Department of Economics 213 Social Science Box 90097 Duke University Durham, NC 27708-0097

+1 919 660 1812, +1 919 660 1800 (office) (email)

Personal

Date of this CV: April 15, 2008

Birth date: November 26, 1949

Education

PhD	University of Minnesota	1978
BA	University of Minnesota	1971

Areas of Research

Econometrics, Financial Economics

Areas of Interest

Econometrics
Financial Economics

Professional Experience / Employment History

Duke University

Professor of Finance (Joint Appointment), Fuqua School of Business, 1998 - present

William Henry Glasson Professor of Economics, Duke University, 1997 - present

Professor, Department of Economics, Duke University, 1987 - present

Associate Professor with tenure, Department of Economics, Duke University, 1983-1987

Assistant Professor, Department of Economics, Duke University, 1977-1982

Visiting Positions

Visitor, University of Chicago, January 1995-March 1995

Visiting Fellow, The Australian National University, April 1995-June 1995

Visiting Associate Professor, University of Chicago, January 1987-June 1987

Awards, Honors, and Distinctions

Founding member of the Society for Financial Econometrics, September, 2007
Fellow of the Journal of Econometrics, 2004
Scholar/Teacher of the Year, 2003, Duke University
William Henry Glasson Professor of Economics, Duke University, 1997
Fellow of the Econometric Society, 1994
Fellow of the American Statisticial Association, 1993

Conferences Organized

Program Chair, 2007 North American Summer Meeting of the Econometric Society, March 1, 2006 - December 31, 2007

Co-Organizer, Conference on the Risk Neutral and Objective Probability Distributions, October 2000

Co-organizer, 1997 NSF-NBER Time Series Meeting, October 1997

Co-organizer, Conference on New Computational Methods in Economics and Finance, September 1995

Co-organizer, CIRANO/CRDE International Conference on Stochastic Volatility, October 1994

Co-organizer, Triangle Econometrics Conference, December 1993-1998

Organizer, Workshop on Nonlinear Dynamic Models, 1989

Co-organizer, Conference on Nonparametric and Semiparametric Methods in Statistics and Econometrics, May 1988

Scholarly Journals, Approximately 7-10 per year, Referee, 1977 - present

Journal of Financial Econometrics, Co-Editor, 2006 - present

Journal of Econometrics, Associate Editor, 2006 - 2008

Journal of Econometrics, Co-Editor, Special Issue: Frontiers of Financial ..., 2003

Journal of Dynamic Macroeconomics, Co-Editor, Special Issue, 1997

Journal of Business and Economic Statistics, Editor, 1992 - 1996

Journal of Empirical Finance, Associate Editor, 1991 - 1992

Econometric Theory, Associate Editor, 1989 - 1992

Econometrica, Associate Editor, 1986 - 1992

Journal of Business and Economic Statistics, Associate Editor, 1986 - 1989

Journal of the American Statistical Association, Associate Editor, 1984 - 1989

Professional Service

  Internal Service

President's Advisory Committee on Investment Responsibility, Chair, July 01, 2006 - June 30, 2008

Duke University Research Committee, Member, September 1, 2002 - June 30, 2006

APT: Provost's Advisory Committee on Appointments, Promotions, and Tenure, September 1, 2004 - June 30, 2005

Provost's Advisory Committee on Appointments, Promotions, and Tenure, Chair(September 2001-June 2002), September 1999-June 2002

Provost's Advisory Committee on Distinguished Professors, Member, Spring 1999

Arts and Sciences Computing Committee, Chair

Department of Economics, Director of Graduate Studies, 1990-1992, 1997-1998

Faculty Review Committee for Xianhong Chen, Chair

Review Committee for outside appointment with tenure, Member

Econometrics Search Committee, Member

Review Committee for outside appointment with tenure, Chair

MA Program, Department of Economics, Coordinator, 1992-1994

Review Committee for promotion to full rank of Fuqua candidate, Member, 1994

  External Service

Business and Economics Section of the American Statistical Association, Chair, 1997-1998

Program Committee, 1996 Summer Meeting of the Econometric Society, Member, 1996

Program Committee, Twelfth World Congress of the Econometric Society, Member, 1995

Program Committee, 1988 Winter Meetings of the Econometric Society, Member, 1988

1986 Summer Meeting of the Econometric Society, Local Arrangements Chairman, 1986

Publications (listed separately)

