3
H index
0
i10 index
19
Citations
Todd Andrew Prono : Citation Profile
Government of the United States | RESEARCH PRODUCTION: 2 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2006 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Todd Andrew Prono. | Is cited by:
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Main data
Where Todd Andrew Prono has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 6 |
| MPRA Paper / University Library of Munich, Germany | 5 |
| Supervisory Research and Analysis Working Papers / Federal Reserve Bank of Boston | 3 |
Recent works citing Todd Andrew Prono (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178. Full description at Econpapers || Download paper |
| 2024 | Intraday and daily dynamics of cryptocurrency. (2024). Jasiak, Joann ; Zhong, Cheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006506. Full description at Econpapers || Download paper |
| 2025 | The case for supporting liquidity supply in (some corners of) non-bank intermediation. (2025). Aramonte, Sirio. In: International Finance Discussion Papers. RePEc:fip:fedgif:1425. Full description at Econpapers || Download paper |
Works by Todd Andrew Prono:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Market proxies as factors in linear asset pricing models: Still living with the roll critique In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2007 | Loss distribution estimation, external data and model averaging In: Supervisory Research and Analysis Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | GARCH-based identification and estimation of triangular systems In: Supervisory Research and Analysis Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | GARCH-Based Identification and Estimation of Triangular Systems.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2009 | Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique In: Supervisory Research and Analysis Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2006 | GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 2019 | 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 In: Finance and Economics Discussion Series. [Citation analysis] | paper | 0 |
| 2022 | Central Clearing and Systemic Liquidity Risk In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 4 |
| 2019 | Central Clearing and Systemic Liquidity Risk.(2019) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2025 | When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2011 | When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2014 | THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team