Asset
Pricing
Intrinsic Bubbles
and Fat Tails in Stock Prices: A Note (with Brice V. Dupoyet), Macroeconomic
Dynamics, Vol.11, No.3 (2007), 405-422.
The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia
(with Brice V. Dupoyet), Journal of Economic
Dynamics and Control, Vol.31, No.3 (2007), 887-905.
Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its
Implications for Mean Equity Returns (with J. Huston McCulloch), Journal of Economic
Dynamics and Control, Vol.27, No.3 (2003), 399-421.
Consumption Equilibrium Asset Pricing in Two Asian Emerging Markets (with
Ming-Hsiang Chen), Journal
of Asian Economics,Vol.15, Issue 2 (2004), 305-319.
State Space Models - Applications
Testing for Persistence in Stock Returns with GARCH-Stable
Shocks (with J. Huston McCulloch), Quantitative
Finance, Vol.4, No.3 (2004), 256-265.
Do Fluctuations in U.S.
Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks? The
Review of Economics and Statistics, Vol.85, Issue 3 (2003), 765-771.
Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks
(with J. Huston McCulloch), Journal
of Applied Econometrics, Vol.13, No.6 (1998), 659-670.
Alternative Regime Switching Models for Forecasting Inflation, Journal
of Forecasting, Vol.20 (2001), 21-35.
The Comparative Forecast Performance of Univariate and
Multivariate Models: An Application to Real Interest Rate Forecasting, International
Journal of Forecasting, Vol.14, Issue 4 (1998), 457-468.
A Comparison of Two Alternative Approaches to Modeling Level Shifts in the
Presence of Outliers, Communications
in Statistics: Simulation and Computation, Vol.33, No.3 (2004),
661-671.
Non-Linear Time Series
On the Economic Impact of Modeling Non-Linearities: The
Asset Pricing Example, Macroeconomic
Dynamics, Vol.10, No.1 (2006), 56-76.
Asymmetries in the Conditional Mean Dynamics of Real GNP:
Robust Evidence, The
Review of Economics and Statistics, Vol.82, Issue 1 (2000), 153-157.
On Business Cycle Asymmetries in G7 Countries (with Khurshid
M. Kiani), Oxford
Bulletin of Economics and Statistics, Vol.66, Issue 3 (2004), 333-351.
Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of
the Real U.S.
GDP, Studies in
Non-Linear Dynamics and Econometrics, Vol.3, No.4 (1999), 191-200.
Other Papers
No Predictable Components in
G7 Stock Returns (with Khurshid M. Kiani), September 2004.
Terms of Trade and
Commodity Prices (with Mario J. Crucini), Review
of International Economics, Vol.8, Issue 4 (2000), 647-666.
Modeling Economic Time Series with Stable
Shocks, December 1996. Unpublished Ph.D. Dissertation, Department of
Economics, The Ohio State
University.