PUBLICATIONS / WORKING PAPERS |
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Moment Conditions Tests for Heavy Tailed Time Series
- with J. Hill (2013) Journal of Econometrics: Annals Issue on Extreme Value Theory,
Vol 172, Iss. 2, pgs 255-274 |
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MacroJournal - Turning Students into Practitioners (2013) -
with D. Soques (Forthcoming at
The Journal of Economic Education) |
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The Fiscal Challenge - An experiential exercise for solving the U.S. debt
problem" (2013) - with D. Soques |
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Trading Fragmentation and REIT Market Quality (2013) - with W. Boudry and R.
Connolly |
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Don't Be Late: Evaluating the Cost of Latency (2012) - with A. Patel and Y.
Wang. Funding sponsored by the Herbert Brown Mayo Research Fellowship |
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Robust
Score and Pormanteau Tests of Volatility Spillover (2012) - with J. Hill
(Revisions requested at the Journal of Econometrics) |
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Information Arrivals,
Frictions, and Volatility
- with (2011) M. Ringgenberg.
Funding sponsored by The Institute for Quantitative Research in Finance |
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A Latent Factor Model Of Multivariate Conditional Heteroscedasticity -
(Abstract)
(2009) Journal of Financial Econometrics, Vol 7., Iss. 4, pgs 481-503 |
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Indirect Inference For Moment Equations With Infinite Variance - with J.
Hill and E. Renault (2008) |
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A Moment Based Test Of GARCH Against Stochastic Volatility - with E. Renault
(2008) |
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| PRESENTATIONS & CODE (may be useful for students) |
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"Economic Overview" given at recent UNC-CH Fed
Challenge & CEC |
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3/19/09 | 4/16/09
| 10/01/09 |
3/29/11 |
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Introduction to Financial Econometrics @ SAMSI 11/18/05 |
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Quick Introduction to Matlab for Econometricians -
MatlabIntro |
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UNC-CH Dissertation Format - UNCCHDis.zip |
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Invoking Matlab in Emerlad (by Sang Soo Park) |
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Macro & Financial Market Summary Sheet
& ChartBook |
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| Macro
Journal |
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Each week I ask my students three
key questions that gauge their assessment of the U.S. economy. The questions
are posed as follows: "Given the data and news stories released in the
previous week, has your assessment of OVERALL ECONOMIC ACTIVITY improved,
deteriorated, or remained the same, as compared to the previous week?" We
then replace the phrase OVERALL ECONOMIC ACTIVITY with the LABOR MARKET and
PRICE LEVEL. Their assessment is classified into one of three categories: a)
Improving, b) Deteriorating, c) Remaining the Same. |
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You may click
here for a complete description of the assignment. Below is a graphic
that summarizes their responses over time. You may click
here for a larger image of the graphic. |
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