Jonathan Reeves

Research Interests

• Financial Econometrics
• Quantitative Finance
• Risk Management
• Value-at-Risk
• International Finance

Publications

• "The Hodrick-Prescott Filter, a Generalisation and a New Procedure for Extracting an Empirical Cycle from a Series," with C. A. Blyth, C. M. Triggs and J. P. Small, Studies in Nonlinear Dynamics and Econometrics, 2000, 4(1): 1-16.
• "Estimation and Inference in ARCH Models in the Presence of Outliers," with A. W. Gregory, in Proceedings of the 2002 North American Summer Meetings of the Econometric Society: Finance, edited by David K. Levine, William Zame, Peter Bossaerts, Eduardo Schwartz, Walter Torous.
• "Bootstrap Prediction Intervals for ARCH Models," International Journal of Forecasting, forthcoming.

Working Papers

• "Interpreting Value at Risk (VaR)," with A. W. Gregory.
• "Calibrated Financial Risk (CFR)."
• "Structural Breaks in Realized Volatility," with J. M. Maheu

Teaching Responsibilities

• FINS3642 Strategies for International Funds Management
• FINS3775 Research Methods in Finance 1
• FINS5542 Applied Funds Management

Administrative Responsibilities

• Assistant Director of Undergraduate Studies

Other Information