Research

Click here for an overview of my research.

Publications

Dynamic Dependence and Diversification in Corporate Credit, with Peter Christoffersen, Kris Jacobs, and Xisong Jin, 2017, forthcoming in the Review of Finance.

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

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.

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)

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