Publications
" Variance bounds on the permanent and transitory components of stochastic discount factors" (with Gurdip Bakshi), Journal of Financial Economics, January (2012).
"Pricing Kernels with Stochastic Skewness and Volatility Risk,"; Management Science, Vol. 58, No. 3, March 2012, pp. 624-640. Online Appendix
"A Generalized Measure of Riskiness" (with Turan Bali and Nusret Cakici), " Management Science, Vol. 57, No. 8, August 2011, pp. 1406–1423.
"Explaining the Idiosyncratic Volatility Puzzle using Stochastic Discount Factors." Journal of Banking and Finance, 2011, vol. 35, 1971-1983.
"Conditioning Information and Variance Bound on Pricing Kernels with Higher-Order Moments: Theory and Evidence"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): 973-1011.
Working Papers
"Does Aggregate Riskiness Predict Future Economic Downturns?" , September 2011 (with Turan Bali and Nusret Cakici). "Does Option Market Reveal Stock Market's Riskiness?" , December 2011 (with Turan Bali and Nusret Cakici). "Riskier Times and Asset Returns" , September 2011 (with Gurdip Bakshi and Xiaohui Gao). "Riskiness Measures and Expected Returns" , April 2011 (with Turan Bali and Nusret Cakici)."On the Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk" (with Eric Ghysels 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.
"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.