Publications

2017

  • Dynamic Analysis of Multivariate Time Series Using Wavelet Dependence Graphs

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2016

  • Functional Principal Component Analysis for Derivatives of Multivariate Curves

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  • Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle

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  • Option Implied Stock Return Distribution

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2012

  • Shape Invariant Modeling of Pricing Kernels and Risk Aversion

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2011