Research Areas
Financial econometrics and forecasting; empirical finance; empirical macroeconomics; derivatives
Current Projects
Financial market volatility and correlation modeling, with applications to risk management, portfolio allocation, and asset pricing; term structure dynamics and interactions with the macroeconomy; weather derivatives
Representative Publications
(with T. Andersen, T. Bollerslev and P. Christoffersen)
Volatility: Practical Methods for Financial Applications. (in progress).
Elements of Forecasting. 4th edition, Cincinnati: South-Western College Publishing, 2007.
(with C. Bernadell, P. Cardon, J. Coche, and S. Manganelli)
Foreign Reserves Risk Management. Frankfurt: European Central Bank, 2004.
(with G. Rudebusch)
Business Cycles: Durations, Dynamics, and Forecasting. Princeton University Press, 1999.
Empirical Modeling of Exchange Rate Dynamics. New York: Springer-Verlag, 1988.
Education
PhD, University of Pennsylvania, 1986; BS, University of Pennsylvania, 1981
Career and Recent Professional Awards; Teaching Awards
Fellow, American Statistical Association, elected 2004; Alexander von Humboldt Award, Federal Republic of Germany, 2004
Fellow, Econometric Society, elected 1998; John Simon Guggenheim Fellowship, 2003-2004; Geewax-Terker Award for Outstanding Financial Research, Wharton School, 2001, 2004; Alfred P. Sloan Foundation Research Fellowship, 1992-1994; Kravis Award for Outstanding Teaching, University of Pennsylvania, 1994, 1998
Academic Positions Held
Wharton: 1997-present. University of Pennsylvania: 1989-present. Visiting appointments: University of Chicago; Princeton University; New York University; Johns Hopkins University; Cambridge University
Professional Leadership 2005-2009
Chairman, National Science Foundation/National Bureau of Economic Research, Forecasting Seminar, 1994-present; Senior Fellow, Wharton Financial Institutions Center, 1997-present; Editorial Board, Econometrica, 1994-present; International Economic Review, 1993-present; Review of Economics and Statistics, 1993-present; Journal of Business and Economic Statistics, 1993-present; Journal of Forecasting, 1990-present
Corporate and Public Sector Leadership 2005-2009
Charter Member, Oliver Wyman Institute, 1997-present; National Science Foundation Economics Panel, 1998-2000; numerous corporate boards, advisory boards, and consulting engagements, worldwide.
