An Econometric Analysis of Nonsynchronous Trading
with Craig MacKinlay, Journal of Econometrics 45 (1990), 181–212.
Games of Survival in the Newspaper Industry
with Randolph Bucklin and Richard Caves, Applied Economics 21 (1989), 631–650.
Optimal Control of Execution Costs
with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.
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.
Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices
with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specifcation Test
with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.
Maximizing Predictability in the Stock and Bond Markets
with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.
Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
Econometric Theory 4 (1988), 231-247.
Implementing Option Pricing Models When Asset Returns Are Predictable
with Jiang Wang, Journal of Finance 50 (1995), 87–129.
Asset Prices and Trading Volume Under Fixed Transactions Costs
with Harry Mamaysky and Jiang Wang, Journal of Political Economy 112 (2004), 1054–1090.