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
- King, Thomas, Travis D. Nesmith, Anna Paulson, and Todd Prono (2020). "Central Clearing and Systemic Liquidity Risk," Finance and Economics Discussion Series 2020-009. Board of Governors of the Federal Reserve System (U.S.).
- Prono, Todd (2019). "When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the GARCH(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood," Finance and Economics Discussion Series 2019-030. Board of Governors of the Federal Reserve System (U.S.).
- Phin, Andrew, Todd Prono, Jonathan J. Reeves, and Konark Saxena (2018). "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081. Board of Governors of the Federal Reserve System (U.S.).
- Prono, Todd (2018). "Closed-Form Estimators for Finite-Order ARCH Models as Simple and Competitive Alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, vol. 22, no. 5.
- 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.
25th International Conference on Forecasting Financial Markets
Annual Meeting of the Risk Society
3rd International Workshop on Financial Markets and Nonlinear Dynamics
25th Symposium of the Society of Nonlinear Dynamics and Econometrics
10th International Computational and Financial Econometrics Conference
Midwest Econometrics Group
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