| Robert E Davies, Doctoral Candidate
Please note: Robert has left the "Economics" group at Duke University; some info here might not be up to date. I am a PhD candidate in economics at Duke University. My research is in the field of financial econometrics. Among other topics my interests include the study of high frequency data, asset price and volatility jumps, jump regressions, Levy processes, and risk modeling.
- Contact Info:
- Education:
BS | George Washington University | 2012 |
- Areas of Interest:
- Financial Econometrics
High Frequency Data
- Curriculum Vitae Bio
- Working Papers
- Robert Davies and George Tauchen, Data-driven Jump Detection Thresholds for Application in Jump Regressions,
(revise and resubmit, Quantitive Economics)
(2016)
- Robert Davies, George Tauchen, and Jia Li, Volatility Jump Regressions,
(working)
(2016)
- Robert Davies, A Pure-jump Semimartingale Framework for Forecasting High-Frequency Tail Risk Measures,
(working)
(2015)
- Robert Davies, Understanding High Frequency Stock Price Dynamics,
(working)
(2015)
- SoFiE Conference 2016 (City University of Hong Kong), June 2016
- Triangle Econometrics Conference (Research Triangle, NC), December 2015
- NBER-NSF Time Series Conference (Vienna University of Economics and Business), September 2015
- MIT Capital Markets Workshop, July 2015
- SoFiE Pre-Conference (CREATES at Aarhus University, Denmark), June 2015
- SoFiE Financial Econometrics Spring School 2015 (The National Bank of Belgium), June 2015
|