Research


Empirical Issues in the Pricing of Options and Other Derivative Securities

Cuadernos Economicos de ICE 50 (1992), 129–155.

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An Ordered Probit Analysis of Transaction Stock Prices

with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.

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Long-Term Memory in Stock Market Prices

Econometrica 59 (1991), 1279–1313.

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Data Snooping Biases in Tests of Financial Asset Pricing Models

with Craig MacKinlay, Review of Financial Studies 3 (1990), 431–468.

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When Are Contrarian Profits Due To Stock Market Overreaction?

with Craig MacKinlay, Review of Financial Studies 3 (1990), 175–205.

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An Econometric Analysis of Nonsynchronous Trading

with Craig MacKinlay, Journal of Econometrics 45 (1990), 181–212.

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Games of Survival in the Newspaper Industry

with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

with Craig MacKinlay, Journal of Econometrics 40 (1989), 203-238.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Econometric Theory 4 (1988), 231-247.

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Semiparametric Upper Bounds for Option Prices and Expected Payoffs

Journal of Financial Economics 19 (1987), 373-388.

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