Working Papers

Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Time Series of Daily Realized Volatility, with Marcelo Medeiros

Forecasting Output Growth and Inflation: How to Use Information in
the Yield Curve, with Huiyu Huang, Tae-Hwy Lee, and Canlin Li

Let's Do It Again:  Bagging Equity Premium Predictors, with Tae-Hwy Lee and Marcelo Medeiros

Mean Reversion Expectations and the 1987 Stock Market Crash: An Emprical Investigation

Neglecting Parameter Changes in Autoregressive Models

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility, with Gunther Schnabl, revised version 2006 (earlier version is ECB Working Paper No. 650)

Models for Daily Realized Stock Volatility Time Series, with Mihaela Craioveanu

The Sensitivity of GARCH Option Pricing Models to Ignored Parameter Changes, with Burak Hurmeydan

Hooray for Hollywood: Pricing Options on Movie Revenue, with Don Chance and Jim Hilliard

Talks and Conferences

Forecasting in Rio, Getulio Vargas Foundation, Rio de Janeiro, Brazil, July 2008. ("Let's Do It Again: Bagging Equity Premium Predictors," joint work with Tae-Hwy Lee and Marcelo Medeiros, presented by Marcelo Medeiros)

"Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Time Series of Daily Realized Volatility,"  Texas A&M Econometrics Seminar, November 2007, slides

"Pricing an Option on Movie Revenue: Theory and Application," UCSB Statistics and Applied Probability Seminar, October 2007, slides

"Pricing an Option on Movie Revenue: Theory and Application," UC Merced Applied Mathematics Seminar, October 2007

"Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Time Series of Daily Realized Volatility,"  Midwest Econometrics Group Meetings, St. Louis University, October 2007, slides

"Asymmetries, Breaks, and Long-Range Dependence in Realized Volatility: A Simultaneous Equations Approach," Economics and Finance Seminar, Institute of Advanced Studies, Vienna, December 2006, slides

"Asymmetries, Breaks, and Long-Range Dependence in Realized Volatility: A Simultaneous Equations Approach," Breaks and Persistence in Econometrics Conference, Cass Business School, London, December 2006, slides

"Asymmetries, Breaks, and Long-Range Dependence in Realized Volatility: A Simultaneous Equations Approach," LSU Economics Seminar, December 2006

"Pricing an Option on Movie Revenue: Theory and Application," Advances in Econometrics, Baton Rouge, November 2006

"Japanese Foreign Exchange Intervention and the Yen-Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," Econometric Society European Meeting, Vienna, August 2006, slides

"Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches,"  Conference on Forecasting in the Presence of Structural Breaks and Model Uncertainty, Saint Louis University, August 2006, slides

"Pricing an Option on Movie Revenue: Theory and Application," Pontifical Catholic University, Department of Economics, Rio de Janeiro, Brazil, July 2006, slides

"Pricing an Option on Movie Revenue: Theory and Application," Ibmec Business School, Rio de Janeiro, Brazil, July 2006

"Japanese Foreign Exchange Intervention and the Yen-Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CIREQ Conference on Realized Volatility, Montreal, April 2006

"Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue," 16th Annual Conference on Derivative Pricing, FDIC, Arlington, Virginia, April 2006

"Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue," LSU, joint seminar of the Department of Finance and the Department of Economics, October 2005

"Neglecting Parameter Changes in Autoregressive Models," LSU Department of Experimental Statistics, Seminar, October 2005

"Neglecting Parameter Changes in Autoregressive Models," Midwest Econometrics Group Meeting, Carbondale, IL, October 2005, slides

"Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue," Financial Management Association Meetings, Chicago, IL, October 2005, slides (Eric), slides (Don)

"Neglecting Parameter Changes in Autoregressive Models," poster presentation, SAMSI Opening Workshop for the Program on Financial Mathematics, Statistics, and Econometrics, Research Triangle Park, NC, September 2005, poster

"Neglecting Parameter Changes in Autoregressive Models," International Symposium on Forecasting, San Antonio, TX, June 2005

"An ARCH Model of Several Time Scales," CRM Workshop Stochastic Modeling in Financial Mathematics,  Montreal, June 2005, slides

"A Structural Break in the Effects of Foreign Exchange Rate Intervention on Yen/Dollar Exchange Rate Volatility," Department of Economics, Pontifical Catholic University of Rio de Janeiro (PUC), Brazil, March 2005, slides

"Overlaying Time Scales in Financial Volatility Data," IBMEC Business School, Rio de Janeiro, Brazil, March 2005

"Overlaying Time Scales in Financial Volatility Data," Institute for Pure and Applied Mathematics (IMPA), Rio de Janeiro, Brazil, March 2005, slides

"Mean Reversion Expectations and the 1987 Stock-Market Crash: An Empirical Investigation," Midwest Economics Association Meetings, Milwaukee, March 2005, slides

