Working Papers

“Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach” (Applied Financial Economics, forthcoming) [pdf]

“Does a Slowdown in the Sensitive Sector of the Economy Signal Economic Recession?”, with Thomas Fomby

“Does Weather Matter?” (under review) [pdf]

“Return Dependence and the Limits of Product Diversification in Financial Firms”, with Thomas Fomby and Jeffery Gunther [pdf]

Work in Progress

“A Dynamic Common Factor Model on Inflation”

“Systemic Risk in Financial Services:  Evidence from the Home Mortgage Crisis”, with Thomas Fomby and Jeffery Gunther

“Asymmetric Dependence Between Hedge Fund and Market Returns”, with Thomas Fomby and Jeffery Gunther