HERE IS A SELECTION OF MY PUBLISHED ACADEMIC ARTICLES.
Stock and Bond Market Interactions with Level and Asymmetry Dynamics: An Out-of-Sample Application, forthcoming in: Journal of Empirical Finance, 2008.
Is it the Weather?, Journal of Banking and Finance, 32, 526-540, 2008.
Macroeconomic Announcements and Asymmetric Volatility in Bond Returns, Journal of Banking and Finance, 30, 2659-2680, 2006.
Do Consumption-based Asset Pricing Models Explain Return Predictability?, Applied Financial Economics, 16 (14), 1019-1027, 2006.
The Friday Effect in European Securitized Real Estate Index Returns, Journal of Real Estate Finance and Economics, 33-50, 2006.
The Generalized Asymmetric Dynamic Covariance Model, Finance Research Letters, 2 (2), 67-74, 2006.
Disappearing Anomalies: A Dynamic Analysis of the Persistence of Anomalies, Applied Financial Economics, 16 (4), 291-302, 2006.
Forecasting Time-Varying Correlations: An Application to Stock and Bond Returns, Medium Econometrische Toepassingen (MET), 2005.
The Economic Value of Predicting Stock Index Returns and Volatility, Journal of Financial and Quantitative Analysis, 39, 2, 407-429, 2004 .
A Multivariate Nonparametric Test for Return and Volatility Timing, Finance Research Letters, 1, 4, 2004.
Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach, Journal of Financial Econometrics, 2, 4, 2004.
Murphy’s Law in the Stock Market, VBA journal, 2003.
Seasonal Predictability of Stock Market Returns, Tijdschrift voor Economie en Management, 2002.
An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence, Journal of Empirical Finance, vol. 6, 243-265, 1999.
Disclaimer: Most of these articles are written with one or more co-authors. Any errors left in the articles are their fault :)