Lo, Andrew W., and Jiang Wang. Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model. Journal of Finance, 2006, 61 (6): 2805-2840.

Ju, Nengjiu, and Rui Zhong. Fourier Transformation and the Pricing of Average-Rate Derivatives. Review of Derivatives Research, 2006, 9 (3): 187-212.

Bakshi, Gurdip, Hui Ou-Yang, and Nengjiu Ju. Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics. Journal of Financial Economics, 2006, 82 (1): 227-249.

Liu, Jun, Francis A. Longstaff, and Ravit E. Mandell. The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks. Journal of Business, 2006, 79 (5): 2337-2359.

Ju, Nengjiu, and Hui Ou-Yang. Capital Structure, Debt Maturity, and Stochastic Interest Rates. Journal of Business, 2006, 79 (5): 2469-2502.

Hou, Kewei, and David Robinson. Industry Concentration and Average Stock Returns. Journal of Finance, 2006, 61 (4): 1927-1956.

Kaniel, Ron, and Hong Liu. So What Orders Do Informed Traders Use?. Journal of Business Research, 2006, 79 (4): 1867-1913.

Piwowar, Michael, and Wei Li. The sensitivity of Effective Spread Estimates to Trade-quote Matching Algorithm. Electronic Markets, 2006, 16 (2): 112-129.

Chen, Andrew, Sumon Mazumdar, Avinash Verma, and Nengjiu Ju . Correlated Default Risks and Bank Regulations. Journal of Money, Credit and Banking, 2006, 38 (2): 375-398.

Kan, Raymond, and Guofu Zhou. A New Variance Bound On the Stochastic Discount Factor. Journal of Business Research, 2006, 79 (2): 941-961.