Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press, in press. With K. Yilmaz.
Yield Curve Modeling and Forecasting. Princeton: Princeton University Press, 2013. With G. Rudebusch. Click here for first chapter.
Financial Risk Measurement and Management (ed.). Cheltenham, U.K. and Northampton, Mass.: Edward Elgar Publishing Ltd. (International Library of Critical Writings in Economics, Volume 267), 2012. Click here for first chapter.
Classics old and new. In the interpretive introductory chapter I selectively survey several key strands of literature on financial risk measurement and management. I begin by showing why there's a need for financial risk measurement and management, and then I turn to relevant aspects of return distributions and volatility fluctuations, with implicit emphasis on market risk for equities. I then treat market risk for bonds, focusing on the yield curve, with its nuances and special structure. In addition to market risk measurement and management, I also discuss aspects of measuring credit risk, operational risk, systemic risk, and underlying business-cycle risk. I nevertheless also stress the limits of statistical analysis, and the associated importance of respecting the unknown and the unknowable.
The Known, the Unknown and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (ed.). Princeton: Princeton University Press, 2010. With N. Doherty and R. Herring (2012 Recipient of the American Risk and Insurance Association's Kulp-Wright Award; finalist for the Paul A. Samuelson Award, TIAA-CREF).
Risk Management for Central Bank Foreign Reserves (ed.). Frankfurt: European Central Bank, 2004. With C. Bernadel, P. Cardon, J. Coche and S. Manganelli.
Central banks manage huge forex portfolios. It would be socially irresponsible for them to manage those portfolios like aggressive and risky hedge funds, yet it would presumably be similarly socially irresponsible for them to settle for a risk-free return. So how should central banks manage their portfolios? This book grapples with that interesting question.
Business Cycles: Durations, Dynamics and Forecasting, Princeton: Princeton University Press, 1999. With G. Rudebusch.
A collection of our papers in time-series macro-econometrics, with an interpretive introductions. Includes material on the analysis of business cycle durations, long memory, regime switching, leading indicators, turning points, and predictive accuracy comparisons.
Empirical Modeling of Exchange Rate Dynamics. New York and Berlin: Springer-Verlag, 1988.
My 1986 Ph.D. dissertation, written in 1984-1985, showing that ARCH effects are important in asset returns. Hard to believe from today's vantage point, but that was a very novel result at the time! Also contains work on testing for serial correlation in the presence of ARCH, Gaussian CLTs for ARCH processes (so that temporal aggregation reduces the fat tails in unconditional distributions), and multivariate latent-factor ARCH.
Elements of Forecasting (Fourth Edition). Cincinatti: South-Western College Publishing, 2007 (upper-level undergrad; masters; Ph.D. background). [I've put it to bed. As of spring 2013 I have refused to do a fifth edition and have reclaimed the rights. I am now energised by the prospect of doing a "next generation" forecasting book, something bold and new and different. See "Forecasting," immediately below.] *** All materials to be posted soon.