Working Papers

"Sluggish news reactions: A combinatorial approach for synchronizing stock jumps"
with  Nabil Bouamara,  Kris Boudt, and  Sébastien Laurent
Federal Reserve Bank of St. Louis Working Paper 2024-006A, March 2024

"Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications"
with  Deniz Erdemlioglu and  Xiye Yang
Federal Reserve Bank of St. Louis Working Paper 2023-016A, July 2023

"Mind Your Language: Market Responses to Central Bank Speeches"
with  Maximilian Ahrens,  Deniz Erdemlioglu,  Michael McMahon, and  Xyie Yang
Federal Reserve Bank of St. Louis Working Paper 2023-013B, February 2024

"Financial market reactions to the Russian invasion of Ukraine"
Federal Reserve Bank of St. Louis Working Paper 2022-032A, September 2022

"More Stories of Unconventional Monetary Policy"
with  Evan Karson
Federal Reserve Bank of St. Louis Working Paper 2020-043A, October 2020

"The Dynamic Interaction of Order Flows and the CAD/USD Exchange Rate"
with  Nikola Gradojevic
Federal Reserve Bank of St. Louis Working Paper 2008-006C, August 2009

"Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates"
Federal Reserve Bank of St. Louis Working Paper 2005-031C, May 2006

"The Case for Foreign Exchange Intervention: The Government as an Active Reserve Manager"
Federal Reserve Bank of St. Louis Working Paper 2004-031B, November 2004

"Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly?"
Federal Reserve Bank of St. Louis Working Paper 2003-018C, July 2003

"Testing Asset Pricing Models with Euler Equations: It's Far Worse Than You Think. Original version, 94-010A"
Federal Reserve Bank of St. Louis Working Paper 1995-018A, September 1995

"A Reconsideration of the Properties of the Generalized Method of Moments in Asset Pricing Models"
Federal Reserve Bank of St. Louis Working Paper 1994-010A, April 1994