Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices
with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.
Systemic Risk and the Refinancing Ratchet Effect
with Amir E. Khandani and Robert C. Merton., Journal of Financial Economics 108 (2013), 29-45.
The Psychophysiology of Real-Time Financial Risk Processing
with Dmitry V. Repin, Journal of Cognitive Neuroscience 14 (2002), 323–339.
Econometric Models of Limit-Order Executions
with Craig MacKinlay and June Zhang, Journal of Financial Economics 65 (2002), 31–71.
The Sources and Nature of Long-Term Dependence in the Business Cycle
with Joseph Haubrich, Federal Reserve Bank of Cleveland Economic Review 37 (2001), 15–30.
Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach
with Dimitris Bertsimas and Leonid Kogan, Operations Research 49 (2001), 372–397.
Computational Challenges in Portfolio Management
with Martin Haugh, Computing in Science & Engineering 3 (2001), 54–59.
Asset Allocation and Derivatives
with Martin Haugh, Quantitative Finance 1 (2001), 45–72.
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
with Harry Mamaysky and Jiang Wang, Journal of Finance 55 (2000), 1705–1765.
Finance: A Selective Survey
Journal of the American Statistical Association 95 (2000), 629-635.