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Details about Todd Andrew Prono

E-mail:
Phone:202-418-5460
Postal address:Commodity Futures Trading Commission Office of the Chief Economist 1155 21st Street, N.W. Washington, DC 20581 (202) 418-5460
Workplace:Commodity Futures Trading Commission (CFTC), Government of the United States, (more information at EDIRC)

Access statistics for papers by Todd Andrew Prono.

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

Short-id: ppr136


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Working Papers

2017

  1. 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.) Downloads

2016

  1. 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.) Downloads View citations (1)

2011

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

2010

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

2009

  1. GARCH-Based Identification and Estimation of Triangular Systems
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston (2008) Downloads View citations (2)
  2. Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston (2009) Downloads View citations (1)

2007

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

2006

  1. 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 Downloads

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 Downloads

2014

  1. 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 Downloads View citations (4)
 
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