| Publications
Refereed journal articles
"Threshold Relationships Among Inflation, Financial Market Development, and Growth," with Nicolas Duquette. Journal of Financial Transformation 17 (August 2006).
"Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital," with Jose A. Lopez. Journal of Banking and Finance 30(6): 1687-1711 (June 2006).
“Inflation and Asset Returns,” with John
H. Boyd and Bruce D. Smith. European Economic Review.
43: 737-54 (1999).
“Inflation and Nominal Returns Revisited: A
TAR Approach to 39 Countries.” Journal of
Multinational Financial Management. 9(3-4): 233-45 (November 1999).
Other journal articles
"What Is the Federal Reserve Banks' Imputed Cost of Equity Capital?" with Jose A. Lopez. FRBSF Economic Letter 2006-6 (April 7, 2006).
“Inside
and Outside Bounds: Threshold Estimates of the Phillips
Curve,” with Giovanni P. Olivei. New England Economic Review(2003).
Books and book chapters
“Are China’s Stock Markets Really Weak-form
Efficient?” with Shiguang Ma in The Efficiency
of China’s Stock Market, Shiguang Ma, ed.
Hampshire, United Kingdom: Ashgate Publishing Ltd.,
2004.
“Market Efficiency or Not? The Behaviour of
China’s Stock Prices in Response to the Announcement
of Bonus Issues,” with Shiguang Ma in The
Efficiency of China’s Stock Market, Shiguang
Ma, ed. Hampshire, United Kingdom: Ashgate Publishing
Ltd., 2004.
“On the Nature of the Dependence in the Volatility
of U.S. Stock Returns.” Proceedings from the
Econometric Society of Australasia Meetings (ESAM),
July 1999, Sydney, Australia.
Working papers and other unpublished papers
"A Principal Components Appoach to Estimating Labor Market Pressure and Its Implications for Inflation," FRB Public Policy Briefs Series, brief no. 07-2 (2007).
“Alternative
Measures of the Federal Reserve Banks’ Cost of Equity Capital,” with
Jose A. Lopez. FRB Boston Public Policy Discussion Papers Series, paper no. 05-2
(2005).
“A Quantile
Regression Analysis of the Cross Section of Stock
Market Returns,” with Anthony W. Hughes.
FRB Boston Working Papers Series, paper no. 02-2 (2002).
“The Behavior
of China’s Stock Prices in Response to the Proposal
and Approval of Bonus Issues,” with Shiguang
Ma. FRB Boston Working Papers Series, paper no. 02-1 (2002).
“Beta Estimation and Forecasting with Panel
Data Methods,” with Anthony W. Hughes, unpublished.
(May 2000; latest version April 2001).
“Market Efficiency or Not? The Behaviour of
China’s Stock Prices in Response to the Announcement
of Bonus Issues,” with Shiguang Ma, unpublished.
(December 2000; latest version February 2002).
“Corporate Governance and China’s Securities
Markets,” with Shiguang Ma and Ryan Martin, unpublished.
(November 2000).
“Beta Estimation and Forecasting with Quantile
Regression Methods,” with Anthony W. Hughes,
unpublished. (October 2000; latest version February
2002).
“Threshold Relationships Among Inflation, Financial
Market Development and Growth,” unpublished.
(April 2000; latest version May 2001).
“Are China’s Stock Markets Really Weak-Form
Efficient?” with Shiguang Ma, unpublished. (March
2000; latest version February 2001).
“On the Nature of the Dependence in the Volatility
of U.S. Stock Returns,” unpublished. (December
1997; revised August 1998).
“Long Memory in the Volatility of Portfolios
and the Aggregation of Short-memory Processes,”
with Pedro J. F. de Lima, unpublished. (May 1996;
revised September 1999).
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