A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics

Peter Phillips and Jun Yu

No 15-2010, Working Papers from Singapore Management University, School of Economics

Abstract: Eric Ghysels is the Bernstein Distinguished Professor of Economics and Professor of Finance at 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 fast-growing field of financial econometrics. In June 2010, Eric visited the Centre for Financial Econometrics (CoFiE) and the Sim Kee Boon Institute (SKBI) of Financial Economics at Singapore Management University. During his visit we conversed with him about SoFiE and the growing toolroom of financial econometric research, 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 three years.

Pages: 13 pages
Date: 2010-10
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Published in SMU Economics and Statistics Working Paper Series

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