Photo of Todd A. Prono

Todd A. Prono

Education

  • Ph.D., Economics, Boston College, 2006
Current Research Topics
  • Conditional Volatility Modeling and Estimation
  • Heavy-Tailed Inference
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2016 - present
  • Assistant Professor of Finance

    American University

    2013 - 2016
  • Financial Economist

    Commodity Futures Trading Commission

    2009 - 2013
  • Financial Economist

    Federal Reserve Bank of Boston

    2006 - 2009
  • Prono, Todd (2016). "Simple Estimators for ARCH Models," Finance and Economics Discussion Series 2016-083. Board of Governors of the Federal Reserve System (U.S.).
  • Prono, Todd (2015). "Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique," Journal of Empirical Finance, vol. 31, pp. 36-53.
  • Prono, Todd (2014). "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, vol. 29, no. 5, pp. 800-824.
  • Prono, Todd (2008). "GARCH-Based Identification and Estimation of Triangular Systems," Quantitative Analysis Unit Working Paper QAU08-4. Federal Reserve Bank of Boston.
  • Cohen-Cole, Ethan, and Todd Prono (2007). "Loss Distribution Estimation, External Data and Model Averaging," Quantitative Analysis Unit Working Paper QAU07-8. Federal Reserve Bank of Boston.
  • conference

    12/12/2015

    9th International Conference on Computational and Financial Econometrics (invited)

    Linear Two-Stage-Least-Squares Estimators for GARCH Processes

  • conference

    4/1/2015

    Royal Economic Society Conference

    Reconsidering Moments-Based Estimators for ARCH Processes

  • conference

    6/13/2014

    7th Annual Society for Financial Econometrics (SoFiE) Conference

    Simple Estimators for the GARCH(1,1) Model

  • conference

    6/21/2012

    5th Annual Society for Financial Econometrics (SoFiE) Conference

    When a Factor is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models

  • conference

    9/17/2011

    NBER-NSF Time Series Conference

    Using Skewness to Estimate the Semi-Strong GARCH(1,1) Model

Awards
  • 2010

    Southwestern Finance Association

    Best Paper in Investments

Referee
  • American Journal of Agricultural Economics
  • Journal of Applied Econometrics
  • Journal of Empirical Finance
  • Journal of Financial Econometrics
  • Oxford Bulletin of Economics and Statistics
  • Quantitative Finance
Last update: March 18, 2017