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Todd Andrew Prono

Personal Details

First Name:Todd
Middle Name:Andrew
Last Name:Prono
Suffix:
RePEc Short-ID:ppr136
Commodity Futures Trading Commission Office of the Chief Economist 1155 21st Street, N.W. Washington, DC 20581 (202) 418-5460
202-418-5460
Terminal Degree:2007 Department of Economics; Boston College (from RePEc Genealogy)

Affiliation

Commodity Futures Trading Commission (CFTC)
Government of the United States

Washington, District of Columbia (United States)
http://www.cftc.gov/

: (202) 418-5000
(202) 418-5521
Three Lafayette Centre, 1155 21st Street, NW, Washington DC 20581
RePEc:edi:cftgvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
  2. Prono, Todd, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.), revised Jul 2017.
  3. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
  4. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
  5. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
  6. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
  7. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
  8. Ethan Cohen-Cole & Todd Prono, 2007. "Loss distribution estimation, external data and model averaging," Risk and Policy Analysis Unit Working Paper QAU07-8, Federal Reserve Bank of Boston.
  9. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.

Articles

  1. Prono, Todd, 2015. "Market proxies as factors in linear asset pricing models: Still living with the roll critique," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 36-53.
  2. Todd Prono, 2014. "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, John Wiley & Sons, Ltd., vol. 29(5), pages 800-824, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.

    Cited by:

    1. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Risk and Policy Analysis Unit Working Paper QAU08-4, Federal Reserve Bank of Boston.

  2. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.

    Cited by:

    1. Todd Prono, 2009. "Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique," Risk and Policy Analysis Unit Working Paper QAU09-3, Federal Reserve Bank of Boston.
    2. Milunovich George & Yang Minxian, 2013. "On Identifying Structural VAR Models via ARCH Effects," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 117-131, May.
    3. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.

Articles

  1. Todd Prono, 2014. "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, John Wiley & Sons, Ltd., vol. 29(5), pages 800-824, August.

    Cited by:

    1. Arthur Lewbel, 2016. "Identification and Estimation Using Heteroscedasticity Without Instruments: The Binary Endogenous Regressor Case," Boston College Working Papers in Economics 927, Boston College Department of Economics.
    2. Emanuele BACCHIOCCHI, 2015. "On the Identification of Interdependence and Contagion of Financial Crises," Departmental Working Papers 2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Items authored by Boston College Economics alumni

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2007-03-03 2008-01-05 2008-10-07 2010-01-23 2010-01-23 2010-01-23 2011-10-01 2016-10-23 2017-10-01. Author is listed
  2. NEP-ETS: Econometric Time Series (6) 2007-03-03 2008-10-07 2010-01-23 2010-01-23 2016-10-23 2017-10-01. Author is listed
  3. NEP-ORE: Operations Research (3) 2010-01-23 2011-10-01 2017-10-01
  4. NEP-FMK: Financial Markets (1) 2007-03-03
  5. NEP-RMG: Risk Management (1) 2008-01-05

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