Education

  • Kellogg Graduate School of Management, Northwestern, Ph.D., 1985.
  • Northwestern University, M.A. in Economics, 1982.
  • University of Brussels, Belgium, B.A. in Economics, 1980.

Work experience

  • Bernstein Distinguished Professor of Economics and Professor of Finance , University of North Carolina at Chapel Hill, Department of Economics and Kenan-Flagler Business School (July 2000 - present)
  • Professor of Economics and Professor of Finance , Penn State University (July 1996 - June 2000)
  • Professor of Economics , University of Montreal (1995 - 1996)
  • Associate Professor of Economics , University of Montreal (1989 - 1995)
  • Assistant Professor of Economics , University of Montreal (1985 - 1989)

Honors and Awards

 

1980-81 : Fulbright Fellow, Hoover Foundation, Belgian American Educational Foundation

1981-1984 : Research Fellow, National Science Foundation of Belgium

1985 : ASA/NSF/Census Fellow, American Statistical Association, Washington, D.C.

1990 : Keynote Speaker, World Congress of the Econometric Society, Barcelona

1991-1992 : Research Fellow, Cowles Foundation, Yale University

1992 : Research Fellow, Minneapolis Federal Reserve Bank.

1995 : Invited Speaker, Brazilian Econometric Society, Salvador, Bahia

1995 : Keynote Speaker, American Statistical Association, Orlando

1997 : Nomination for Harry Johnson Best Paper Award, Canadian Journal of Economics

1998 : Chair-Elect, Business and Economic Statistics Section, American Statistical Association

1998 : Speaker, Invited Econometrics Session, Econometric Society European Meetings, Berlin

1998 : Nomination for the Smith Breeden Prize, Journal of Finance

1999 : Chair, Business and Economic Statistics Section, American Statistical Association

1999 : WFA Award, NYSE Best Paper Award in Equity Trading

1999 : Keynote Speaker, EC2 Conference on Financial Econometrics, Madrid, Spain

2000 : Invited Speaker, International Conference on Seasonality in Economic and Financial Variables, Algarve, Portugal

2001 : Nomination for the Smith Breeden Prize, Journal of Finance

2001 : Fellow, Journal of Econometrics

2001 : Fellow, American Statistical Association

2001-2002 : Honorary Simon Visiting Professor, University of Manchester

2002 : Listed in Who's Who in Economics.

2003 : Keynote Speaker, Portuguese Statistical Association, Faro.

2003 : Best Paper in Investments Award, Southern Finance Association.

2003 : Invited Speaker, Conference on Analysis of High-Frequency Financial Data and Market Microstructure, Academia Sinica, Taiwan.

2004 : Invited Speaker, Time Series Modeling in Marketing, Tuck School of Business at Dartmouth.

2005 : Keynote Speaker, EC2 Conference on Financial Econometrics, Istambul, Turkey.

2005 : Keynote Speaker, Society for Computational Economics Annual International Conference, Washington DC.

2005 : Honorary Fellow, European Society for Computational Methods in Sciences and Engineering.

2005 : Keynote Speaker, International Symposium on Advances in Financial Forecasting, Greece.

2005 : Keynote Speaker, Symposium for Deutsche Bank Prize in Financial Economics in honor of Eugene F. Fama, Frankfurt, Germany.

2006 : Keynote Speaker, 2006 International Symposium on Financial Engineering and Risk Management, Xiamen University, China.

2006 : Keynote Speaker, Canadian Econometrics Study Group, Niagara Falls, Canada.

2007 : Invited Speaker, Far Eastern Meetings of the Econometric Society, Taipei.

2007 : All-Star JFE paper Chernov-Ghysels (2000)

2007 : Keynote Speaker, Singapore Econometric Study Group

2008 : Keynote Speaker, 2008 International Symposium on Nonlinear Time Series Econometrics with Applications (NTSEA2008), Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, China.

2008 : Keynote Speaker, International Forecasting Conference, Rio de Janeiro, Brasil.

2008 : Founding Co-President, Society for Financial Econometrics (SoFiE) with Robert Engle (NYU).

2008-2009 : Resident Scholar, Research Department, Federal Research Bank of New York.

2009 : Keynote Speaker, International Symposium on Financial Engineering and Risk Management, Xiamen University, China.

2009 : Best Paper Award, Chinese International Conference of Finance - Guangzhou.

Teaching Experience

Time Series Econometrics (2nd year PhD program - taught 1996 - 2005)

Empirical Asset Pricing (1st and 2nd year PhD program Finance Dept - taught 1998 - present).

