Chris Lamoureux's Research Page

• Published Papers



• Unpublished working papers:
  • ``Empirically Confronting Stochastic Singularity: An Application to the Cox, Ingersoll, and Ross Model,'' (with Ken Roskelley). New revision posted August 5, 2008. (First posted August 8, 2005.)
    
    
  • ``Capital Market Conditions and Public Issuance Choice,'' (with Ali Nejadmalayeri). New revision posted July 22, 2008. (First posted February 28, 2005.)
    • Powerpoint Slides for 2006 AFA (Boston) Meetings.
    
    
  • ``Information in Option Prices and the Underlying Asset Dynamics,'' (with Alex Paseka). New revision posted August 15, 2005. (First posted on June 24, 2004.)
    
    
  • ``Microstructure with Multiple Assets: An Experimental Investigation into Direct and Indirect Dealer Competition'' with Chuck Schnitzlein. (pdf format, updated March 18, 2003).
    
    
  • ``To Err is Human - But Dealers' Abilities to find non-Dominated Strategies Depends on Market Transparency'' with Chuck Schnitzlein. (pdf format, updated June 7, 2001).
    
    
  • ``Variations in Stock Returns: Asymmetries and Other Patterns'' with Sunil Panikkath. (May 1994).
  
  
  
• Data, Programs and Other Resources.
  • The original data used in my JF paper with Doug Witte (on Bayesian estimation of affine models).
  • F0rtran code used to draw parameters and state variables for that paper.