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Research Staff and Resources

Banking Supervision and Regulation Staff | Quantitative Risk Management Section
Robin L. Lumsdaine
Associate Director
Quantitative Risk Management Section
Division of Banking Supervision and Regulation

Fields of Interest
Econometrics and Statistics
Banking and Financial Institutions
Financial Markets

Ph.D., Economics, Harvard University, 1991

Professional Experience
Board of Governors of the Federal Reserve System, 2005-present
Director, Deutsche Bank, 2000-2005
Professor of Economics, Brown University, 1997-2001
Assistant Professor of Economics, Princeton University, 1991-1997
Senior Economist, Council of Economic Advisers, 1999-2000
Associate Editor, Journal of Business and Economic Statistics, 1995-2001
Research Associate, National Bureau of Economic Research, 1991-present

Selected Publications

  • ''Identifying the Common Component in International Economic Fluctuations'' (with Eswar S. Prasad), Economic Journal, vol. 113 (2003), pp. 101-27.
  • ''Dating the Integration of World Equity Markets'' (with Geert Bekaert and Campbell R. Harvey), Journal of Financial Economics, vol. 65 (2002), pp. 203-48.
  • ''The Dynamics of Emerging Market Equity Flows'' (with Geert Bekaert and Campbell R. Harvey), Journal of International Money and Finance, vol. 21 (2002), pp. 295-350.
  • ''Probability Limits: Are Subjective Assessments Adequately Accurate?'' (with William F. Bassett), Journal of Human Resources, vol. 36 (2001), pp. 327-63.
  • ''Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean'' (with Serena Ng), Journal of Econometrics, vol. 93 (1999), pp. 257-79.
  • ''Macroeconomic News and Bond Market Volatility'' (with Charles M. Jones and Owen Lamont), Journal of Financial Economics, vol. 47 (1998), pp. 315-37.
  • ''Testing for and Dating Common Breaks in Multivariate Time Series'' (with Jushan Bai and James H. Stock), Review of Economic Studies, vol. 65 (1998), pp. 395-432.
  • ''Multiple Trend Breaks and the Unit Root Hypothesis'' (with David H. Papell), The Review of Economics and Statistics, vol. 79 (1997), pp. 212-18.
  • ''Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models,'' Econometrica, vol. 64 (1996), pp. 575-96.
  • ''Finite Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models,'' Journal of Business and Economic Statistics, vol. 13 (1995), pp. 1-10.
  • ''Recursive and Sequential Tests of the Unit Root and Trend Break Hypotheses: Theory and International Evidence'' (with Anindya Banerjee and James H. Stock), Journal of Business and Economic Statistics, vol. 10 (1992), pp. 271-88.

Last update: December 4, 2009