Select Publications
Preprints
Cheap TIPS or Expensive Inflation Swaps?: Mispricing in Real Asset Markets, , http://dx.doi.org/10.2139/ssrn.3324915
,Computational Intelligence for Evolving Trading Rules, , http://dx.doi.org/10.2139/ssrn.1008796
,Growth Risk of Nontraded Industries and Asset Pricing, , http://dx.doi.org/10.2139/ssrn.3400845
,Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence, , http://dx.doi.org/10.2139/ssrn.2083726
,Internet Appendix: Optimal Factor Strategy in FX Markets, , http://dx.doi.org/10.2139/ssrn.2837851
,Optimal Factor Strategy in FX Markets, , http://dx.doi.org/10.2139/ssrn.2797483
,Pricing Implications of Covariances and Spreads in Currency Markets, , http://dx.doi.org/10.2139/ssrn.3166997
,Pricing Risks Across Currency Denominations, , http://dx.doi.org/10.2139/ssrn.2589545
,Risk Premia and Wishart Term Structure Models, , http://dx.doi.org/10.2139/ssrn.1573184
,Stochastic Correlation and Risk Premia in Term Structure Models, , http://dx.doi.org/10.2139/ssrn.1785148
,The Multifactor Nature of the Volatility of the Eurodollar Futures Market, , http://dx.doi.org/10.2139/ssrn.893089
,The Return-Volatility Relation in Commodity Futures Markets, , http://dx.doi.org/10.2139/ssrn.2617525
,The Volatility Structure of the Fixed Income Market Under the Hjm Framework: A Nonlinear Filtering Approach, , http://dx.doi.org/10.2139/ssrn.893088
,Volatility of Commodity Derivatives: Humped, Unspanned and Stochastic, , http://dx.doi.org/10.2139/ssrn.2022752
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