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.
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.
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.
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
with Craig MacKinlay, Review of Financial Studies 1 (1988), 41-66.