Article

• 2012

  Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods.  EMPIRICAL ECONOMICS.  42:21-51.

  Full Text via DOI: 10.1007/s00181-010-0427-y Web of Science: 000299057800002
• 2010

  A Long-Run Risks Model of Asset Pricing with Fat Tails.  REVIEW OF FINANCE.  14:409-449.

  Full Text via DOI: 10.1093/rof/rfp015 Web of Science: 000280018900002
• 2009

  Asset pricing with incomplete information and fat tails.  JOURNAL OF ECONOMIC DYNAMICS & CONTROL.  33:1314-1331.

  Full Text via DOI: 10.1016/j.jedc.2009.01.002 Web of Science: 000266211500009
• 2007

  Intrinsic bubbles and fat tails in stock prices: A note.  MACROECONOMIC DYNAMICS.  11:405-422.

  Full Text via DOI: 10.1017/S1365100507060178 Web of Science: 000246372400006
• 2007

  The impact of fat tails on equilibrium rates of return and term premia.  JOURNAL OF ECONOMIC DYNAMICS & CONTROL.  31:887-905.

  Full Text via DOI: 10.1016/j.jedc.2006.03.001 Web of Science: 000244552400007
• 2006

  On the economic impact of modelling nonlinearities: The asset pricing example.  MACROECONOMIC DYNAMICS.  10:56-76.

  Full Text via DOI: 10.1017/S1365100505050054 Web of Science: 000234340600004
• 2004

  On business cycle asymmetries in G7 countries.  OXFORD BULLETIN OF ECONOMICS AND STATISTICS.  66.

  Full Text via DOI: 10.1111/j.1468-0084.2004.00082.x Web of Science: 000223042000003
• 2004

  Testing for persistence in stock returns with GARCH-stable shocks.  QUANTITATIVE FINANCE.  4.

  Full Text via DOI: 10.1088/1469-7688/4/3/002 Web of Science: 000222767100005
• 2004

  A comparison of two alternative approaches to modeling level shifts in the presence of outliers.  COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION.  33.

  Full Text via DOI: 10.1081/SAC-200033317 Web of Science: 000224360800009
• 2003

  Do fluctuations in US inflation rates reflect infrequent large shocks or frequent small shocks?.  REVIEW OF ECONOMICS AND STATISTICS.  85.

  Full Text via DOI: 10.1162/003465303322369894 Web of Science: 000184967400023