Faculty Research in Finance
Duke Economics is known for having one of the strongest financial econometrics faculty in the world. A key goal of the Duke Financial Economics Center is to promote interdisciplinary research with other departments at the university and with the broader research community. We build on the strong existing research foundation provided by such professors as Tim Bollerslev, Jia Li, Andrew Patton, George Tauchen, and Brian Weller.
Professor Tim Bollerslev created the GARCH model in 1986, a deceptively simple framework still used widely within the financial industry and academia as the model of reference for forecasting financial volatility.
Professor Jia Li's research focuses on nonparametric estimation and inference of financial risk factors, such as volatility and jumps, utilizing high frequency financial data.
Professor Andrew Patton’s research has examined models of “asymmetric dependence,” including pioneering work on copula models, which succinctly capture the tendency for stock returns to become more correlated during market crashes.
Professor George Tauchen’s notable contributions include his research on the relationship between trading volume and volatility, and the estimation of continuous time models used widely in asset pricing.
Professor Brian Weller studies financial markets with an emphasis on liquidity and asset prices, specializing in developing tools to analyze the informational and risk content of market intermediary behavior.
Several other professors within the Economics Department also work on topics that are closely related to financial economics, including Department Chair Craig Burnside, a macroeconomist who has studied the “carry trade,” an investment strategy in which traders borrow in low interest rate currencies and lend in high ones.
The department also maintains many research connections with the faculty at the Fuqua School of Business, co-writing papers and hosting joint workshops, weekly reading groups, and conferences.
Professors Bollerslev, Patton, and Tauchen organize the weekly Financial Econometrics Lunch Group, known simply as the "Monday Lunch." Visitors and postdocs from all over the world participate in the workshop. Several former Ph.D. students who trained as part of that group are now faculty at the world's top business schools, such as Chicago Booth, Kellogg, and Wharton.
The Triangle Econometrics Seminar Series also hosts several speakers from all over the world on the Duke campus or at the National Institute of Statistical Sciences (NISS) in Durham. Students and faculty are welcome to attend.
Undergraduate, master's, and Ph.D. students have opportunities to work on original research topics and to assist our faculty with their research.