Published Work

"A New Measure of Tactical Allocation Skills in Performance Attribution Analysis," Journal of Performance Measurement, 50, 2010, p. 27-38.

"Global Equity Investing: An Alternative Approach to Structuring Equity Portfolios," (with Phil Hoffman and Ann Duncan), Journal of Portfolio Management, 35(2), 2009, p. 50-60.

"Performance of Institutional Japanese Equity Fund Managers," Journal of Portfolio Management, 32(4), 2006, p. 117-127.

"Changing Risks in Global Equity Portfolios," (with Lisa Kopp, Phil Hoffman, and Mark Thurston), Financial Analysts Journal, 60(1), 2004, p. 87-99.

"Race to the Center: Competition for the Nikkei 225 Futures Trade," (With Takatoshi Ito), Journal of Empirical Finance, 8(3), 2001, p. 219-242.

"Controlling Risk in Global Multimanager Portfolios," Financial Analysts Journal, 56(1), 2000, p. 44-53.

"Impulse Response Function for Conditional Volatility in GARCH Models." Journal of Business & Economic Statistics, 15(1), 1997, p. 15-25.

"Market Closure and Predictability of Intradaily Stock Returns in the United States and Japan," Journal of Empirical Finance, 2(1), 1995, p. 19-44.

"Japan's Financial Deregulation and Linkage of The Gensaki and Euroyen Deposit Markets," Journal of Applied Econometrics, 10(4), 1995, p. 447-467.

"Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility," (with Robert F. Engle and Takatoshi Ito), Review of Financial Studies, 7(3), 1994. p. 507-538.

"Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," (with Takatoshi Ito), Internationalization of Equity Market, edited by Jeffrey A. Frankel. The Chicago Press: Chicago and London, 1994. p. 309-333.

"Lunch Break and Intraday Volatility of Stock Returns: An Hourly Data Analysis of Tokyo and New York Stock Markets," (with Takatoshi Ito), Economic Letters, 39(1), 1992, p. 85-90.

"Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," (with Takatoshi Ito and Robert F. Engle), Journal of International Economics, 32(2), 1992, p. 221-240.

"Alternative Estimators for Factor GARCH Models-A Monte Carlo Comparison," Journal of Applied Econometrics, 7(3), 1992, p. 259-279.

"Meteor Showers or Heat Waves? Heteroskedastic Intra Daily Volatility in the Foreign Exchange Market," (with Robert F. Engle and Takatohsi Ito), Econometrica, 58(3), 1990, p. 525-542.

Other Papers

"International Equity Diversification: Small-Cap versus Small-Market Effects," 2011.