Extreme Events; Asset Pricing; International Finance; Macro-Finance
“International Diversification: An Extreme-Value Approach” (with Victor de la Peña and Ching Lu), Journal of Banking and Finance, Forthcoming
“International Diversification: A Copula Approach” (with Victor de la Peña and Ching Lu),Journal of Banking and Finance, 2011, 35, pp. 403-417
“Financial Distress and Idiosyncratic Volatility: An Empirical Investigation” (with Jing Chen and Rina Ray), Journal of Financial Markets, 2010, 13(2), pp. 249-267
“Modeling International Financial Returns with a Multivariate Regime-Switching Copula”, (with Andréas Heinen and Alfonso Valdesogo) Journal of Financial Econometrics, 2009, 7(4), pp. 437-480
“Economic Implications of Copulas and Extremes.” Penger og Kreditt,#2, 2008.
“Financial Implications of Extreme and Rare Events” (with Dwight Jaffee),Working Paper, University of Stavanger, 2009
“Distress Risk and Size Regimes” (with Ching Lu),Working Paper, University of Stavanger, 2010.
“The Dependence Structure of Macro Variables in the US Economy” (with Cathy Ning), Working Paper, University of Stavanger, 2009.
“The Risk Components of Liquidity” (with Randi Næs and Johannes Skjeltorp), Working Paper, NHH, 2008.
"A Model of Endogenous Extreme Events", 2011. Manuscript, UiS Business School.