Working Papers
“ARCH effects and trading volume,” with Chris Kirby and Barbara Ostdiek.
“Long memory in volatility and trading volume,” with Chris Kirby.
“High-frequency returns, jumps, and the mixture of normals hypothesis,” with Bradley S. Paye.
“Stochastic volatility and derivatives risk management,” with Chris Kirby and Barbara Ostdiek. Working paper (under revision).
“Examining the volume-volatility relation using range-based and realized-volatility-based stochastic volatility models,” with Chris Kirby. In progress.
“Bayesian efficient portfolio selection with informative priors on optimal asset holdings,” with Chris Kirby. In progress.
This page last updated: July 19, 2006.