Expertise

Financial econometrics and data analysis, empirical asset pricing (risk and return relationships), volatility forecasting, portfolio and risk management, Bayesian Inference and Markov Chain Monte Carlo methods in finance

Biography

A CIRANO Associate Researcher and Fellow since 1994, Eric Jacquier is Clinical Professor of Finance at the Questrom School of Business at Boston University. He is also Associate Editor at the Annals of Computational and Financial Econometrics and Fellow of the Centre interuniversitaire de recherche en économie quantitative (CIREQ).

Holding a Ph.D. in Finance and Statistics from the University of Chicago, his research is in empirical asset pricing and financial econometrics, especially quantitative portfolio and risk management. He studies the forecasting of risk parameters, such as betas and volatilities, crucial for derivative pricing, and risk and portfolio management. He is a specialist of Bayesian methods in finance, and his work with Nick Polson and Peter Rossi pioneered the use of Markov Chain Monte Carlo methods in finance.

Before Boston University, he taught at Chicago, Cornell, Wharton, Boston College, Montreal and MIT. He also consults and conducts executive education courses.

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CIRANO Publications by Eric Jacquier

As an author

1 to 5 of 6 results
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Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs

Cedric Okou and Eric Jacquier

Risk Management
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Predicting Systematic Risk: Implications from Growth Options

Eric Jacquier, Sheridan Titman and Atakan Yalçin

Financial risks
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Stochastic Volatility: Univariate and Multivariate Extensions

Eric Jacquier, Nicholas G. Polson and Peter E. Rossi

Risk Management, Financial risks and Simulation
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Model Error in Contingent Claim Models Dynamic Evaluation

Eric Jacquier and Robert Jarrow

Simulation