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Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
This paper provides empirical support for the notion that autoregressive conditional heteroskedasticity in daily stock return data reflects time dependence in the process generating information flowExpand
Persistence in Variance, Structural Change, and the GARCH Model
This article examines the persistence of the variance, as measured by the generalized autoregressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigateExpand
Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities
We examine the behavior of measured variances from the options market and the underlying stock market. Under the joint hypotheses that markets are informationally efficient and that option prices areExpand
Sources of Fluctuations in Real and Nominal Exchange Rates
This paper attempts to distinguish empirically real versus nominal sources of fluctuations in real and nominal exchange rates. The distinction is obtained by imposing the following restriction on theExpand
Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach
This paper uses VAR models to investigate the impact of real exchange rate volatility on U.S. bilateral imports from the United Kingdom, France, Germany, Japan and Canada. The VAR systems includeExpand
International evidence on equity prices, interest rates and money
Abstract In this article, I estimate the dynamic response of output and asset prices — bond yields and real equity price indices — to money supply shocks in eight industrialized economies over theExpand
Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application
This paper examines the effect of shifts in U.S. monetary policy regimes on the stochastic process that generates foreign exchange rates. To account for the observed behavior of the data record, theExpand
Home Equity Lending and Retail Spending: Evidence from a Natural Experiment in Texas
We estimate how spending in Texas responded to a 1997 constitutional amendment that relaxed severe restrictions on home equity lending. We use this event as a natural experiment to estimate theExpand
The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations
I estimate the dynamic responses of owner-occupied housing prices to money supply shocks, and compare these responses to those predicted by a dynamic equilibrium model of the housing market. TheExpand
Estimating and Identifying Vector Autoregressions Under Diagonality and Block Exogeneity Restrictions
I show how to estimate and identify a large-scale vector autoregression when the variables in a subset of the system are mutually independent after conditioning on a separate set of variablesExpand
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