
919-966-5343
919-966-4986 fax
919-966-2383 messages
Gardner 300B
e-mail:
jbhill@email.unc.edu
web site:
www.unc.edu/~jbhill
Jonathan Hill
Assistant Professor
University of Colorado - Boulder
Time Series Econometrics, Econometric Theory
Jonathan Hill received his Ph.D. in economics from the University of Colorado at
Boulder in 2001. His research focus has been primarily in extreme value theory and
regression model specification testing. EVT topics include invariance
principles, tail shape estimation, and tail dependence characterization and
non-parametric estimation each for non-iid
data applicable to asymmetric, persistent and heterogeneous time series
encountered in finance and macroeconomics. These methodologies have been applied
to analyses of extremal memory decay, and extremal volatility spillover in
equity and exchange rate markets. Current projects turn the EVT premise around
with focus on central limit theory and robust estimation based on tail-trimming.
The result is a highly robust theory of Minimum Distance Estimation, including
Tail-Trimmed GMM.