- 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.
- 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
- 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.
- 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.
- Signalling via stock splits: Evidence from short interest, with Andriy Shkilko and Ning Tang.
- Pricing dynamics in the market for Catastrophe Bonds, with Peter Carayannopoulos and Olga Kanj
Work in Progress
- The Ripple effect in stock markets, with Andriy Shkilko and Diego Amaya
- Estimation of the number of factors for small panels, with Seung Ahn
- Economic impact of investment disputes, with Zdenek Drabek and Josef Brada
- Board Diversity in Insurance markets, Olga Kanj and Mary Kelly
- Index tracking by factor models with Pan Jiang
- The effects of Cat Bonds in the Insurance market, with Olga Kanj
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