Publications:
On the Risk of Long-Run Deflation, 2013
forthcoming in Economics Letters.
Feedback Trading and Intermittent Market Turbulence 2009
Quantitative Finance 9(4): 477-489.
Optimal Monetary Policy with a Convex Phillips Curve 2009
The B.E. Journal of Macroeconomics 9(1) (Topics): Article 22.
Flight-to-Quality and Asymmetric Volatility Responses in U.S. Treasuries 2009
with Mardi Dungey and Michael McKenzie, Global Finance Journal 19: 252-267.
The U.S. Treasury Market in August 1998: Untangling the Effects of Hong Kong and Russia with High-Frequency Data
2008
with Mardi Dungey and Charles Goodhart, International Journal of Finance & Economics 13: 40-52.
Testing for Changing Persistence in U.S. Treasury On/Off Spreads Under Weighted-Symmetric Estimation 2008
with Vanessa Smith, European Journal of Finance 14: 75-89.
Fear of Floating and Social Welfare 2007
International Journal of Central Banking 3: 183-204.
Conditional Predictability of Daily Exchange Rates 2002
with Anne-Sophie Vanroyen, Journal of Forecasting 21: 301-315.
Expected Social Welfare under a Convex Phillips Curve and Asymmetric Policy Preferences 2002
Journal of Money, Credit & Banking 34(2): 434-449.
Information-Theoretic Sample Size Selection for Linear Prediction 2000
Neural Network World 10(1-2): 72-79.
Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss 1999
Studies in Nonlinear Dynamics & Econometrics 3(4): 223-238.
Effective Central Bank Independence and the Inflation-Output Trade-Off 1999
Journal of Macroeconomics 21(4): 729-753.
The Case for Asymmetry in the U.S. Phillips Curve 1999
with Doug Laxton and David Rose, Journal of Economic Dynamics & Control 23(9-10): 1459-1485.