| Publications
Books
“Implications of Alternative Operational Risk
Modelling Techniques,” with J. Jordan and E.
Rosengren, in M. Carey and R. Stulz, eds., The
Risks of Financial Institutions,
NBER/University of Chicago Press, 2006.
“Searching for Sources of ARCH Behavior: Testing
the Mixture of Distributions Model,” in P.
Rothman, ed., Nonlinear Time Series Analysis
of Economic and Financial Data, Kluwer Academic
Publishers, 1999.
Journals
“Capital
and Risk: New Evidence on Implications of Large
Operational Losses,” with Virginia DeJesus-Rueff,
John Jordan, and Eric Rosengren. Forthcoming in Journal
of Money, Credit and Banking.
“How New Entry in Options Markets Affected
Market Making and Trading Costs” with Raymond
P.H. Fishe and Jeffrey H. Harris. Journal of
Investment Management.
vol. 3, no. 2 (Second Quarter 2005): 24-40.
“The Behavior of Bid-Ask Spreads and Volume
in Options Markets During the Listings Competition
in 1999,” with Raymond
P.H. Fishe, and Jeffrey H. Harris. Journal of
Finance. vol. 58 no. 6 (December 2003): 2437-2464.
“Transaction Costs and the Present-Value Puzzle
of Farmland Prices,” with Sergio Lence. Southern
Economic Journal. (2002).
“Information Dynamics in Financial Markets.”
Macroeconomic Dynamics. (2001).
“Expectational Stability in Monetary Economies,”
with William Brock. Journal of Economic Dynamics
and Control. (2000).
Working papers
“Capital
and Risk: New Evidence on Implications of Large
Operational
Losses,” with Virginia DeJesus-Rueff, John
Jordan, and Eric Rosengren. FRB Boston Series, paper
no. 03-5 (2003).
“Measuring
Reputational Risk: The Market Reaction to Operational
Loss Announcements,” with
Jason Perry.
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