Research
Main publications
The Coskewness Puzzle (with D. Wang), Journal of Banking and Finance, forthcoming, 2010 (based on Co-Skewness and Conditional Asset Pricing, March 2005, presented at the EFA 2005 Doctoral Colloquium). Download pdf
A DCC-VARMA Model of Portfolio Risk, in Gregoriou, G.N. (eds.), Stock Market Volatility, Chapman Hall-CRC/Taylor & Francis, 2009.
Have European Stocks Become More Volatile? (with C. Kearney), European Financial Management 14(3), 2008 (based on Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets, EFA 2003 Conference Paper no. 744). Download pdf
Credit Risk Capital Allocation and Performance Measurement in Banking Institutions, in Gregoriou, G.N. and C. Hoppe (eds.), The Handbook of Credit Portfolio Management, McGraw-Hill, 2008.
Performance Persistence of Unit Funds: Evidence from a Small, Integrated Market (with E. Duffy), in Gregoriou, G.N. (eds.), Mutual Funds: An International Perspective, Palgrave-MacMillan, 2006. Download pdf
Discount Factor and Conditional Return Volatility, Applied Financial Economics Letters (now merged into Applied Economics Letters) 1(6), 2005. Download pdf
Correlation Dynamics in European Equity Markets (with C. Kearney), Research in International Business and Finance 20(3), 2006. Download pdf
International Portfolio Formation, Skewness and the Role of Gold (with B. Lucey and E. Tully), Frontiers in Finance and Economics 3(1), 2006.
Current research and working papers
A Stochastic Discount Factor Volatility Upper Bound in a Mean-Variance-Skewness World: No Good Deal Implications for Multi-Factor Models Estimates, June 2007. Download pdf
Estimating Factor Models with Coskewness: Stochastic Discount Factor Volatility Bounds and the Problem of Luck, February 2007, American Association of Individual Investors Best Paper Award. Download pdf
Predictability and ‘Good Deals’ in Currency Markets (with R. Levich), NBER Working Paper Series No w14597, November 2006. Download pdf
The Signature of Sentiment in Conditional Multi-Factor Model Estimates (with H. Shefrin and DengLi Wang), July 2007. Download pdf
Co-Skewness and Conditional Asset Pricing, March 2005, presented at the EFA 2005 Doctoral Colloquium. Download pdf
Hedge Fund Performance and Generalized Sharpe Ratios (with C. Sheridan), June 2006. Download pdf
My SSRN page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=345615
