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Photo of Todd A. Prono

Todd A. Prono

Principal Economist Quantitative Risk Analysis Section Reserve Bank Operations and Payment Systems
202-510-2398
[email protected]

Education

  • Ph.D., Economics, Boston College, 2006
Current Research Topics
  • Conditional Volatility Modeling and Estimation
  • Heavy-Tailed Inference
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2020 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2016 - 2020
  • Assistant Professor of Finance

    American University

    2013 - 2016
  • Financial Economist

    Commodity Futures Trading Commission

    2009 - 2013
  • Financial Economist

    Federal Reserve Bank of Boston

    2006 - 2009
  • Shifts in beta and the TARP announcement
    Andrew Phin, Todd Prono, Jonathan J. Reeves, and Konark Saxena
    Finance Research Letters (Forthcoming)
    https://doi.org/1016/j.frl.2022.102704
  • Central Clearing and Systemic Liquidity Risk
    Thomas King, Travis D. Nesmith, Anna Paulson, and Todd Prono
    Finance and Economics Discussion Series (2020)
    https://doi.org/10.17016/FEDS.2020.009
  • 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
    Finance and Economics Discussion Series (2019)
    https://doi.org/10.17016/FEDS.2019.030
  • Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement
    Andrew Phin, Todd Prono, Jonathan J. Reeves, and Konark Saxena
    Finance and Economics Discussion Series (2018)
    https://doi.org/10.17016/FEDS.2018.081
  • Closed-Form Estimators for Finite-Order ARCH Models as Simple and Competitive Alternatives to QMLE
    Todd Prono
    Studies in Nonlinear Dynamics and Econometrics (2018)
    https://doi.org/10.1515/snde-2017-0070
  • Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry
    Todd Prono
    Finance and Economics Discussion Series (2017)
    https://doi.org/10.17016/FEDS.2017.095
  • Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance
    Todd Prono
    Finance and Economics Discussion Series (2017)
    https://doi.org/10.17016/FEDS.2016.083r1
  • Market Proxies as Factors in Linear Asset Pricing Models: Still Living with the Roll Critique
    Todd Prono
    Journal of Empirical Finance (2015)
    https://doi.org/10.1016/j.jempfin.2015.02.001
  • 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
    Journal of Applied Econometrics (2014)
    https://doi.org/10.1002/jae.2340
  • GARCH-Based Identification and Estimation of Triangular Systems
    Todd Prono
    Quantitative Analysis Unit Working Paper (2008)
  • Loss Distribution Estimation, External Data and Model Averaging
    Ethan Cohen-Cole and Todd Prono
    Quantitative Analysis Unit Working Paper (2007)

  • conference

    12/16/2019

    Paris Financial Management Conference

  • conference

    8/26/2019

    Econometric Society European Meeting

  • conference

    6/1/2019

    4th International Workshop on Financial Markets and Nonlinear Dynamics

  • conference

    9/5/2018

    25th International Conference on Forecasting Financial Markets

  • conference

    6/1/2018

    Annual Meeting of the Risk Society

  • conference

    6/1/2017

    3rd International Workshop on Financial Markets and Nonlinear Dynamics

  • conference

    3/30/2017

    25th Symposium of the Society of Nonlinear Dynamics and Econometrics

  • conference

    12/9/2016

    10th International Computational and Financial Econometrics Conference

  • conference

    10/21/2016

    Midwest Econometrics Group

  • conference

    12/12/2015

    9th International Conference on Computational and Financial Econometrics (invited)

    Linear Two-Stage-Least-Squares Estimators for GARCH Processes

  • conference

    4/1/2015

    Royal Economic Society Conference

    Reconsidering Moments-Based Estimators for ARCH Processes

  • conference

    6/13/2014

    7th Annual Society for Financial Econometrics (SoFiE) Conference

    Simple Estimators for the GARCH(1,1) Model

  • conference

    6/21/2012

    5th Annual Society for Financial Econometrics (SoFiE) Conference

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

  • conference

    9/17/2011

    NBER-NSF Time Series Conference

    Using Skewness to Estimate the Semi-Strong GARCH(1,1) Model

Awards
  • 2010

    Southwestern Finance Association

    Best Paper in Investments

Referee
  • American Journal of Agricultural Economics
  • Journal of Applied Econometrics
  • Journal of Empirical Finance
  • Journal of Financial Econometrics
  • Oxford Bulletin of Economics and Statistics
  • Quantitative Finance
Last update: June 30, 2022