Working Papers, Other Papers, Work in Progress, and Computer Programs

  • Working Papers

    "Testing the Trade-off Theory of Capital Structure: A Kalman Filter Approach," with Tian Zhao) Download Draft (PDF File)

    "Pairs-Trading in the Asian ADR Market," (with Gwangheon Hong) Download Preliminary Draft (PDF File)

    "Bank Consolidation and Performance: The Argentine Experience," (with Ritu Basu and Pablo Druck) April 2002. Download Draft (PDF File)

    "A Switching Volatility Model for Inflation: International Evidence," April 1998. Download Word Perfect File (graphs are missing)

    "Switching Volatility: Empirial Results and Simulations," August 1995.


  • Work in Progress

    "Price Discovery in Stock and Option Markets:A Portfolio Approach." (with Jung Hwang).

    "Equilibrium Regional Real Estate Prices and Convergence."

    "The Real Exchange Rate under Censoring."

    "Long Run Stock Returns."

    "Stock Returns, Exchange Rate Exposure and Industry Composition."

    "An Options Approach Look at the Size and Book-to-Market Factors."

    "Implied Volatility and Convenience."


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