Todd Prono

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Simple Estimators for the GARCH(1,1) Model

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

Todd Prono, 2012 .

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

Todd Prono, 2019, Finance and Economics Discussion Series.

Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

Todd Prono, 2018, Studies in Nonlinear Dynamics & Econometrics.

THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR: ESTIMATING TRIANGULAR SYSTEMS

Todd Prono, 2014 .

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

Todd Prono, J. J. Reeves, Konark Saxena, 2016, Finance and Economics Discussion Series.

Central Clearing and Systemic Liquidity Risk

Travis D. Nesmith, Todd Prono, anna. paulson, 2020, Finance and Economics Discussion Series.

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

Todd Prono, 2018 .

The Relative Efciency of Endogenous Proxies: Still Living with the Roll Critique 1

Todd Prono, 2008 .

The Relative Ef ciency of Endogenous Proxies : Still Living with the Roll Critique

Todd Prono, 2008 .

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

Todd Prono, 2015 .

Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique

Todd Prono, 2009 .

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

Todd Prono, 2015 .

When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models

Todd Prono, 2011 .

GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique

Todd Prono, 2006 .

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

Todd Prono, 2017 .

Simple Estimators for GARCH Models

Todd Prono, 2017 .

Simple Estimators for ARCH Models1

Todd Prono, 2016 .

Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board , Washington , D . C . Simple Estimators for ARCH Models

Todd Prono, 2016 .

Loss distribution estimation, external data and model averaging

Ethan Cohen-Cole, Todd Prono, 2007 .

Garch-based identification of endogenous regressors

Todd Prono, 2006 .

Shifts in beta and the TARP announcement

Todd Prono, J. J. Reeves, Konark Saxena, 2022, Finance Research Letters.