“Is there a Symmetric Nonlinear Causal Relationship between Large and Small Firms?” with Bill B. Francis and Mbodja Mougoué, Journal of Empirical Finance, forthcoming, Paper
“Time-varying market integration and stock and bond return concordance in emerging markets”, 2009, with Eliza Wu, Journal of Banking and Finance, 33, 1014-1021, Paper
“Asset Prices, Traders' Behavior, and Market Design" with Mikhail Anufriev, 2009, Journal of Economic Dynamics and Control, 33, 1073-1090, Paper
"Rank-based entropy tests for serial independence”, 2008, with Cees Diks, Studies in Nonlinear Dynamics and Econometrics, 12(1), art.2, Paper, software
“E&F Chaos: a user friendly software package for nonlinear dynamics”, with Cars Hommes, Cees Diks and Roy van der Weide, Computational Economics, 32, 221-244, Paper, software
“Impact of analysts' recommendations on stock performance”, 2007, European Journal of Finance, 13, 165-179, Paper
“Nonparametric tests for serial independence based on quadratic forms”, 2007, with Cees Diks, Statistica Sinica, 17, 81-98, Paper
“A new statistics and practical guidelines for nonparametric Granger causality testing”, 2006, with Cees Diks, Journal of Economic Dynamics and Control, 30, 1647-1669, Paper, software
“Heterogeneous beliefs under different market architectures”, 2006, with Mikhail Anufriev, in Advances in Artificial Economics, Bruun, C. (Ed.), Series: Lecture Notes in Economics and Mathematical Systems, Vol. 584, Springer, Paper
“A note on the Hiemstra-Jones test for Granger non-causality”, 2005, with Cees Diks, Studies in Nonlinear Dynamics and Econometrics, 9(2), art. 4, Paper, software
“Goodness-of-fit test for copulas”, 2005, Physica A, 355(1), 176-182, Paper, software
Work in progress
“Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails” with Cees Diks and Dick van Dijk, Journal of Econometrics, revise and resubmit, Paper
“Out-of-sample comparison of copula specifications in multivariate density forecasts ” with Cees Diks and Dick van Dijk, Journal of Economic Dynamics and Control, revise and resubmit, Paper
“Small World Interactions under Heterogeneous Beliefs” with Oleg Pavlov and Sergij Gerasymchuk, Journal of Economic Dynamics and Control, revise and resubmit
“Forest Management, Economics, and Carbon Storage in Northwest Russia” with Griaznov, S. E., Kerkvliet, J., and Zyrina, O. A, in Carbon Dynamics of Two Forest Ecosystems: Northwestern Russia and the Pacific Northwest, Harmon, M. E. and Krankina, O. N., (eds.), Ecological Studies. Springer, under review
“Efficient Estimation of Parameters in Marginals in Semipametric Multivariate Models” with Artem Prokhorov
“Copula Factor Models” with Rachida Ouysse
“Term Structure Model for Australia” with Daniel Buncic
“Individual Evolutionary Learning in the in the market environment with full or limited information” with Mikhail Anufriev and Jasmina Arifovich
