Faculty & Research

Latest Publications

1. Yacine, Aït-Sahalia, Jianqing Fan, and Dacheng Xiu, 2010, High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data, Journal of the American Statistical Association

2. Xiu, Dacheng, 2010, Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data, Journal of Econometrics

3. Liu, Peng, and Ke Tang, 2010, No-arbitrage Conditions for Storable Commodities and the Modeling of Futures Term Structures , Journal of Banking & Finance

4. Ng, Lilian, and Fei Wu, 2010, Peer Effects in the Trading Decisions of Individual Investors, Financial Management

5. Da, Zhi, and Pengjie Gao, 2010, Clientele Change, Liquidity Shock and the Return on Financially Distressed Stocks, Journal of Financial and Quantitative Analysis

6. Canlin Li, Xiaohan Li, Guojun Wu, 2010, Corporate Governance, Investor Attention and Post-Earnings Announcement Drift, Ssrn Electronic Journal

7. He, Zhiguo, In Gu Khang, and Arvind Krishnamurthy, 2010, Balance Sheet Adjustments during the 2008 Crisis, Imf Economic Review

8. Titman, Sheridan, 2010, The leverage of hedge funds, Finance Research Letters

9. Garvey, Ryan, and Fei Wu, 2010, Speed, Distance and Electronic Trading: New Evidence on Why Location Matters, Journal of Financial Markets

10. Andrew Ang, Vineer Bhansali,and Yuhang Xing, 2010, Build America Bonds, Journal of Fixed Income