Curriculum Vitae for Jonathan A. Batten
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+1 (919) 660 1849 213 Social Sciences Building, Box 90097 Email
ANDREW J. PATTON This version: July 2020 CONTACT INFORMATION Department of Economics Duke University Phone: +1 (919) 660 1849 213 Social Sciences Building, Box 90097 Email: [email protected] Durham NC 27708-0097 Web: http://econ.duke.edu/~ap172 USA Google Scholar: https://goo.gl/7JA7Kf . CURRENT POSITION Zelter Family Professor of Economics DUKE UNIVERSITY 7/2016-present and Professor of Finance . EDUCATION Ph.D. in Economics UNIVERSITY OF CALIFORNIA, 5/2002 M.A. in Economics SAN DIEGO 5/2000 B. Business (Honours) UNIVERSITY OF TECHNOLOGY, 12/1997 B. Business (Finance and Statistics) SYDNEY 12/1996 . PUBLICATIONS IN ACADEMIC JOURNALS Realized Semicovariances (with Tim Bollerslev, Jia Li and Rogier Quaedvlieg), revised February 2020, Econometrica, forthcoming. Comparing Possibly Misspecified Forecasts, revised August 2018, Journal of Business & Economic Statistics, forthcoming. .. What You See is Not What You Get: The Costs of Trading Market Anomalies, (with Brian M. Weller), 2020, Journal of Financial Economics, 137, 515-549. Multivariate Leverage Effects and Realized Semicovariance GARCH Models, (with Tim Bollerslev and Rogier Quaedvlieg), 2020, Journal of Econometrics, 217, 411-430. Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk), (with Johanna F. Ziegel and Rui Chen), 2019, Journal of Econometrics, 211(2), 388-413. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, (with Tim Bollerslev and Rogier Quaedvlieg), 2018, Journal of Econometrics, 207(1), 71-91. Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, (with Dong Hwan Oh), 2018, Journal of Business & Economic Statistics, 36(2), 181-195. Asymptotic Inference about Predictive Ability using High Frequency Data, (with Jia Li), 2018, Journal of Econometrics, 203(2), 223-240. -
European Financial Management
EUROPEAN FINANCIAL MANAGEMENT ASSOCIATION 2013 Annual Conference June 26 – 29, 2013 ICMA Centre – Henley Business School, University of Reading Reading, UK Dear colleagues and friends of the European Financial Management Association (EFMA), On behalf of the ICMA Centre – Henley Business School of the University of Reading, I have the great pleasure, and privilege, to welcome you to Reading and the 22nd Annual Meeting of the EFMA. A very large number of high quality papers were received, making the refereeing process a very challenging task. All submitted papers were blindly reviewed by the outstanding members of the program committee from top academic institutions including: New York University, Harvard Business School, MIT, Stanford University, Wharton Business School, London Business School, Columbia University, INSEAD, Hong Kong University of Science and Technology, HEC Paris, University of Oxford, Yale School of Management, Cornell University and UCLA. To all of them, as well as to all who submitted papers, accepted to discuss them and to chair sessions, go my heartfelt thanks. The highly competitive refereeing process led to a selection of 252 papers. The program consists of 84 parallel sessions and 4 special sessions, with very renown academic specialists in each topic. The EFM “Merton H. Miller” Doctoral Seminar, sponsored by the EFM Journal, is an excellent outlet for PhD students to enhance their research skills through specific tutorials under the guidance of great academics. Professor Alex Edmans from Wharton Business School, University of Pennsylvania and Professor Tarun Ramadorai from Saïd Business School, University of Oxford are the Distinguished Doctoral Seminar Keynote Lecturers of the 2013 program. -
I2016 FINAL Programme
The 14th INFINITI Conference on International Finance 13-14 June 2016 Trinity College Dublin Ireland “Finance now - enhancing stability or sowing the seeds of the next crisis?” Eventus® Software for Event Studies and Financial Markets Research Make the Most of Your Research Time data from your subscribed Trading-volume event studies, ◊ Save time while using the most ◊ CRSP™ stock database. powerful methods! bid-ask event studies and ab- solute-return event studies. ◊ Included SuperReg software ◊ Run a complete short- or long- for regression automates Event-study statistical tests in- horizon event study with just a ◊ fixed effects and robustness clude calendar time, standard- few simple statements or methods: influence and collin- ized-cross sectional (BMP), Pa- WRDS Eventus query menus earity diagnostics, single- and tell, skewness-adjusted, event and a file of dates and CUSIPs, double-cluster standard er- parameter, rank, Wilcoxon, Ib- PERMNOs or non-CRSP identifi- rors, nonparametric boot- botson’s RATS, conventional ers. strap, wild and wild-cluster and wild bootstrap tests and bootstrap and more. ◊ Use CRSP™ or data extracted more. from any other security return ◊ Many more features than can Calendar-time portfolio re- database. ◊ be listed here… please visit gression, Ibbotson’s RATS, our web site. ◊ Automatic or customizable and bootstrapped skewness- event-time alignment, estima- adjusted buy-and-hold meth- ◊ Available for use through tion-period setup and event ods for long-run stock-price Wharton’s WRDS (institutional windows. Use powerful op- performance studies. subscriptions to WRDS and tions to tailor a wide array of Eventus for WRDS required), Output files of CAR, BHAR and parameters to your needs. -
Department of Economics Duke University Phone: +1 (919) 660
ANDREW J. PATTON This version: July 2019 CONTACT INFORMATION Department of Economics Duke University Phone: +1 (919) 660 1849 213 Social Sciences Building, Box 90097 Email: [email protected] Durham NC 27708‐0097 Web: http://econ.duke.edu/~ap172 USA Google Scholar: https://goo.gl/7JA7Kf . CURRENT POSITION Zelter Family Professor of Economics DUKE UNIVERSITY 7/2016‐present and Professor of Finance . EDUCATION Ph.D. in Economics UNIVERSITY OF CALIFORNIA, 5/2002 M.A. in Economics SAN DIEGO 5/2000 B. Business (Honours) UNIVERSITY OF TECHNOLOGY, 12/1997 B. Business (Finance and Statistics) SYDNEY 12/1996 . PUBLICATIONS IN ACADEMIC JOURNALS What You See is Not What You Get: The Costs of Trading Market Anomalies, (with Brian M. Weller), revised November 2018, Journal of Financial Economics, forthcoming. Comparing Possibly Misspecified Forecasts, revised August 2018, Journal of Business & Economic Statistics, forthcoming. Dynamic Semiparametric Models for Expected Shortfall (and Value‐at‐Risk), (with Johanna F. Ziegel and Rui Chen), 2019, Journal of Econometrics, 211(2), 388‐413. Multivariate Leverage Effects and Realized Semicovariance GARCH Models, (with Tim Bollerslev and Rogier Quaedvlieg), working paper, April 2018, Journal of Econometrics, forthcoming. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions, (with Tim Bollerslev and Rogier Quaedvlieg), 2018, Journal of Econometrics, 207(1), 71‐91. Time‐Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads, (with Dong Hwan Oh), 2018, Journal of Business & Economic Statistics, 36(2), 181‐195. Asymptotic Inference about Predictive Ability using High Frequency Data, (with Jia Li), 2018, Journal of Econometrics, 203(2), 223‐240.