Published Papers

An Ordering Experiment , Journal of Economic Behavior and Organization with A. Norman, et al.,February 2003, pp. 249-262.
On the Computational Complexity of Consumer Decision Rules , 2003, with A. Norman, et. al., Computational Economics, Vol 23, March 2004, pp 173-192.
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns , 2006, with L. Cappiello and R. Engle, Journal of Financial Econometrics Vol. 4, pp. 537-572.
Evaluating Volatility and Correlation Forecasts (joint with Andrew J. Patton), Handbook of Financial Time Series, 2009, (T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.)), Springer Verlag
Nuisance parameters, composite likelihoods and a panel of GARCH models Statistica Sinica, 2011, 21, 307--329.
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.
Multivariate high-frequency-based volatility (HEAVY) models (joint with D. Noureldin and N. Shephard), Journal of Applied Econometrics, 2011, Preprint phase.

Multi-Step estimation of Multivariate GARCH models , Proceedings of the International ICSC Symposium: Advanced Computing in Financial Markets, June 2001.
Optimal Combinations of Realised Volatility Estimators (joint with Andrew J. Patton) International Journal of Forecasting, 2009, 25:2, 218--238.
Forecasting High Dimensional Covariance Matrices Handbook of Volatility Models and Their Applications, 2012 (Bauwens, L. Hafner, C. and Laurent, S. eds.) Wiley. Preprint phase.