Research

Publications

Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach, with Peter Christoffersen, Vihang Errunza, and Kris Jacobs, 2012, Review of Financial Studies, 25:3711–3751.

The Joint Dynamics of Equity Market Factors, with Peter Christoffersen, 2013, Journal of Financial & Quantitative Analysis, 48:1371–1404.

Book and Book Chapter

Rational Investing: The Subtleties of Asset Management, with Jacques Lussier, Columbia University Press, 2017.

Optimal Hedging of American Options in Discrete Time, with Bruno Rémillard, Alexandre Hocquard, and Nicolas Papageorgiou, 2011, in Numerical Methods in Finance, R. Carmona, P. del Moral, P. Hu and N. Oudjane, (Eds), Springer.

Working Papers

Asset Pricing with Return Asymmetries: Theory and Tests

2015 Crowell First Prize, PanAgora Asset Management (see Pensions & Investments)

Dynamic Dependence and Diversification in Corporate Credit, with Peter Christoffersen, Kris Jacobs, and Xisong Jin, 2013.

Accounting Information Releases and CDS Spreads, with Redouane Elkamhi, Kris Jacobs, and Chayawat Ornthanalai, 2012.