Bjorn Eraker, Assistant Professor

Contact Info:

Office Location:	305 Soc Sci Bldg
Office Phone:	+1 919 660 1821
Email Address:

Education:

• PhD University of Chicago 2001
• MA Norwegian School of Economics and Business Administration (Norges Handelshøyskole) 1997
• Master of Management (Siviløkonom) Norwegian School of Management (Handelshøkonom) 1995

Specialties:

Econometrics

Research Interests: Empirical Finance

Bjorn Eraker joined the Duke Economics faculty in the Fall of 2001 after having finished his Ph.D. at the University of Chicago, Graduate School of Business. A Norwegian native, Prof. Eraker received his undergraduate degree from the Norwegian School of Management (BI), Oslo, and did graduate studies at the Norwegian School of Economics, Bergen. His research interests are in the field of financial economics, in particular empirical asset pricing applications and the econometrics of financial markets.

Recent Publications

1. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, Journal of Finance, vol. xxx (March, 2004), pp. yyyy .
2. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, Journal of Finance (Preprint, 2003) .
3. B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, in Journal of Finance, forthcoming (2003) .
4. B. Eraker, M. Johannes, and N. Polson, The Impact of Jumps in Returns and Volatility, Journal of Finance, vol. 53 (2003), pp. 1269-1300, American Finance Association [~bjorne] .
5. B. Eraker, "MCMC Analysis of Diffusion Processes with Application to Finance", Journal of Business and Economic Statistics, vol. 19 no. 2 (April, 2001), pp. 177-191 .