"Neglecting Parameter Changes in Autoregressive Models," Annual Meeting of the Southern Economic Association, New Orleans, November 2004

"Overlaying Time Scales in Financial Volatility Data," 3rd Annual Advances in Econometrics Conference, LSU, November 2004, slides

"Neglecting Parameter Changes in Autoregressive Models," North Carolina State University, Financial Mathematics Seminar, October 2004, slides

"Neglecting Parameter Changes in Autoregressive Models," LSU Economics Seminar, September 2004

"Mean Reversion Expectations and Stock Market Crashes," LSU Finance Seminar, March 2004

"A Mean-Reversion Theory of Stock Market Crashes," 10th Annual Meeting of the German Finance Association, Oct 2003, Mainz, Germany

"Unknown Parameter Changes in GARCH and ARMA Models," LSU Mathematics Department, Probability Seminar, September 2003

"Unknown Parameter Changes in GARCH and ARMA Models," Stanford Statistics Seminar, May 2003

"Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," International Conference on Modelling Structural Breaks, Long Memory, and Stock Markets Volatility,  Cass Business School (City University Business School), London, December 2002

"What Is Money?" in three talks, Stanford Department of Mathematics, Financial Mathematics Seminar, February to May 2002

"The EM-Algorithm and its Application to Time Series with Changes in the Parameter Regime," University of Bremen, CeVis Oberseminar, January 2001

"Mean Reversion and Stock Market Crashes," University of Bremen, CeVis Oberseminar, June 2000

"Mean Reversion and Stock Market Crashes," Dresdner Bank AG, Frankfurt, April 2000

"Mean Reversion Models of the Stock Market," University of Bremen, CeVis Oberseminar, April 2000

Education

Dr. rer. pol. (Ph.D.), 2003, University of Bremen, Germany, Department of Economics (Otto Steiger)

Diplom-Mathematiker (M.Sc. Mathematics), 2002, University of Bremen, Department of Mathematics (Ludwig Arnold, George Papanicolaou)

Diplom-Ökonom (M.Sc. Economics), 1999, University of Bremen, Department of Economics (Otto Steiger, Heinz-Otto Peitgen)

Visits and Fellowships

July 2008: Visiting Professor, Pontifical Catholic University, Department of Economics, Rio de Janeiro, Brazil

Summer 2006: Visiting Professor, Pontifical Catholic University, Department of Economics,  and Ibmec Business School, Rio de Janeiro, Brazil

Summer 2005:  Visiting Scholar, Stanford University, Department of Mathematics

Summer 2004:  Visiting Scholar, Stanford University, Department of Mathematics

2001-2003:  Visiting Researcher, Stanford University, Department of Mathematics

Graduiertenkolleg Complex Dynamical Systems, 1999-2001, Center for Complex Systems and Visualization (CeVis), University of Bremen, Department of Mathematics

Studienstiftung des Deutschen Volkes, 1997-2003

download CV

Published and Forthcoming

"Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," with Don Chance and Jim Hilliard,  Management Science 54, 2008, 1015-1028. (pdf, technical manual, data and code)

"Pricing Functionals and Pricing Measures," with Ambar Sengupta, Communications on Stochastic Analysis, 2(1), 2008, 53-70. (pdf of the working paper version)

"Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches," with Marcelo Medeiros, in: David Rapach and Mark Wohar (eds.), "Forecasting in the Presence of Structural Breaks and Uncertainty," Frontiers of Economics and Globalization, Elsevier/Emerald 2008 (pdf of the working paper version)

"Overlaying Time Scales in Financial Volatility Data," in: Fomby, T.B. and D. Terrell: Advances in Econometrics, Vol. 20: Econometric Analysis of Financial and Economic Time Series/Part B, Elsevier 2006, pp 153-178.  (pdf of the working paper version)

"Neglecting Parameter Changes in GARCH Models," Journal of Econometrics 129, 2005, 121-138.  (pdf of the working paper version)


"The Benefits of Bagging for Forecast Models of Realized Volatility," with Marcelo Medeiros, forthcoming in Econometric Reviews (pdf of the working paper version)

"Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," with Gunther Schnabl and Yasemin Ulu, forthcoming in the Journal of International Financial Markets, Institutions, and Money, earlier version is CESifo Working Paper No. 1766. (pdf of the working paper version)

"Interest Rate Volatility and Home Mortgage Loans," with Faik Koray, forthcoming in Applied Economics (pdf of the working paper version)

"An Elementary Proof of Black-Scholes," forthcoming in Finance Letters (pdf of the working paper version)

Random items of interest:

HAR-RV understood as a data-generating process (Excel file)

Translation of den Haan's and Levin's VARHAC routine from GAUSS into MATLAB (m-file)

Ph.D. Students

Mihaela Craioveanu, 2008, Assistant Professor (tenure track), University of Central Missouri, Warrensburg, MS

Burak Hurmeydan, 2008, Risk Analyst, Citadel Investment Group, New York, NY