Published Papers

"The Chinese Warrants Bubble," (with Wei Xiong), American Economic Review, Vol. 101, 2723-2753, 2011

"Disagreement and Return Predictability of Stock Portfolios," Journal of Financial Economics, Vol. 99, 162-183, 2011

"Gone Fishin’: Seasonality in Trading Activity and Asset Prices," with Harrison Hong, Journal of Financial Markets, Vol. 12, 672–702, 2009.

"High Frequency Market Microstructure Noise Estimates and Liquidity Measures," with Yacine Aït-Sahalia, Annals of Applied Statistics, Vol. 3, 422-457, 2009.

"Firms as Buyers of Last Resort," with Harrison Hong and Jiang Wang, Journal of Financial Economics, Vol. 88, pp. 119-145, 2008.

"Closed-Form Likelihood Approximation and Estimation of Jump-Diffusions with an Application to the Realignment Risk of the Chinese Yuan," Journal of Econometrics, Vol. 141, pp. 1245-1280, 2007.

"Simple Forecasts and Paradigm Shifts," with Harrison Hong and Jeremy Stein, Journal of Finance, Vol. 62, pp1207-1242, 2007.

"Saddlepoint Approximations for Continuous-Time Markov Processes," with Yacine Aït-Sahalia, Journal of Econometrics, Vol. 134, pp. 507-551, 2006.

"Lack-of-Recall and Centralized Monetary Trade," with Temzelides, Theodosios, International Economic Review, Vol. 45, No. 4, pp. 1221-1227, November 2004.

Comments

"Comment on 'China's Exchange Rate Regime: The Long and Short of It' (by Barry Eichengreen)." in China's Financial Transition at a Crossroads, edited by Charles W. Calomiris, Columbia University Press, 2007.