PUBLICATIONS IN REFEREED JOURNALS
 “Stress Testing and Model Validation: Application of the Bayesian Approach to a Credit Risk Portfolio”, with Michael Jacobs, Jr. and Frank J. Sensenbrenner. The Journal of Risk Model Validation, September 2015, v.9, n.13, pp. 1-29.
“Resolution of Corporate Financial Distress: An Empirical Analysis of Processes and Outcomes”, with Michael Jacobs, Jr. and Dina Naples Layish. The Journal of Portfolio Management, Winter 2012, v.38, n.2, pp. 117-135.
 “Direct Market Access in Exchange-Traded Derivatives: Effects of Algorithmic Trading on Liquidity in Futures Markets”, The Review of Futures Markets, Summer 2011, v.19, special issue, pp. 95-142. Link to the Full article @ the IFM The Institute for Financial Markets.
 “Relative Performance of Bid-Ask Spread Estimators: Futures Markets Evidence”, with Amber Anand. The Journal of International Financial Markets, Institutions & Money, July 2006, v.16, n.3, pp. 231-245.
 “What is so special about KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity”, with Cetin Ciner and Wi Saeng Kim. The Review of Futures Markets, Winter 2005-2006, v.14, n.3, pp. 327-348.
 “The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics,” with Terrence F. Martell and George H. K. Wang, Review of Quantitative Finance and Accounting, December 2003, v.21, n.4, pp. 323-348.
PAPERS UNDER REVIEW
 “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis”, with Robert F. Engle, Martin Klint Hansen and Asger Lunde. Revise and resubmit at the Journal of Financial Econometrics.
[*] “Impact of Language Complexity on Volatility: Textual Analysis of Earnings Call Transcripts”, with Robert F. Engle and Nazli Sila Alan.
“Inferring Asset Characteristics: Pricing Futures Contracts on Bitcoin”, with Nazli Sila Alan and Frank J. Fabozzi.
“Short Selling Around Insiders’ Sales vs. Gifts”, with Dominique G. Outlaw and Aimee Hoffmann Smith.
“Analysis of Open Interest Patterns in the Foreign Exchange Futures: Implications for Optimal Hedging Strategies”
“Introduction of Derivatives Exchanges in Emerging Markets”, with Hatice Pinar Ersen and Nazli Sila Saylak.
“Hedging with VIX Futures”, with Nancy White
“Price Discovery in Korean Options, Futures and KOSPI 200 Stock Index Markets”, with Cetin Ciner and Wi Saeng Kim.
“Term Structure of Implied Volatilities in LIBOR Futures Options: Pricing Performance of Black-Derman-Toy and Heath-Jarrow-Morton Models”, with Dimosthenis Kostopoulos.
“Cross-Sectional Time Series Analysis of Hedge Fund Investment Styles”, with Nancy White.
“Microstructure Model of Futures Markets: Theory and Evidence for Optimal Hedging Strategies”