Publications
"Option pricing with model-guided nonparametric methods" (with Jianqing Fan)
Journal of the American Statistical Association, forthcoming
"A GARCH option pricing model with filtered historical simulation" (with Giovanni Barone-Adesi and Robert Engle)
Review of Financial Studies, 2008, Vol. 21, 1223-1258
"Out of sample forecasts of quadratic variation" (with Yacine Aït-Sahalia)
Journal of Econometrics, 2008, Vol. 147, 17-33
"Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models" (with Elvezio Ronchetti and Fabio Trojani)
Journal of the American Statistical Association, 2005, Vol. 100, 628-641
Working papers
"Detecting informed trading activities in the options markets" (with Marc Chesney and Remo Crameri)
"Liquidity in the Foreign Exchange market: Measurement, commonality, and risk premiums" (with Angelo Ranaldo and Jan Wrampelmeyer)
"Robust Value at Risk Prediction" (with Fabio Trojani)