Selected Recent Invited Talks

Symposium on Nonlinear and Nonparametric Time Series, Xiamen China, May 12, 2008

Visitor, Federal Reserve Bank of Atlanta, October 2-5, 2007

NSF-NBER Time Series Conference, Iowa City, Iowa, October, 2007

Conference on Financial Econometrics, London, England, May, 2007

Leverage and Volatility, Federal Reserve Bank of Atlanta, April 15, 2006

Asian Symposium on Econometric Theory and Applications (ASETA), Taipei, Taiwan, May 19, 2005

Invited Lecture, Joint Meeting of the European Econometric Society and the European Economics Association, Madrid, Spain, September 2004

Lectures on Financial Econometrics, Uppsala, Sweden, October 2003

Models for Stock Price Dynamics, Nuffield College, Oxford University, October 2001

Lectures on Financial Econometrics: 2001 CIDE, Italian Centre for Econometrics, Econometrics Summer School, Bertinoro Italy, June 2001

Invited Address, American Statistical Association, B&E Section, Indianapolis, August 2000

Lectures on Financial Econometrics, University of Zurich, Switzerland, May 1997

Lectures on Financial Econometrics, Institute for Advanced Studies (IAS), Vienna, Austria, May 1996

Invited Address for the Seventh World Congress of the Econometric Society, August 1995

Invited Address for Business and Economics Section of the 1986 Meetings of the American Statistical Association, 1986

Doctoral Theses Directed

Viktor Todorov, High Frequency Finanical Econometrics, (2007)

Duy Tran, Structural Models for High Frequency Data Analysis, (2007)

Alan Bester, MCMC Methods for Random Field and Latent Factor Models in Finance, (2004)

Jon Tang, Essays on Volatility Transmission, (2002)

Bin Zhang, Essays on Specification Analysis, (2001)

Christian Lundblad, (2000)

Chaeshick Chung, "Specification and Estimation of Target Zone Models for Foreign Exchange Markets", (1998)

Adrian Austin, Interest Rates and Regime Shifts, (1998)

Waping Wang, Essays on Financial Volatility, (1998)

Scott Mixon, Estimation of Diffusions, (1997)

Ming Liu, Essays in Financial Volatility, (April 1996)

Romulo Chumacero, Intertemporal Asset Pricing without Consumption Data: An Application of the Efficient Method of Moments Estimation Technique, (1995)

Paige Wellensiek, Modeling the Term Structure of Interest Rates, (1995)

Harold Zhang, Estimation and Calibration of Heterogeneous-Agent Models, (1994)

Shigeyuki Hamori, Tests of the Asset Pricing Model in a Monetary Economy: Some Evidence from the U.S.A. and Japan, (1991)

George Mokrzan, Aggregate Shocks and the Test of the Sectoral Employment Demand Hypothesis, (1990)

Joo-Ha Nam, Habit-Persistence/Durability, Taxation and Seasonality in Consumption-Based Asset Pricing Model, (1990)

Robert Hussey, Seminonparametric Modeling of Aggregate Employment Dynamics, (1989)

Marilyn Dutton, International Real Interest Equality Based on Price Indexes for Traded Goods, (1989)

Allan Brunner, Nonlinearities in U.S. Business Cycles, (1989)

Peter Muoio, Empirical Tests of the Utility-Based Asset Pricing Model Using Temporally Aggregated Twentieth Century Data, (1988)

Anthony Becker, An Econometric Analysis of the Nuclear Arms Race, (1986)

Charles Gilbert, A Panel Data Approach to Testing the Natural Rate Hypothesis, (September 1984)

Mark Kumm, Comparison of the Generalized Box-Cox and Fourier Functional Forms for Analysis of Time-of-Use Electricity Pricing Experiments, (1981)

Augusto Lopex, Inflation and Exchange Rates in Latin America, (December 1981)

Mark Pitts, The Relationship of Trading Volume to the Probability Distribution of Speculative Price Changes, (1980)

Javier Salas, A Rational Expectations Macroeconomic Model of the Mexican Economy, (1979)

Conference Invitations and Seminar Invitations:

3-5 major national and international conferences per year

Seminars given at every major research university

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Last modified: 2008/04/15