Publications
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The Efficient IPO Market Hypothesis: Theory and Evidence, with Kevin James (Forthcoming, Journal of Financial and Quantitative Analysis)
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Learning from history: volatility and financial crises, with Jon Danielsson and Ilknur Zer. Review of Financial Studies, 2018
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Learning and forecasts about option returns through the volatility risk premium, with Alejandro Bernales and Xiaohua Chen. Journal of Economic Dynamics & Control, 2017
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Model risk of risk models, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Financial Stability, 2016
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Can we prove a bank guilty of creating systemic risk? A minority report, with Jon Danielsson, Kevin James and Ilknur Zer. Journal of Money Credit and Banking, 2016
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Relative liquidity and future volatility, with Piotr Fryzlewicz, Thorsten Rheinländer and Ilknur Zer. Journal of Financial Markets, 2015
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Competition, signaling and non-walking through the book: Effects on order choice, with Ilknur Zer. Journal of Banking & Finance, 2013
Working papers
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Implied Correlation and Market Returns, with Alejandro Bernales (submitted)
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A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition, with Alejandro Bernales, Nicolás Garrido, Satchit Sagade, and Christian Westheide (submitted)