Back to Adlai's Home Page
Current Working Papers (Older working papers are here .)
- SEOs, Real Options, and Risk Dynamics: Empirical Evidence , with M. Carlson and R. Giammarino. September, 2007. pdf.
- Conditional Risk, Overconditioning, and the Performance of Momentum Strategies, with O. Boguth, M. Carlson, and M. Simutin. July, 2007. pdf.
- Reputation and Managerial Truth-Telling as Self-Insurance, with R. Heinkel. August, 2007 (revised). pdf.
Publications
- Multifrequency Jump-Diffusions: An Equilibrium Approach, with L. Calvet. April, 2007. pdf. forthcoming, Journal of Mathematical Economics.
- Multifrequency News and Stock Returns, with L. Calvet. June, 2006. pdf. forthcoming, Journal of Financial Economics.
- Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance, with M. Carlson and R. Giammarino (2006). pdf. Journal of Finance. 61, 1009-1034.
- Volatility Comovement: A Multifrequency Approach, with L. Calvet and S. Thompson (2006). pdf. Journal of Econometrics. 131, 179-215.
- Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns, with M. Carlson and R. Giammarino (2004). pdf. Journal of Finance. 59, 2577-2603.
- How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes, with L. Calvet (2004), Journal of Financial Econometrics 2, 49-83.
- Multifractality in Asset Returns: Theory and Evidence, with L. Calvet (2002), Review of Economics and Statistics 84, 381-406.
- Forecasting Multifractal Volatility, with L. Calvet (2001), Journal of Econometrics 105, 27-58.