Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
New York University (NYU) - Department of Finance
Momentum, reversal, analyst forecast, earnings, expected return, realized return
Circuit breakers, volatility and liquidity, jumps, market fragmentation, ETFs, policy and regulation, big data
Arbitrage, frictions, market illiquidity, continuous-time methods, ETFs, big data, market microstructure, asset pricing
Volatility, market stress, flights to safety, monetary policy, cross-section of stocks and Treasuries, structural VAR model
Size anomaly, Volatility premium, Cross-section of stock returns, Griddy-Gibbs sampler, GARCH models
