Research

Publications:

Finance Journals

  • Estimation of Multivariate Asset Models with Jumps, with Angela Loregian, Laura Ballotta, and Gianluca Fusai, 2019, Journal of Financial and Quantitative Analysis, 54(5),2053-2083.

  • Catering through nominal share prices revisited with Andriy Shkilko, 2017, Critical Finance Review, 6(1), 43-75.

  • Factor Models for Binary Financial Data, with Andriy Shkilko and Konstantin Sokolov, 2015, Journal of Banking and Finance, 61, S177-S188.

  • Dynamic effects of idiosyncratic volatility and liquidity in corporate bond spreads, with Madhu Kalimipalli and Subhankar Nayak, 2013, Journal of Banking and Finance, 37(8), 2969-2990.

  • Two-Pass estimation of risk premiums with multicollinear and near-invariant betas, with Seung C. Ahn, and Christopher Gadarowski, 2013, Journal of Empirical Finance, 20(1), 1-17 (lead article).

  • Robust Two-Pass Cross-Sectional Regression: A Minimum Distance Approach, with Seung C. Ahn, and Christopher Gadarowski, 2012, Journal of Financial Econometrics, 10(4), 669-701.

  • GMM estimation of the number of latent factors: With Application to International Stock Markets, with Seung C. Ahn. 2010, Journal of Empirical Finance, 17(4), 783-802.

  • Is there a missing factor? A Canonical Correlation approach to factor models, 2018 with Seung Ahn and Stephan Dieckmann. Review of Financial Economics, 16(4),640-663 . Selected as top 20 most read paper in the Journal 2017-2018.

Economics Journals

  • National Levels of Corruption and Foreign Direct Investment, with J. Brada, Z. Drabek and J. Mendez. Forthcoming at Journal of Comparative Economics.

  • Illicit money flows as motives for FDI, with Josef C. Brada and Zdenek Drabek, 2012, Journal of Comparative Economics, 40(1), 108-126. Winner of the Montias Prize for the best paper published in the Journal of Comparative Economics 2012-2014.

  • The Effect of Home-country and Host-country Corruption on Foreign Direct Investment, with Josef C. Brada and Zdenek Drabek. 2012, Review of Development Economics, 16(4),640-663.

Insurance Journals

  • Pricing dynamics in the market for Catastrophe Bonds, The Geneva Papers on Risk and Insurance, forthcoming , with Peter Carayannopoulos and Olga Kanj

  • Diversification through CAT bonds: lessons from the subprime financial crisis, with Peter Carayannopoulos, 2015, The Geneva Papers on Risk and Insurance, 40(1), 1-28 (lead article). Selected for the 2015 Journal 40 years of GPP: Anniversary Collection


Working Papers:

- Executive Compensation and Market Valuation of Managerial Attributes, with Si Li.

- Signalling via stock splits: Evidence from short interest, with Andriy Shkilko and Ning Tang.

- Follow the leader: Index tracking with factor models, with Pan Jiang.

- Effects of Parity Laws, with Santiago Basabe

- Board Diversity in Insurance markets, Olga Kanj and Mary Kelly

- The Ripple effect in stock markets, with Andriy Shkilko and Diego Amaya

Work in Progress

- Estimation of the number of factors for small panels, with Seung Ahn

- Economic impact of investment disputes, with Zdenek Drabek and Josef Brada

- The effects of Cat Bonds in the Insurance market, with Olga Kanj