Publications
The Review of Financial Studies, 2008, 21 (1): 181-231"State Dependence Can Explain Risk-Aversion Puzzle", (with René Garcia, and Eric Renault)
The Review of Financial Studies, 2008, 21 (2): 973-1011Working Papers
"Volatility of Fama-French Factors and the Cross-Section of Returns," October 2009
"Expected Returns and Volatility of Fama-French Factors"
Original version August 2009, Latest version September 2009"Explaining the Idiosyncratic Volatility Puzzle using Stochastic Discount Factors." Original version date: Oct. 2008, Latest revision date: July 2009
"Pricing Kernels with Coskewness and Volatility Risk", Working Paper No. 2008-25, October 2008, Latest Revision March 2009 "Under Revision"
"On the Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (with Dietmar Leisen and Eric Renault). Bank of Canada Working Paper No. 2008-16
"Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing," with Dietmar Leisen and Eric Renault). Bank of Canada Working Paper No. 2007-47.
Under Review."A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Ex-change Rate," (with Jun Yang ) Bank of Canada Working Paper No. 2007-21.
"The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," (with René Garcia, and Eric Renault), Bank of Canada Working Paper No. 2005-2.