"Expected Idiosyncratic Skewness" (with Todd Mitton and Keith Vorkink) 2010, Review of Financial Studies, 23, 169-202. [PDF][Data]
"Investor Flows and Stock Market Returns" (with Lu Zheng) 2009, Journal of Empirical Finance, 16, 87-100. [PDF]
"How do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices" (with Tomomi Kumagai and Kathy Yuan) 2006, Journal of Finance, 61, 957-1003. [PDF]
Before graduate school:
"A Comparison of Partially Adaptive and Reweighted Least Squares Estimation" (with James McDonald and Whitney Newey) 2003, Econometric Reviews, 22, 115-134. [PDF]
"Evaluating Forecasts of Correlation Using Option Pricing" (with Michael Gibson) 1998, Journal of Derivatives, 6, 18-38. [PDF]
"Pitfalls in Tests for Changing Correlations" (with Michael Gibson and Mico Loretan) 1997, Board of Governors of the Federal Reserve System International Finance Discussion Papers, 597. [PDF]