Todd Prono

Federal Reserve Board

Senior Economist

20th and Constitution Ave NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

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690

CITATIONS
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18

Ideas:
“  I am currently working on establishing as regularly varying certain threshold GARCH processes, while allowing the innovations to these processes to be skewed. Based on this property of regular variation, I am then determining the distributional limits of OLS and linear two-stage-least-squares estimators for these threshold GARCH processes under conditions that support heavy-tailed return distributions. In addition to being simple, these proposed estimators compare favorably against recently proposed two-step, non-linear estimators intended to improve upon the efficiency of quasi-maximum-likelihood estimation.  ”

Scholarly Papers (13)

1.

Simple Estimators for the GARCH(1,1) Model

Number of pages: 52 Posted: 24 Nov 2009 Last Revised: 09 Sep 2014
Todd Prono
Federal Reserve Board
Downloads 142 (201,774)

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GARCH, GMM, closed-form, many moments, skewness

2.

Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique

Journal of Empirical Finance 31 (2015), 36-53., FRB of Boston Quantitative Analysis Unit Working Paper No. 09-3
Number of pages: 39 Posted: 21 Mar 2009 Last Revised: 18 Aug 2015
Todd Prono
Federal Reserve Board
Downloads 128 (219,142)
Citation 12

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Asset pricing, CAPM, conditional CAPM, ICAPM, measurement error, momentum, time-series testing, value

Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement

UNSW Australian School of Business Research Paper No. 2013 BFIN 06
Number of pages: 20 Posted: 29 Aug 2013 Last Revised: 20 Aug 2018
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 104 (256,400)

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event studies, intraday returns, systematic risk

Level Shifts in Beta, Spurious Abnormal Returns and the Tarp Announcement

FEDS Working Paper No. 2018-081
Number of pages: 21 Posted: 03 Dec 2018 Last Revised: 21 Feb 2019
University of New South Wales (UNSW), Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 18 (545,182)

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Event studies, Intraday returns, Systematic risk

4.

The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models that Include a Mismeasured Factor

Journal of Applied Econometrics, Volume 29, August 2014, pp. 800-824
Number of pages: 48 Posted: 21 Sep 2011 Last Revised: 03 Jun 2015
Todd Prono
Federal Reserve Board
Downloads 80 (301,100)
Citation 3

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Measurement error, triangular models, factor models, beta estimation, identification, heteroskedasticity, GMM

5.

GARCH-Based Identification and Estimation of Triangular Systems

FRB of Boston Quantitative Analysis Unit Working
Number of pages: 19 Posted: 05 Sep 2008 Last Revised: 22 May 2011
Todd Prono
Federal Reserve Board
Downloads 63 (343,568)

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Triangular models, heteroskedasticity, identification.

Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance

Number of pages: 44 Posted: 10 Sep 2014 Last Revised: 09 Feb 2018
Todd Prono
Federal Reserve Board
Downloads 43 (415,627)

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ARCH, Threshold ARCH, closed form, two stage least squares, instrumental variables, heavy tails, regular variation

Closed-Form Estimation of Finite-Order Arch Models: Asymptotic Theory and Finite-Sample Performance

FEDS Working Paper No. 2016-083
Number of pages: 35 Posted: 20 Oct 2016 Last Revised: 30 Jul 2017
Todd Prono
Federal Reserve Board
Downloads 18 (545,182)

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ARCH, Closed form, Heavy tails, Instrumental variables, Regular variation, Two stage least squares

7.

What to Do About a Latent Factor: Performance Evaluation of Linear Asset Pricing Models Dependent Upon the Market Return

Number of pages: 48 Posted: 18 Aug 2015 Last Revised: 01 Nov 2015
Todd Prono
Federal Reserve Board
Downloads 28 (470,804)

Abstract:

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Asset pricing, CAPM, conditional CAPM, ICAPM, measurement error, momentum, time-series testing, value

8.

Simple Estimators for GARCH Models

Number of pages: 32 Posted: 13 Jan 2017 Last Revised: 27 Jan 2017
Todd Prono
Federal Reserve Board
Downloads 21 (509,031)
Citation 4

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GARCH Models, Closed Form Estimation, Heavy Tails, Instrumental Variables, Regular Variation

The GJR GARCH(1,1) Process As Regularly Varying: Implications for Efficient Model Estimation and Risk Measurement

Number of pages: 26 Posted: 05 Aug 2017 Last Revised: 13 Mar 2018
Todd Prono
Federal Reserve Board
Downloads 9 (604,776)

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GARCH, Threshold GARCH, Heavy Tail, Pareto Tail, Regular Variation, efficient method of moments

Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry

FEDS Working Paper No. 2017-095
Number of pages: 11 Posted: 26 Sep 2017
Todd Prono
Federal Reserve Board
Downloads 8 (611,630)

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GARCH, Pareto tail, Heavy tail, Regular variation, Threshold GARCH

10.

Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance Supplemental Appendix

Number of pages: 37 Posted: 01 Nov 2016 Last Revised: 08 Feb 2018
Todd Prono
Federal Reserve Board
Downloads 12 (561,613)

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ARCH, Threshold ARCH, closed form, two stage least squares, instrumental variables, heavy tails, regular variation

Abstract:

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GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation

Abstract:

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GARCH Models, Closed Form Estimation, Heavy Tails, Instrumental Variables, Regular Variation

12.

Simple Estimators for GARCH Models: Supplemental Appendix

Number of pages: 13 Posted: 13 Jan 2017 Last Revised: 19 Jan 2017
Todd Prono
Federal Reserve Board
Downloads 7 (592,531)

Abstract:

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GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation

Abstract:

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GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation