Finance Publications

"Paying for Market Quality" Journal of Financial and Quantitative Analysis, forthcoming, with C. Tanggaard and D. Weaver

"Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets" Journal of Financial and Quantitative Analysis, 43, 1-28 , 2008, & Subrahmanyam, A.

"Stealth Trading in Options Markets" Journal of Financial and Quantitative Analysis, 42, 167-188, 2007, & Chakravarty, S.

"Can Order Exposure be Mandated" Journal of Financial Markets, 7, 405-426, 2004, with D. Weaver

"On a stepwise hypotheses testing procedure and information criterion in identifying dynamic relations between time series" The Journal of Data Sciences, Vol. 7, No. 2, forthcoming, with Man, K.

"Characterization of weight loss and weight regain mechanisms after Roux-en-Y gastric" American Journal of Physiological Regulatory Integrative Comp. Physiology, Vol. 287, 2007

"Omega-3 fatty acids improve appetite in cancer anorexia, but tumor resecting restores it" Surgery, 139(2):202-8, 2006, with Goncalves C.G., Ramos E.J., Romanova I.V., Suzuki S., and Meguid M.

"Economic developments under political and economic asymmetries: the case of Shanghai and Taiwan" The Journal of Economic Asymmetries , Vol. 2, No. 1, pp. 41-58, 2005, with Koveos, P. and Zhang, Y. M.

"The Dynamics of Operational Loss Clustering" Journal of Banking and Finance, Vol. 32/12, 2,655-2,666, 2008, Chernobai, A. & Yildiray, Y.

"Heavy-Tailed Distributional Model for Operational Losses" Journal of Operational Risk, 2(1), 2007, & Giacometti, R., Rachev, S. T., Bertocchi, M. & G. Consigli

"Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis" John Wiley & Sons, 978-0-471-78051-9, 2007, & Rachev, T., & Fabozzi, F. F.

"Applying Robust Methods to Operational Risk Modeling" Journal of Operational Risk, 1(1), 2006, & Rachev, S. T.

"Modeling Catastrophe Claims with Left-Truncated Severity Distributions" Computational Statistics, 21(3), 2006, & Burnecki, K., Weron, R., Tr¨uck, S., & Rachev, S. T.

"A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses," Mathematical Scientist, 30(2), 2006, Menn, C., Tr¨uck, S., & S. T. Rachev

"Treatment of Missing Data in the Field of Operational Risk: The Impacts on Parameter Estimates, EL and UL" The Advanced Measurement Approach to Operational Risk, RISK Books, 2006, Menn, C., Tr¨uck, S., Rachev, S. T., & Moscadelli, M.

"Empirical Examination of Operational Loss Distributions" Perspectives on Operational Research, Deutscher Universitats-Verlag/GWV Fachverlage GmbH, 2006, Rachev, S. T., & Menn, C.

"The Professional Costs of Chapter 11: A Different View" The Journal of Bankruptcy Law and Practice, Vol. 14, No. 2, 2005, with Whitman, M.

"The Effect of Leverage on the Performance of Commodity Trading Advisors" The Journal of Futures Markets, Vol 23, No. 10, October 2003

"Public-Private Partnerships in Emerging Markets" QFinance, forthcoming

"Economic developments under political and economic asymmetries: the case of Shanghai and Taiwan" The Journal of Economic Asymmetries , Vol. 2, No. 1, pp. 41-58, 2005, with Chen, C., and Zhang, Y.M.

"Differences in Acquirer Motivations, Announcement Effects, Target Characteristics, and Financing in Private versus Public Acquisitions: The Case of REITs" Journal of Real Estate Finance and Economics, forthcoming, with Ling D. C.

"Corporate Governance and Performance in the Market for Corporate Control: The Case of REITs" Journal of Real Estate Finance and Economics, forthcoming, with Campbell, R.C., Ghosh, C., & Sirmans, C.F.

"Avoiding Taxes at Any Cost: The Economics of Tax Deferred Real Estate Exchanges" Journal of Real Estate Finance and Economics, 36(4): 367-404, 2008, with Ling, D.

"Managerial Characteristics and Hedge Fund Performance" Journal of Applied Finance, 16:2, 57-70, Fall/Winter 2006, with Maxam, C.L., Nikbakht, E., and Spieler, A.C.

"Value Creation in REIT Property Sell-Offs" Real Estate Economics, 34:2, 173-342, Summer 2006, Campbell, R.D., and Sirmans C.F.

"Wealth Effects of Diversification and Financial Deal Structuring: Evidence from REIT Property Portfolio Acquisitions" Real Estate Economics, 31:3, 347-366, Fall 2003, Campbell, R.D., and Sirmans, C.F.

"A House is Not a Home: Effect of Eminent Domain Abuse on the Poor, African Americans, and the Elderly" Housing and Society, 36(1), 2009, with Sillah, M.R.

"Reducing Home Mortgage Foreclosures in a Predatory Lending Environment: A Case Study of a Mid-Sized City in Central New York" Fordham Urban Law Journal, Vol. XXVI, No. 3, April 2009

"African Americans and Mortgage Lending Discrimination" Western Journal of Black Studies (WJBS), 27(2), Summer 2003

"Bank Financing and Discrimination in the Consumer Mortgage Market: An Application of HMDA Data" Pakistan Journal of Applied Sciences (PJAS), 3(1), 4-8, January 2003, & Scannell, N. J.

"The Value of Active Portfolio Management" Journal of Economics and Business, Volume 56, Issue 4, July-August 2004

"Application of Binomial Option Pricing Methodology to Explain Stockholder-Bondholder Conflict" Journal of Applied Finance, Volume 11, Number 1, 2001, with Narayanaswamy, C.R. and Schirm, D.

"Mutual Fund Objective Misclassification" Journal of Economics and Business, Volume 52, Issue 4, July 2000, with Kim, M. and Tomas, M.

"Auditing Disclosures by Relevance Ranking " Proceedings of the Association of Computing Machinery Sigmod , 2007, with Agarwal, Kiernan and Evfiemvski.

"International Perspectives on the Government’s Role in Small Business" The Journal of Small Business Management, 45(1), January 2007

"Do Emerging Markets with Consistent Returns have Better Future Performance?" Quantitative Finance, 6(5), October, 2006

"Institutional Ownership and Return Reversals Following Short-Term Return Consistency" The Financial Review, 41(3), August 2006

"Deviations from Put-Call Parity and Stock Return Predictability" Journal of Financial and Quantitative Analysis, forthcoming, with Cremers, M.

"Investor Heterogeneity, Volatility Dynamics and Asset Pricing" Journal of Economic Dynamics and Control, forthcoming

"Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry" Journal of Financial and Quantitative Analysis, forthcoming, with Cremers, M., Driessen, J., & Maenhout, P.

"A Conditional Extreme Value Volatility Estimator based on High Frequency Returns" Journal of Economic Dynamics and Control, pp. 361-397,lead article, February 2007, with Bali, T.G.

"Dynamic Correlations Among Asset Classes: REIT and Stock Returns" Journal of Real Estate Finance and Economics, forthcoming, with Case, B., and Wang, Y.

"The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence" The Journal of Financial and Quantitative Analysis, forthcoming, with Agarwal, S., Ambrose, B., and Huang, H.

"Price Discovery in Real Estate Markets: A Dynamic Analysis" The Journal of Real Estate Finance and Economics, forthcoming, with Yavas, A.

"Leverage, Options Liabilities, and Corporate Bond Pricing" The Review of Derivatives Research, Vol. 11, Issue 3, 254-276, 2009, with Huang, H.

"Estimating Default Probabilities Implicit in CMBS" Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009, with Kau, J., and Keenan, D.

"The Dynamics of Operational Loss Clustering" Journal of Banking and Finance, Vol. 32/12, 2,655-2,666, 2008, Chernobai, A. & Yildiray, Y.

"Credit Risk and Term Structure of Lease Rates: A Reduced Form Model" The Journal of Real Estate Finance and Economics, Vol. 37, N0 3, pp. 281-29, 2008, with Ambrose, B.

"Valuing TIPS Bond Futures in Jarrow-Yildirim Model" Risk, 21(6), 2008, Huang, H.

"Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information" Real Estate Economics, Vol. 36, No. 3, pp. 441-4, 2008, with Christopoulos, A., & Jarrow, R.

"Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring" The Journal of Real Estate Finance and Economics, Vol. 37, No. 2, pp. 93-11, 2008

"Modeling Default Risk: A New Structural Approach" Finance Research Letters, 3, 165-172, 2006

"Modeling Default Risk with Partial Information" Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, & Cetin, U., Jarrow, R., & Protter, P.

"How Valuable is Credit Card Lending" Journal of Derivatives, Vol. 11, Number 2, 39 – 5, 2003, with Arkadev, C., Neal, R. & Jarrow, R

"Pricing Treasury Inflation Protected Securities and Related Derivative Securities Using an HJM Model" Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, 2003, with Jarrow R.

"Valuing Default Swaps Under Market and Credit Risk Correlation" Journal of Fixed Income, 11 (4), 2002, with Jarrow, R.

"Public-Private Partnerships in Emerging Markets" QFinance, forthcoming