Research‎ > ‎

Working Papers

Papers under review

  • Testing Asset Pricing Models in the Presence of Measurement Error: A Nonparametric Approach (with A. Ghosh)
  • Estimation of Additive Nonparametric Models with Structural Breaks (with A. Banerjee)
  • An Empirical Analysis of Circuit Breakers on the London Stock Exchange (with James Brugler)
  • A Dynamic Semiparametric Model For Optimal Portfolio Selection (with G Connor and M. Hagmann)
  • Estimation of Second-price Auctions and Generalized Competing Risk Models (with T. Komarova and S. Srisuma)
  • Nonparametric Endogenous Censored Regression with Dependant Data (with Ba Chu, D.T. Jacho Chavez and Arthur Lewbel)
  • Estimation of an Infinite Order Nonparametric Regression (with Seok Young Hong)
  • Estimating the Bid Ask Spread with a Simple Nonparametric Method from the Roll Model (with X. Chen and S. Schneeberger)
  • A Ratio Test of the Martingale Hypothesis for Gross Returns (with E. Smetanina)
  • The Lower Regression Function and Testing the Expectation Dependance Dominance Hypothesis (with Y. Whang)
  • The Effect of Minimum Resting Times in a Glosten Model (with J.P. Zigrand and E. Smetanina)
  • Estimation of a Parsimonious Parametric Model for a Large Covairance Matrices (with Christian Hafner and Haihan Tang)