Todd Andrew Prono
Names
| first: |
Todd |
| middle: |
Andrew |
| last: |
Prono |
Identifer
Contact
| phone: |
202-418-5460 |
| postal address: |
Commodity Futures Trading Commission
Office of the Chief Economist
1155 21st Street, N.W.
Washington, DC 20581
(202) 418-5460 |
Affiliations
-
Government of the United States
/ Commodity Futures Trading Commission (CFTC)
Research profile
author of:
- Market proxies as factors in linear asset pricing models: Still living with the roll critique (RePEc:eee:empfin:v:31:y:2015:i:c:p:36-53)
by Prono, Todd - Loss distribution estimation, external data and model averaging (RePEc:fip:fedbqu:qau07-8)
by Ethan Cohen-Cole & Todd Prono - GARCH-based identification and estimation of triangular systems (RePEc:fip:fedbqu:qau08-4)
by Todd Prono - Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique (RePEc:fip:fedbqu:qau09-3)
by Todd Prono - GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique (RePEc:fip:fedbwp:07-1)
by Todd Prono - Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance (RePEc:fip:fedgfe:2016-83)
by Todd Prono - Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry (RePEc:fip:fedgfe:2017-95)
by Todd Prono - Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement (RePEc:fip:fedgfe:2018-81)
by Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena - 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 (RePEc:fip:fedgfe:2019-30)
by Todd Prono - Central Clearing and Systemic Liquidity Risk (RePEc:fip:fedgfe:2020-09)
by Thomas B. King & Travis D. Nesmith & Anna L. Paulson & Todd Prono - When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models (RePEc:fip:fedgfe:2025-75)
by Todd Prono - Central Clearing and Systemic Liquidity Risk (RePEc:fip:fedhwp:87491)
by G. Thomas Kingsley & Travis D. Nesmith & Anna L. Paulson & Todd Prono - Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique (RePEc:pra:mprapa:20031)
by Todd, Prono - GARCH-Based Identification and Estimation of Triangular Systems (RePEc:pra:mprapa:20032)
by Todd, Prono - Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model (RePEc:pra:mprapa:20034)
by Todd, Prono - Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model (RePEc:pra:mprapa:30994)
by Todd, Prono - When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models (RePEc:pra:mprapa:33593)
by Prono, Todd - The Role Of Conditional Heteroskedasticity In Identifying And Estimating Linear Triangular Systems, With Applications To Asset Pricing Models That Include A Mismeasured Factor (RePEc:wly:japmet:v:29:y:2014:i:5:p:800-824)
by Todd Prono