Todd Prono

Federal Reserve Board

Senior Economist

20th and Constitution Ave NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

10

DOWNLOADS

540

CITATIONS

1

Scholarly Papers (10)

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 116 (171,664)

Abstract:

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 94 (197,238)

Abstract:

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

3.

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: 19 Posted: 29 Aug 2013 Last Revised: 06 Nov 2016
UNSW Business School, Federal Reserve Board, UNSW Business School, University of New South Wales and University of New South Wales
Downloads 66 (228,058)

Abstract:

event studies, intra-day 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 58 (259,337)
Citation 1

Abstract:

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 56 (283,558)

Abstract:

Triangular models, heteroskedasticity, identification.

6.
Downloads 45 (323,491)

Simple Estimators for ARCH Models

Number of pages: 44 Posted: 10 Sep 2014 Last Revised: 27 Oct 2016
Todd Prono
Federal Reserve Board
Downloads 32 (375,385)

Abstract:

ARCH, closed form estimation, heavy tails, instrumental variables, regular variation, three-step estimation

Simple Estimators for Arch Models

FEDS Working Paper No. 2016-083
Number of pages: 45 Posted: 20 Oct 2016
Todd Prono
Federal Reserve Board
Downloads 13 (474,825)

Abstract:

ARCH, Closed form estimation, Heavy tails, Instrumental variables, Regular variation, Three-step estimation

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 10 (405,820)

Abstract:

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: 19 Jan 2017
Todd Prono
Federal Reserve Board
Downloads 0 (517,528)

Abstract:

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

9.

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 0 (509,496)

Abstract:

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

10.

Simple Estimators for ARCH Models: Supplemental Appendix

Number of pages: 25 Posted: 01 Nov 2016
Todd Prono
Federal Reserve Board
Downloads 0 (490,516)

Abstract:

ARCH, closed form estimation, heavy tails, instrumental variables, regular variation, three-step estimation