Other Publications
"The impact of microstructure noise on the distributional properties of daily stock returns standardized by realized volatility," with Bradley S. Paye, Proceedings of the American Statistical Association (2006), 997-1004.
"Does volatility timing matter?," with Chris Kirby and Barbara Ostdiek, Computational Finance 1999, MIT Press: Cambridge, MA (2000), 153-170.
"Measuring the impact of stochastic volatility on short-horizon investment and risk management decisions," with Chris Kirby and Barbara Ostdiek, Proceedings of the Annual Spring Research Seminar, Chicago Board of Trade: Chicago (May 1998), 133–176.
This page last updated: July 15, 2009.