Todd Prono

Board of Governors of the Federal Reserve System

Principal Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

DOWNLOADS

970

SSRN CITATIONS
Rank 43,531

SSRN RANKINGS

Top 43,531

in Total Papers Citations

6

CROSSREF CITATIONS

10

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 (16)

1.

Simple Estimators for the GARCH(1,1) Model

Number of pages: 52 Posted: 24 Nov 2009 Last Revised: 09 Sep 2014
Todd Prono
Board of Governors of the Federal Reserve System
Downloads 157 (264,178)

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

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), Board of Governors of the Federal Reserve System, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 108 (351,932)

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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. 2018-81
Number of pages: 21 Posted: 03 Dec 2018 Last Revised: 21 Feb 2019
University of New South Wales (UNSW), Board of Governors of the Federal Reserve System, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 38 (605,643)

Abstract:

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3.

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
Board of Governors of the Federal Reserve System
Downloads 141 (287,785)
Citation 12

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

4.

Central Clearing and Systemic Liquidity Risk

FEDS Working Paper No. 2020-009R1
Number of pages: 46 Posted: 15 May 2020 Last Revised: 09 Jul 2021
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 114 (336,904)

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Financial systems, Central counterparties, CCPs, Margin, Liquidity risk, Systemic risk, Financial stability, Procyclicality

5.

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
Board of Governors of the Federal Reserve System
Downloads 87 (401,360)
Citation 1

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

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
Board of Governors of the Federal Reserve System
Downloads 53 (528,265)

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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. 2016-83
Number of pages: 35 Posted: 20 Oct 2016 Last Revised: 30 Jul 2017
Todd Prono
Board of Governors of the Federal Reserve System
Downloads 23 (711,660)

Abstract:

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7.

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
Board of Governors of the Federal Reserve System
Downloads 70 (454,065)

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Triangular models, heteroskedasticity, identification.

8.

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
Board of Governors of the Federal Reserve System
Downloads 36 (603,636)

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

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
Board of Governors of the Federal Reserve System
Downloads 23 (711,660)

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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. 2017-95
Number of pages: 11 Posted: 26 Sep 2017
Todd Prono
Board of Governors of the Federal Reserve System
Downloads 12 (814,474)

Abstract:

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

10.

Simple Estimators for GARCH Models

Number of pages: 32 Posted: 13 Jan 2017 Last Revised: 27 Jan 2017
Todd Prono
Board of Governors of the Federal Reserve System
Downloads 29 (646,769)
Citation 5

Abstract:

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

11.

Central Clearing and Systemic Liquidity Risk

FRB of Chicago Working Paper No. WP 2019-12
Number of pages: 39 Posted: 09 Jul 2021 Last Revised: 03 Jul 2021
affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Chicago and Board of Governors of the Federal Reserve System
Downloads 28 (653,466)

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margin, financial systems, Central Counterparties (CCPs), procyclicality, liquidity risk, financial stability

12.

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
Board of Governors of the Federal Reserve System
Downloads 17 (739,267)

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

Downloads 15 (783,704)

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

When Simplicity Offers a Benefit, Not a Cost: Closed-Form Estimation of the Garch(1,1) Model that Enhances the Efficiency of Quasi-Maximum Likelihood

FEDS Working Paper No. 2019-30
Posted: 13 May 2019
Todd Prono
Board of Governors of the Federal Reserve System

Abstract:

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14.

Simple Estimators for GARCH Models: Supplemental Appendix

Number of pages: 13 Posted: 13 Jan 2017 Last Revised: 19 Jan 2017
Todd Prono
Board of Governors of the Federal Reserve System
Downloads 13 (775,810)

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

15.
Downloads 6 (847,826)

Abstract:

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

16.

Garch-Based Identification of Triangular Systems with an Application to the CAPM: Still Living with the Roll Critique

FRB of Boston Working Paper No. 07-1
Posted: 03 Jul 2021 Last Revised: 02 Jul 2021
Todd Prono
Board of Governors of the Federal Reserve System

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capital asset pricing model, time series analysis