Research


Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559.

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Privacy-Preserving Methods for Sharing Financial Risk Exposures

with Emmanuel A. Abbe and Amir E. Khandani, American Economic Review: Papers & Proceedings 102 (2012), 65-70.

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A Computational View of Market Efficiency

with Jasmina Hasanhodzic and Emanuele Viola, Quantitative Finance 7, 1043-1050

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Black’s Leverage Effect is Not Due to Leverage

with Jasmina Hasanhodzic

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Reading About the Financial Crisis: A Twenty-One-Book Review

Journal of Economic Literature 50 (2012), 151-178.

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Measuring Systemic Risk in the Finance and Insurance Sectors

with Monica Billio, Mila Getmansky, and Loriana Pelizzon

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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

with Amir Khandani, Journal of Financial Markets 14 (2011), 1-46.

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The National Transportation Safety Board: A Model for Systemic Risk Management

with Eric Fielding and Jian Helen Yang, Journal of Investment Management 9 (2011), 17-49.

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Security Trading of Concepts (STOC)

with Ely Dahan, Adlar J. Kim, Tomaso Poggio, and Nicholas T. Chan, Journal of Marketing Research, 48 (2011), 497-517.

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The Origin of Behavior

with Thomas Brennan, Quarterly Journal of Finance 1 (2011), 55-108.

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