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His research interests include asset pricing, macro finance and innovation.
According to China Macro Finance, a research firm in New York, the number of registered private businesses grew by more than 30% a year between 2000 and 2009 (see chart 1).
The gross figure (ie, before netting off firms that closed) was at least seven percentage points higher, estimates Ronald Schramm, China Macro Finance's managing director.These figures exclude unregistered businesses, among them the country's ubiquitous tiny offices and manufacturers.
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Alexander Zentefis has research interests in macro-finance, financial intermediation, asset pricing, and industrial organization.
Current Research Focus: Kogan works on topics in asset pricing and macro-finance.
His research interests include asset pricing theory, macro-finance, empirical asset pricing, and financial engineering.
Our results challenge the rational expectation framework for macro-finance, and provide important guidance for the design of behavioral models.
Students interested in Financial Economics as a field can take Econ 530a and Econ 531b, a full second-year sequence that studies frontier topics, with particular emphasis on macro-finance, financial theory, and general equilibium.
"Predictive Macro-Finance with Dynamic Partition Models". Daniel Zantedeschi, Paul Damien and Nicholas G. Polson; Journal of the American Statistical Association, 2011, 106(494), pp. 427-39.
Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based realized volatilities indicates significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn relate to a set of macro-finance state variables.
Academic focus: Information imperfections in macro and finance.
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