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Curriculum Vitae

Volatility

 

Endogenous Trading Volume and Momentum in Stock Return Volatility, Journal of Business and Economic Statistics, 12(2), April 1994, 253-60 (with Christopher G. Lamoureux). 

 

Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatilities,  Review of Financial Studies, 6(2), 1993, 293-326 (with Christopher G. Lamoureux).

 

The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH-in-Mean Model, Journal of International Money and Finance, 12, June 1993, 298-318 (with Kenneth F. Kroner). 

 

Exchange Rate Volatility and U.S. Multilateral Trade Flows, Journal of Macroeconomics, 12(3), Summer 1990, 341-62 (with Faik Koray).

 

Persistence-in-Variance, Structural Change and the GARCH Model, Journal of Business and Economic Statistics, 8(2), April 1990, 225-34 (with Christopher G. Lamoureux).

 

Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects, Journal of Finance, 45(1), March 1990, 221-29 (with Christopher G. Lamoureux)

 

Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach, Review of Economics and Statistics, 71(4), November 1989, 708-12 (with Faik Koray).

 

Exchange Rate Volatility and U.S. Monetary Policy: An ARCH Application, Journal of Money, Credit, and Banking, 21(1), February 1989, 66-77.

Research

  Papers

      Dynamic effects of money

      Volatility

      Empirical macro

      Other

  Citations

    Web of Science (SSCI)

      Google Scholar

      CiteEc   

Teaching

  Undergraduate

  MBA

  PhD