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.
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.
Reading About the Financial Crisis: A Twenty-One-Book Review
Journal of Economic Literature 50 (2012), 151-178.
Maximizing Predictability in the Stock and Bond Markets
with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.
Implementing Option Pricing Models When Asset Returns Are Predictable
with Jiang Wang, Journal of Finance 50 (1995), 87–129.
A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks
with James Hutchinson and Tomaso Poggio, Journal of Finance 49 (1994), 851-889.
An Ordered Probit Analysis of Transaction Stock Prices
with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31 (1992), 319–379.
Long-Term Memory in Stock Market Prices
Econometrica 59 (1991), 1279–1313.
Data Snooping Biases in Tests of Financial Asset Pricing Models
with Craig MacKinlay, Review of Financial Studies 3 (1990), 431–468.
When Are Contrarian Profits Due To Stock Market Overreaction?
with Craig MacKinlay, Review of Financial Studies 3 (1990), 175–205.