Office: DM 320A, (305) 348-6362
RePEc handle: pbi50
PhD: Ohio State University, 1996
Joined the faculty in 2003
My research interests span econometrics (time series analysis), macroeconomics (business cycles), and finance (asset pricing).
One line of research that I have pursued is the application of signal extraction techniques in analyzing macroeconomic issues. In this context, I have applied non-Gaussian state space models in a series of papers to uncover market expectations of inflation rates and to examine whether predictable components exist in stock returns. These models also adapt rapidly to abrupt changes in the behavior of time series; therefore I have compared their performance with the popularly used Markov switching models.
In a second line of research I have examined whether or not economic expansions and contractions are statistically dissimilar. If they were indeed dissimilar then one would need to use non-linear models rather than simple linear models in order to characterize business cycle dynamics. I have provided robust statistical evidence on this issue using business cycle data in a series of articles.
A third line of research examines the impact of fat tails in the driving processes of theoretical asset pricing models on their equilibrium implications. In a couple of articles I have sought to characterize in quantitative economic terms what is to be gained by taking fat tails into account.
My current work aims to integrate these three strands of research, seeking to embed signal extraction into standard asset pricing models and to characterize the effects of non-linearities on the equilibrium dynamic implications of such models.
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Intrinsic Bubbles and Fat Tails in Stock Prices: A Note (with Brice V. Dupoyet), Macroeconomic Dynamics, 11(3):405-422 (2007).
The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia (with Brice V. Dupoyet), Journal of Economic Dynamics and Control, 31(3):887-905 (2007).
On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example, Macroeconomic Dynamics, 10(1):56-76 (2006).
Testing for Persistence in Stock Returns with GARCH-Stable Shocks (with J. Huston McCulloch), Quantitative Finance, 4(3):256-26 (2004).
On Business Cycle Asymmetries in G7 Countries (with Khurshid M. Kiani), Oxford Bulletin of Economics and Statistics, 66(3):333-351 (2004).
Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for Mean Equity Returns (with J. Huston McCulloch), Journal of Economic Dynamics and Control, 27(3):399-421 (2003).
Do Fluctuations in U.S. Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks? The Review of Economics and Statistics, 85(3):765-771 (2003).
Asymmetries in the Conditional Mean Dynamics of Real GNP: Robust Evidence, The Review of Economics and Statistics, 82(1):153-157 (2000).
Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks (with J. Huston McCulloch), Journal of Applied Econometrics, 13(6):659-670 (1998).
The Comparative Forecast Performance of Univariate and Multivariate Models: An Application to Real Interest Rate Forecasting, International Journal of Forecasting, 14(4):457-468 (1998).