PUBLICATIONS
1. Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and APT Pricing Restrictions” (with John Scruggs), Journal of Financial and Quantitative Analysis, 2006, forthcoming
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2. “Do investors trade more when stocks have performed well? Evidence from 46 countries” (with John Griffin and René Stulz), Review of Financial Studies, 2006, forthcoming
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3. “Explaining the Early Years of the Euro Exchange Rate: an episode of learning about a new central bank”
(with Manuel Gomez and Michael Melvin), European Economic Review, 2006, (forthcoming)
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4. Analysis of High - Dimensional Multivariate Stochastic Volatility Models (with Siddhartha Chib and Neil Shephard), Journal of Econometrics, forthcoming
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5. Are Daily Cross - Border Equity Flows Pushed or Pulled ?
(with John Griffin and René Stulz), Review of Economics and Statistics, 2004
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6. Markov Chain Monte Carlo Methods for Generalized
Stochastic Volatility Models (with Siddhartha Chib and Neil Shephard), Journal of Econometrics, 2002 (#3 Most Requested Paper for this journal, Year 2002)
Paper | Abstract