Journal of Econometrics, 2018, 207, 1, 237-260
Journal of Econometrics, 2018, 205, 1, 156-176
Journal of Econometrics (accepted), 2020, 216(2), 450-493
Journal of Econometrics, 2017, 201, 2, 400-416
Journal of Banking & Finance, 2015, 61, 121-131