1. A Large-Sample Chow Test for the Single Linear Simultaneous Equation, with Whitney Newey, Economics Letters 19(1986), 351-353.
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2. Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology, Journal of Financial Economics 17(1986), 143-173.
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3. Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies, Journal of Econometrics 31(1986), 151-178.
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4. Semiparametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19(1987), 373-388.
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5. Maximum Likelihood Estimation of Generalized Ito Processes with Discretely-Sampled Data, Econometric Theory 4(1988), 231-247.
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6. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, with Craig MacKinlay, Review of Financial Studies 1(1988), 41-66.
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7. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation, with Craig MacKinlay, Journal of Econometrics 40(1989), 203-238.
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8. Games of Survival in the Newspaper Industry, with Randolph Bucklin and Richard Caves, Applied Economics 21(1989), 631-650.
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9. An Econometric Analysis of Nonsynchronous Trading, with Craig MacKinlay, Journal of Econometrics 45(1990), 181-212.
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10. When Are Contrarian Profits Due To Stock Market Overreaction?, with Craig MacKinlay, Review of Financial Studies 3(1990), 175-206.
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11. Data Snooping Biases in Tests of Financial Asset Pricing Models, with Craig MacKinlay, Review of Financial Studies 3(1990), 431-468.
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12. Long-Term Memory in Stock Market Prices, Econometrica 59(1991), 1279-1313.
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13. An Ordered Probit Analysis of Transaction Stock Prices, with Craig MacKinlay and Jerry Hausman, Journal of Financial Economics 31(1992), 319-379.
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14. A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks, with James Hutchinson and Tomaso Poggio, Journal of Finance 49(1994), 851-889.
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15. Implementing Option Pricing Models When Asset Returns Are Predictable, with Jiang Wang, Journal of Finance 50(1995), 87-129.
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16. Maximizing Predictability in the Stock and Bond Markets, with Craig MacKinlay, Macroeconomic Dynamics 1(1997), 118-158.
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17. Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices, with Yacine Ait-Sahalia, to appear in Journal of Finance 52(1997).
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REVIEW PAPERS AND BOOK CHAPTERS

1. Empirical Issues in the Pricing of Options and Other Derivative Securities, Cuadernos Economicos de ICE 50(1992), 129-155.

2. Nontrading Effect, New Palgrave Dictionary of Money and Finance, 1992, with Craig MacKinlay. London: Stockton Press.

3. Neural Networks and Other Nonparametric Techniques in Economics and Finance, in H. Russell Fogler, ed.: Blending Quantitative and Traditional Equity Analysis, 1994. Charlottesville, VA: Association for Investment Management and Research.
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4. Data-Snooping Biases in Financial Analysis, in H. Russell Fogler, ed.: Blending Quantitative and Traditional Equity Analysis, 1994. Charlottesville, VA: Association for Investment Management and Research.
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5. Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?, with John Heaton, in Securities Transaction Taxes: False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute.
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6. A Non-Random Walk Down Wall Street, in D. Jerison, I. Singer, and D. Stroock, eds., 1996, The Proceedings of the 1994 Wiener Centennial Symposium. Providence, RI: American Mathematical Society.
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7. Fat Tails, Long Memory, and the Stock Market Since the 1960's, to appear in Economic Notes, Banca Monte dei Paschi di Siena.
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