Research
Conditional correlation and volatility in commodity futures and traditional asset markets (with J. Miffre). Journal of Alternative Investments, 2010, forthcoming.
Conditional correlations and real estate investment trusts (with J. Miffre and S. Stevenson). Journal of Real Estate Portfolio Management, 2009, 15, 2, 173-184.
EVA: The bubble years, meltdown, and beyond (with D. Fountaine, M. Her, and G.M. Phillips).Journal of Asset Management, 2009, 10, 3, 181-191.
The effectiveness of regulatory policy changes on the volatility dynamics of the Chinese stock markets (with H. Chen, C. Lu, and K. Wang). The Chinese Economy, 2008, 41, 2, 5-23.
Integrating A- and B-share markets in China: The effects of regulatory policy changes on market efficiency (with C. Lu, K. Wang, and H. Chen). Review of Pacific Basin Financial Markets and Policies, 2007, 10, 3, 309-328.
To sin or not to sin? Now that's the question (with M. Her and G.M. Phillips). Journal of Asset Management, 2006, 6, 6, 406–417.
The forecasting abilities of implied and econometric variance-covariance models across financial measures. Journal of Economics and Business, 2005, 57, 5, 463–490.
Value at risk from econometric models and implied from currency options. Journal of Forecasting, 2004, 23, 8, 603–620.
Options trading profits from correlation forecasts. Applied Financial Economics, 2004, 14, 15, 1075–1085.
Market value as an investment selection tool: A portfolio separation test (with D. Cary, M. Her, and G.M. Phillips). Investment Management and Financial Innovations, 2004, 1, 1, 114–118.
The information content of econometric and implied forecasting models. Journal of Interdisciplinary Economics, 2004, 15, 2, 193–216.
The statistical performance of econometric and implied forecasting models. Journal of Interdisciplinary Economics, 2004, 15, 1, 83–98.
The cross-currency hedging performance of implied versus statistical forecasting models (with C. Brooks). Journal of Futures Markets, 2001, 21, 11, 1043–1069.
