Duke Economics is known for being home to esteemed scholars of financial economics and econometrics. DFE sustains the work of a core group of research faculty in these areas.
Juanita and Clifton Kreps Distinguished Professor of Economics and DFE Research Director Tim Bollerslev created the GARCH model in 1986, a deceptively simple framework used widely within the financial industry and academia as the model of reference for forecasting financial volatility. He was awarded the Carlsburg Foundation Research Prize in 2018 and is one of the most cited economists in the world.
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.
Zelter Family Distinguished 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.
William Henry Glasson Distinguished Professor of Economics 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.
Assistant 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 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 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 the 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.
Duke graduate students have opportunities to work on original research topics and to assist our faculty with research.