Working Papers
- Fitting vast dimensional time-varying covariance models (joint with Robert F. Engle and Neil Shephard)
- Ambiguity and the historical equity premium (joint with Fabrice Collard, Sujoy Mukerji and Jean-Marc Tallon)
- Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility (joint with A. Patton)
- Economic factors and the covariance of Equity Returns
- Theoretical properties of Dynamic Conditional Correlation (joint with Robert F. Engle)
- Flexible Covariance-Targeting Volatility Models Using Rotated Returns (joint with D. Noureldin and N. Shephard)
- Efficient and feasible inference for the components of financial variation using blocked multipower variation (joint with P. Mykland and N. Shephard)
- Econometric analysis of vast covariance matrices using composite realized kernels (joint with A. Lunde and N. Shephard)
- Forecasting Covariances using High-Frequency Data and Positive Semi-Definite Matrix Multiplicative Error Models
- Realized Covariance and Scrambling
- Evaluating the Specification of Covariance Models for Large Portfolios (joint with Robert F. Engle)