419.
"The economic value of volatility timing," with Chris Kirby and Barbara Ostdiek, Journal of Finance 56 (February 2001), 329-352.
"The impact of energy derivatives on the crude oil market," with Barbara Ostdiek, Energy Economics 21 (April 1999), 135-167.
"The economic significance of the forecast bias of S&P 100 index option implied volatility," Advances in Futures and Options Research 10 (1999), 219-251.
"Implied volatility functions: Empirical tests," with Bernard Dumas and Robert E. Whaley, Journal of Finance 53 (December 1998), 2059-2106.
"The quality of market volatility forecasts implied by S&P 100 index option prices," Journal of Empirical Finance 5 (October 1998), 317-345.
"Information and volatility linkages in the stock, bond, and money markets," with Chris Kirby and Barbara Ostdiek, Journal of Financial Economics 49 (July 1998), 111-137.
"Trading costs and the relative rates of price discovery in stock, futures, and option markets," with Barbara Ostdiek and Robert E. Whaley, Journal of Futures Markets 16 (June 1996), 353-387.
"Predicting stock market volatility: A new measure," with Barbara Ostdiek and Robert E. Whaley, Journal of Futures Markets 15 (May 1995), 265-302.
"The value of wildcard options," with Robert E. Whaley, Journal of Finance 49 (March 1994), 215-236.
This page last updated: July 15, 2009.