Meet the Economists
Todd A. Prono
- Ph.D., Economics, Boston College, 2006
- Conditional Volatility Modeling and Estimation
- Heavy-Tailed Inference
Board of Governors of the Federal Reserve System2016 - present
Assistant Professor of Finance
American University2013 - 2016
Commodity Futures Trading Commission2009 - 2013
Federal Reserve Bank of Boston2006 - 2009
- Prono, Todd (2017). "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095. Board of Governors of the Federal Reserve System (U.S.).
- Prono, Todd (2016). "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083r. 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, no. 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, no. QAU07-8. Federal Reserve Bank of Boston.
9th International Conference on Computational and Financial Econometrics (invited)
Linear Two-Stage-Least-Squares Estimators for GARCH Processes
Royal Economic Society Conference
Reconsidering Moments-Based Estimators for ARCH Processes
7th Annual Society for Financial Econometrics (SoFiE) Conference
Simple Estimators for the GARCH(1,1) Model
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
NBER-NSF Time Series Conference
Using Skewness to Estimate the Semi-Strong GARCH(1,1) Model
Southwestern Finance Association
Best Paper in Investments
- 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