Published and Forthcoming Papers
Predicting Volatility: Getting the Most
out of Return Data Sampled at Different Frequencies (with Eric Ghysels and
Pedro Santa-Clara)
-Forthcoming in The Journal of Econometrics.
Sample Code for Variance MIDAS models.
There is a Risk-Return Tradeoff After All (with Pedro Santa-Clara and
Eric Ghysels)
-Forthcoming in The Journal of Financial Economics.
Functional Central Limit Theorem Approximations
and the Distribution of the
Dickey-Fuller Test with Strongly Heteroskedastic Data
Economics Letters (2005) v86(3), pp 427-433.
On Predicting Stock Returns with Nearly Integrated Explanantory Variables
(with Walter Torous and Shu Yan)
The Journal of Business (2005) v77(4), pp 937-966.
Political Cycles and the Stock Market (with
Pedro Santa-Clara)
The Journal of Finance (2003) v58(5), pp 1841-1872.
Updated Main Results (January, 2004)
Long-Horizon Regressions: Theoretical Results
and Applications
The Journal of Financial Economics (2003) v68, 201-232.
Working Papers
The Term Structure with Highly Persistent Interest Rates
(Updated Version Coming Soon)
Boundaries of Predictability: Noisy Predictive
Regressions (with Walter Torous)
The Fed's Effect on Excess Returns and
Inflation is Much Bigger than You Think (with Shingo Goto)
Fiscal Policy and Asset Returns (with Jose Tavares)
Do Industries Lead Stock Markets? (with
Harrison Hong and Walt Torous)--updated
MIDAS Regressions: Further Results and
New Directions
(with Eric Ghysels, Pedro Santa-Clara, and Arthur Sinko)
The MIDAS Touch: Mixed Data Sampling Regression
Models
(with Eric Ghysels and Pedro Santa-Clara)
Expected Returns and the Expected Growth in
Rents of Commercial Real Estate
(with Walter Torous and Alberto Plazzi)
Long-Horizon Regressions when the Predictor is
Slowly Varying
(with Roger Moon and Antonio Rubia)
Parametric Portfolio Policies: Exploiting
Characteristics in the Cross Section of Equity Returns
(with Pedro Santa-Clara and Michael Brandt)--updated
(Previously circulated under the title: Optimal Portfolio with
Parametric Weights)
The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth:
Time Variation and Economic Fluctuations (with Walter Torous and Alberto Plazzi)
Does the Early
Exercise Premium Contain Information about Future Underlying Returns?
(with Pradeep Yadav and Yuzhao Zhang)--new