Advanced Econometrics (3rd year PhD program - taught 1998 - 2005).

Volatility (MBA course taught at NYU Stern - 2006)

Advanced Fixed Income (MBA course taught 2009 - present)

Probability and Statistics (1st year PhD program - taught 1988 - 1996)

Asymptotic Theory Econometrics (2nd year PhD program taught 2000 and 2004)

Selected Publications

  • A Study Towards a Dynamic Theory of Seasonality for Economic Time Series, Journal of the American Statistical Association, 1988, 168-172, Reprinted in Modelling Seasonality, S. Hylleberg (ed.), Oxford University Press, 181-192.

  • Test for Structural Stabibity of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator (with A Hall), International Economic Review, 1990, 31, 355-364.

  • On the Economics and Ectnometrics of Seasonality, Invited paper, 1990 World Congress of the Econometric Society, August 1990, in Advances in Econometrics I, C.A. Sims (ed.), Cambridge University Press, 257-316.

  • Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Transformation? (with C.W.J. Granger and P. Siklos).Invited JBES paper, Journal of Business and Economic Statistics 14, 139-152.Reprinted in Newbold, P. and S.J. Leybourne (2003) Recent Developments in Time Series, Edward Elgar and reprinted in Essays in Econometrics: collected Papers of Clive W.J. Granger: Vol. I, Cambridge University Press

  • Stochastic Volatility (with A. Harvey and E. Renault), in Handbook of Statistics 14, Statistical Methods in Finance, G.S. Maddala and C.R. Rao (eds.), North Holland, Amsterdam, (1995), Ch. 5, 119-191.

  • On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Be as Help or Hurt? Journal of Finance 53, 549-573 (1998). (Nominated for the Smith Breeden Prize)
  • Price Discovery without Trading: The Case of the Nasdaq Pre-opening (with C. Cao and F.CHatheway). (NYSE Best Paper Award WFA Meetings 1999, Santa Monica), Journal of Finance 55, 1339-1366 (2000).

  • A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation (with M. Chernov), Journal of Financial Economics 56, 407-458 (2000). (All-Star JFE paper selection based on average yearly citations), reprinted in Stochastic Volatility: Selected Readings, N. Shephard (ed.), Oxford University Press, 398-448..

  • Detetecting multiple breaks in financial market volatility dynamics (with E. Andreou), Journal of Applied Econometrics, 579-600 (2002).
  • Alternative Models of Stock Price Dynamic (with M. Chernov, A.R. Gallant and G. Tauchen), Journal of Econometrics, 116, 225-257 (2003).

  • There is a Risk-return Trade-off After All, (with Pedro Santa-Clara and Ross Valkanov), Journal of Financial Economics, 76, 509-548 (2005).

  • Do Heterogeneous Beliefs Matter for Asset Pricing? (with Evan Anderson and Jennifer Juergens), Review of Financial Studies, 18, 875-924 (2005).

  • Predicting Volatility: How to Get Most Out of Returns Data Sampled at Different Frequencies (with P. Santa-Clara and R. Valkanov), Journal of Econometrics, 131, 59-95 (2006).

Editorial Services

Associate Editor, Journal of Business and Economic Statistics, January 1990-2000.

Associate Editor, Econometric Theory, 1991-1992.

Associate Editor, Review of Economics and Statistics, 1996-2002.

Editor, Annals Issue of the Journal of Econometrics on Seasonality and Econometric Models, 1993, Vol. 55, 1-2.

Member of the Editorial Board, Canadian Journal of Economics/Revue Canadienne d'Economique, 1989-1993.

Editor, Annals Issue of the Journal of Econometrics, Recent Developments in the Econometrics of Structural Change (with J.-M. Dufour), 1996, Vol. 70, 1.

Editor, Annals Issue of the Journal of Econometrics on Econometric Methods for Derivative Securities and Risk Management (with R. Garcia and E. Renault), 2000, Vol. 94, 1-2.

Associate Editor, Journal of the American Statistical Association, 1997-2000.

Associate Editor, Journal of Empirical Finance, 1999-2006.

Editor, Annals Issue of the Journal of Econometrics on Frontiers of Financial Econometrics and Financial Engineering (with G. Tauchen), 2003, Vol. 116.

Editor, Journal of Businesss and Economic Statistics (with Alastair Hall), 2001-2004.

Associate Editor, Journal of Financial Econometrics, 2001-2006.

Associate Editor, Journal of Econometrics, 2004-present.

Co-Editor, Journal of Financial Econometrics, 2006-present.