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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.