Scholarly & Creative Works
selected scholarly works & creative activities
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Article
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2021A state space framework for the residual income valuation model of stock prices. SN Business & Economics. 1.Full Text via DOI: 10.1007/s43546-021-00066-5
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2014Time-varying financial spillovers from the US to frontier markets. Macroeconomics and Finance in Emerging Market Economies. 7:246-283.Full Text via DOI: 10.1080/17520843.2014.919330 Web of Science: 000450837800004
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2013On international financial spillovers to frontier markets. International Journal of Economics and Business Research. 5:433.Full Text via DOI: 10.1504/ijebr.2013.054257
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2012Risk 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
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2011Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors. Journal of Risk and Financial Management. 4:97-132.Full Text via DOI: 10.3390/jrfm4010097 Web of Science: 000219537400004
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2011THE PRESENT VALUE MODEL WITH STOCHASTIC DISCOUNT RATE AND AN ANN PROCESS FOR BROAD DIVIDENDS. Annals of Financial Economics. 6.Full Text via DOI: 10.1142/S2010495211500011 Web of Science: 000433657900001
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2010A 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
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2009Asset 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
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2007Intrinsic 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
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2007The 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
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2006On the economic impact of modelling nonlinearities: The asset pricing example. MACROECONOMIC DYNAMICS. 10:56-76.Full Text via DOI: 10.1017/S136510050605005X Web of Science: 000234340600004
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2005Forecast performance of neural networks and business cycle asymmetries. Applied Economics Letters. 1:205-210.Full Text via DOI: 10.1080/17446540500143848
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2004On business cycle asymmetries in G7 countries. OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 66:333-351.Full Text via DOI: 10.1111/j.1468-0084.2004.00082.x Web of Science: 000223042000003
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2004Testing for persistence in stock returns with GARCH-stable shocks. QUANTITATIVE FINANCE. 4:256-265.Full Text via DOI: 10.1088/1469-7688/4/3/002 Web of Science: 000222767100005
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2004Consumption equilibrium asset pricing in two Asian emerging markets. Journal of Asian Economics. 15:305-319.Full Text via DOI: 10.1016/j.asieco.2004.02.004
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2004A comparison of two alternative approaches to modeling level shifts in the presence of outliers. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION. 33:661-671.Full Text via DOI: 10.1081/SAC-200033317 Web of Science: 000224360800009
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2003Do fluctuations in US inflation rates reflect infrequent large shocks or frequent small shocks?. REVIEW OF ECONOMICS AND STATISTICS. 85:765-771.Full Text via DOI: 10.1162/003465303322369894 Web of Science: 000184967400023
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2003Consumption asset pricing with stable shocks - exploring a solution and its implications for mean equity returns. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 27:399-421.Full Text via DOI: 10.1016/S0165-1889(01)00054-9 Web of Science: 000178935700003
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2001Alternative regime switching models for forecasting inflation. Journal of Forecasting. 20:21-35.Full Text via DOI: 10.1002/1099-131X(200101)20:1<21::AID-FOR763>3.0.CO;2-0 Web of Science: 000166610400002
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2000Asymmetries in the conditional mean dynamics of real GNP: Robust evidence. REVIEW OF ECONOMICS AND STATISTICS. 82:153-157.Full Text via DOI: 10.1162/003465300558588 Web of Science: 000085761300014
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2000Commodity prices and the terms of trade. REVIEW OF INTERNATIONAL ECONOMICS. 8:647-666.Full Text via DOI: 10.1111/1467-9396.00248
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1999Sectoral investigation of asymmetries in the conditional mean dynamics of the real US GDP. Studies in Nonlinear Dynamics and Econometrics. 3:191-200.Full Text via DOI: 10.2202/1558-3708.1048 Web of Science: 000083209900002
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1998The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting. INTERNATIONAL JOURNAL OF FORECASTING. 14:457-468.Full Text via DOI: 10.1016/S0169-2070(98)00036-3 Web of Science: 000077562000003
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Optimal univariate inflation forecasting with symmetric stable shocks. Journal of applied econometrics. 13:659-670.Full Text via DOI: 10.1002/(SICI)1099-1255(199811/12)13:6<659::AID-JAE481>3.0.CO;2-Q Web of Science: 000077791300005
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Preprint
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2019A State Space Framework for the Residual Income Valuation Model of Stock PricesFull Text via DOI: 10.2139/ssrn.3466181
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2019Intrinsic Bubbles in Stock Prices Under Persistent Dividend Growth RatesFull Text via DOI: 10.2139/ssrn.3320234
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2012Time-Varying Financial Spillovers from the US to Frontier MarketsFull Text via DOI: 10.2139/ssrn.2011360
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2012Time-Varying Risk and Risk Premiums in Frontier MarketsFull Text via DOI: 10.2139/ssrn.2011366
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2011Time-Varying Financial Spillovers from the US to Frontier MarketsFull Text via DOI: 10.2139/ssrn.1832738
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2011Time-Varying Risk and Risk Premiums in Frontier MarketsFull Text via DOI: 10.2139/ssrn.1947412
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2008Incomplete Information in a Long Run Risks Model of Asset PricingFull Text via DOI: 10.2139/ssrn.1091169
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2006Intrinsic Bubbles and Fat Tails in Stock Prices: A NoteFull Text via DOI: 10.2139/ssrn.3361214
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2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.839926
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2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.682446
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2004On the Economic Impact of Modeling Non-Linearities: The Asset Pricing ExampleFull Text via DOI: 10.2139/ssrn.609681
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2004The Impact of Fat Tails on Equilibrium Rates of Return and Term PremiaFull Text via DOI: 10.2139/ssrn.627067
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2003Signal Extraction Can Generate Volatility Clusters from Iid ShocksFull Text via DOI: 10.2139/ssrn.447860
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2003Testing for Persistence in Stock Returns with Garch-Stable ShocksFull Text via DOI: 10.2139/ssrn.463661
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1997On Modeling Real Gnp: Non-Normality and Non-Linearity, But No Long MemoryFull Text via DOI: 10.2139/ssrn.2076
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1996Optimal Signal Extraction with Stable Shocks: The Case of U.S. InflationFull Text via DOI: 10.2139/ssrn.1378
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1996The Comparative Forecast Performance of Univariate and Multivariate ModelsFull Text via DOI: 10.2139/ssrn.1386
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Identifiers
ORCID iD
- https://orcid.org/0009-0002-3494-8994 (confirmed)
