| Bjorn Eraker, Assistant Professor
Please note: Bjorn has left the "Economics" group at Duke University; some info here might not be up to date.
- Contact Info:
- 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.
- Current Ph.D. Students
(Former Students)
- Recent Publications
- B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices,
Journal of Finance, vol. xxx
(March, 2004),
pp. yyyy
- B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices,
Journal of Finance
(Preprint, 2003)
- B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices,
in Journal of Finance, forthcoming
(2003)
- 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]
- 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
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