Details about Todd Andrew Prono

Access statistics for papers by Todd Andrew Prono.

Last updated 2017-10-10. Update your information in the RePEc Author Service.

Short-id: ppr136

Working Papers

2022

1. Central Clearing and Systemic Liquidity Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   Also in Working Paper Series, Federal Reserve Bank of Chicago (2019)

2019

2. When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2018

3. Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2017

4. Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2016

5. Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2011

6. Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model
   MPRA Paper, University Library of Munich, Germany
7. When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
   MPRA Paper, University Library of Munich, Germany

2010

8. Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
   MPRA Paper, University Library of Munich, Germany

2009

9. GARCH-Based Identification and Estimation of Triangular Systems
   MPRA Paper, University Library of Munich, Germany View citations (3)
   Also in Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston (2008) View citations (2)
10. Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique
    MPRA Paper, University Library of Munich, Germany View citations (3)
    Also in Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston (2009) View citations (3)

2007

11. Loss distribution estimation, external data and model averaging
    Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston

2006

12. GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique
    Working Papers, Federal Reserve Bank of Boston View citations (2)

Journal Articles

2015

1. Market proxies as factors in linear asset pricing models: Still living with the roll critique
   Journal of Empirical Finance, 2015, 31, (C), 36-53 View citations (3)

2014

2. THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR
   Journal of Applied Econometrics, 2014, 29, (5), 800-824 View citations (5)