1 June 2021 CURRICULUM VITAE Eric Ghysels PRESENT POSITION
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ROBERT F. ENGLE New York University • Volatility and Risk
Updated 1/2021 ROBERT F. ENGLE New York University • Volatility and Risk Institute • 44 West Fourth Street, Suite 9-62 New York, NY 10012-1126 • 212-998-0710, Asst: -0702 • Fax: 212-995-4220 [email protected] • http://www.stern.nyu.edu/rengle/ BIOGRAPHY Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego. Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models. He is currently the Co-Director of the NYU Stern Volatility and Risk Institute and is the Co- Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor’s Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology. -
The Et Interview: a Conversation with Eric Ghysels
THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS BY Peter C.B. Phillips and Jun Yu COWLES FOUNDATION PAPER NO. 1351 COWLES FOUNDATION FOR RESEARCH IN ECONOMICS YALE UNIVERSITY Box 208281 New Haven, Connecticut 06520-8281 2012 http://cowles.econ.yale.edu/ Econometric Theory, 28, 2012, 207–217. doi:10.1017/S026646661100017X THE ET INTERVIEW: A CONVERSATION WITH ERIC GHYSELS Interviewed by Peter C.B. Phillips Yale University, University of Auckland, University of Southampton, Singapore Management University and Jun Yu Singapore Management University Eric Ghysels Eric Ghysels is the Bernstein Distinguished Professor of Economics and Pro- fessor of Finance at the University of North Carolina at Chapel Hill. In 2008, Eric Ghysels and Robert Engle (2003 Nobel co-Laureate in Economic Science with Clive Granger) founded the Society for Financial Econometrics (SoFiE), establishing a global network of academics and practitioners dedicated to the c Cambridge University Press 2011 207 208 PETER C.B. PHILLIPS AND JUN YU fast-growing field of financial econometrics. In June 2010, Eric visited the Centre for Financial Econometrics (CoFiE) and the Sim Kee Boon Institute of Financial Economics at Singapore Management University. During his visit we conversed with him about SoFiE and the growing toolroom of financial econometric re- search, what it has to offer industry practice, and how it might assist central banks and regulators in their daunting task of surveillance of financial markets following the turbulence of the last 3 years. You are a founding copresident of the new Society for Finan- cial Econometrics (SoFiE). What is SoFiE, and what does it seek to achieve? The Web page of the society (http://sofie.stern.nyu.edu/) states that SoFiE is a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. -
Norman Rasmus Swanson
Curriculum Vitae September 22, 2021 Norman Rasmus Swanson ________________________________________________________________________________________ Rutgers University [email protected] Department of Economics econweb.rutgers.edu/nswanson/ 75 Hamilton Street 848-932-7432 (o), 732-932-7416 (f) New Brunswick, NJ 08901 908-415-0638 (c) _________________________________________________________________________________________ EDUCATION • Ph.D. (Economics), Dept. of Economics, University of California, San Diego, 1994: “Essays in Forecasting Stationary and Nonstationary Stochastic Processes”, PhD Advisers: Sir Clive W.J. Granger, Halbert White and Valerie Ramey • M.A. in Economics, University of California, San Diego, 1991 • B.A. in Applied Economics, University of Waterloo, 1988 CURRENT POSITION • Rutgers University, Department of Economics, New Brunswick, NJ, USA Professor, July 2005 – present Director of Graduate Studies, July 2006 – July 2015 Associate Professor, July 2002 - July 2005 • Rutgers University, Department of Mathematics, New Brunswick, NJ, USA Lecturer in the Masters of Mathematical Finance Program, 2013 – present PAST POSITIONS • Purdue University, Department of Economics, West Lafayette, IN, USA Associate Professor, July 2001 - July 2002 • Texas A&M University, Department of Economics, College Station, TX, USA Associate Professor, June 1999 - July 2001 • Pennsylvania State University, Department of Economics, State College, PA, USA Assistant Professor, Sept 1994 - June 1999 VISITING PROFESSOR/SCHOLAR AT UNIVERSITIES & CENTRAL BANKS • Research Department, Philadelphia Federal Reserve Bank, Visiting Scholar, 2021- • University of Surrey, Dept. of Economics, Surrey, U.K., Visiting Scholar, October 2015, May 2018 • International Monetary Fund, Global Financial Stability Analysis, Monetary & Capital Markets Department, June 2017 • Bank of Canada, Canadian Economic Analysis Group, 2009-2013 • Warwick University, Dept. of Economics, Coventry, U.K., Visiting Scholar, April 2007, March 2009, June 2010, April 2012 • University of Pula, Dept.