Eric Jacquier

Boston University School of Management

595 Commonwealth Avenue

Boston, MA 02215

United States

HEC Montreal - Department of Finance

Professor of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, QC H3T 2A7

Canada

  • Boston University School of Management

  • HEC Montreal - Department of Finance

SCHOLARLY PAPERS

15

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85

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Scholarly Papers (15)

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1.

Optimal Forecasts of Long-Term Returns: Geometric, Arithmetic, or Other Means

Boston College Working Paper
Number of pages: 33 Posted: 17 Dec 2002
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance
Downloads 1,220 (15,717)

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Long-term returns, parameter uncertainty, Bias, maximum likelihood, mean squared error, arithmetic and geometric mean

2.

Market Beta Dynamics and Portfolio Efficiency

Number of pages: 32 Posted: 03 May 2005
Eric Ghysels and Eric Jacquier
University of North Carolina Kenan-Flagler Business School and Boston University School of Management
Downloads 1,184 (16,474)

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beta, systematic risk, portfolio efficiency, errors in the variables

3.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper
Number of pages: 31 Posted: 16 Jul 2001
Eric Jacquier, Peter E. Rossi and Nick Polson
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 1,016 (20,689)

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ARCH, Bayes factor, Fat-tails, Gibbs Leverage effect, Metropolis, MCMC, Stochastic volatility

4.

Growth Opportunities and Assets in Place: Implications for Equity Betas

Boston College Working Paper
Number of pages: 35 Posted: 07 Apr 2003
Eric Jacquier, Atakan Yalcin and Sheridan Titman
Boston University School of Management, Ozyegin University and University of Texas at Austin - Department of Finance
Downloads 644 (39,140)

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Assets in place, beta, CAPM, growth opportunities, risk premium, size, value

5.

Evaluating Dynamic Strategies: The Free Lunch Was No Banquet

Boston College Working Paper
Number of pages: 28 Posted: 27 Jan 2003
Eric Jacquier and Tong Yao
Boston University School of Management and University of Iowa - Henry B. Tippie College of Business
Downloads 552 (47,971)

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Data mining, Efficient markets, Genetic algorithm, Moving average, Technical analysis, Trading rule

6.

Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs

CSDA Annals of Computational and Financial Econometrics, Forthcoming , Boston U. School of Management Research Paper No. 2464724
Number of pages: 46 Posted: 12 Jul 2014
Cedric Okou and Eric Jacquier
University of Quebec at Montreal (UQAM) and Boston University School of Management
Downloads 58 (356,551)

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Horizon effect, Stock return predictability, Realized variance, Short-memory, Long-memory

7.

Disentangling Continuous Volatility From Jumps in Long-Run Risk-Return Relationships

CIRANO - Scientific Publications 2013s-14
Number of pages: 49 Posted: 14 Jun 2013
Eric Jacquier and Cedric Okou
Boston University School of Management and University of Quebec at Montreal (UQAM)
Downloads 49 (384,928)

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predictability, realized variance, continuous volatility, jumps, long-run returns, persistent regressor

8.

Are Underwriting Cycles Real and Forecastable?

Journal of Risk and Insurance, Vol. 79, Issue 4, pp. 995-1015, 2012
Number of pages: 21 Posted: 22 Nov 2012
M. Martin Boyer, Eric Jacquier and Simon van Norden
HEC Montreal - Department of Finance, Boston University School of Management and HEC Montreal - Department of Finance
Downloads 1 (639,245)
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9.

Segregating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs

Posted: 08 Mar 2012
Eric Jacquier and Cedric Okou
Boston University School of Management and University of Quebec at Montreal (UQAM)

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stock return predictability, continuous volatility, jumps, long-run, realized volatility

10.

Predicting Systematic Risk: Implications from Growth Options

CIRANO - Scientific Publications Paper No. 2009s-26
Posted: 12 Nov 2009
Eric Jacquier, Sheridan Titman and Atakan Yalcin
Boston University School of Management, University of Texas at Austin - Department of Finance and Ozyegin University

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financial leverage effect, growth options, risk

11.

Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 37-55, 2005
Posted: 29 Feb 2008
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance

Abstract:

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arithmetic mean, asset allocation, estimation risk, geometric mean, long-term returns, maximum likelihood, mean-squared error, risk premium, small sample

12.

Geometric or Arithmetic Mean: A Reconsideration

Financial Analysts Journal, Vol. 59, No. 6, pp. 46-53, November/December 2003
Posted: 26 Jan 2004
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance

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Portfolio management, asset allocation, investment theory, portfolio theory, quantitative tools, econometric and statistical methods

13.

Asset Allocation Models and Market Volatility

Financial Analysts Journal, Vol. 57, No. 2, March/April 2001
Posted: 29 Jun 2001
Eric Jacquier and Alan J. Marcus
Boston University School of Management and Boston College - Department of Finance

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14.

Dynamic Evaluation of Contingent Claim Models (an Analysis of Model Error)

Posted: 30 Aug 1999
Robert A. Jarrow and Eric Jacquier
Cornell University - Samuel Curtis Johnson Graduate School of Management and Boston University School of Management

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15.

Model Error in Contingent Claim Models (Dynamic Evaluation)

Rodney L. White Center Working Paper No. 07-96
Posted: 13 Jun 1998
Robert A. Jarrow and Eric Jacquier
Cornell University - Samuel Curtis Johnson Graduate School of Management and Boston University School of Management

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