Faculty & Research

Latest Publications

1. Jagannathan,Ravi, 2003, An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices, Journal of Econometrics

2. Bradford, William D., 2003, The Wealth Dynamics of Entrepreneurship for Black and White Families in the U.S., Review of Income and Wealth

3. Chang, Der-Chen, Eric C. Chang, and Haitao Fan, 2003, Mathematical Analysis of Pricing of Lookback Performance Options, Applicable Analysis

4. Chang, Eric C,. and Kit Pong Wong, 2003, Cross-Hedging with Currency Options and Futures, Journal of Financial and Quantitative Analysis

5. Jagannathan,Ravi,Tongshu Ma, 2003, Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps, The Journal of Finance

6. Dor, Arik Ben, Iwan Meier, and Ravi Jagannathan, 2003, Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis, Journal of Investment Management

7. Murray Z. Frank and Vidhan K. Goyal, 2003, Testing the Pecking Order Theory of Capital Structure, Journal of Financial Economics

8. Shang, Kevin H., and Jing-Sheng Song, 2003, Newsvendor Bounds and Heuristic for Optimal Policies in Serial Supply Chains, Management Science

9. Waggoner, Daniel F., and Tao Zha, 2003, A Gibbs Sampler for Structural Vector Autoregressions, Journal of Economic Dynamics & Control

10. Green, Edward, Jose A. Lopez, and Zhenyu Wang, 2003, Formulating the Imputed Cost of Equity Capital for the Priced Services at Federal Reserve Banks, Swedish Economic Policy Review