Eric Jacquier

Clinical Professor, Finance Executive Director, MSMFT Program
  • Phone 617-353-8901
  • Office 548B

  • BOSTON UNIVERSITY
    Questrom School of Business
    Rafik B. Hariri Building
    595 Commonwealth Avenue
    Boston, MA 02215

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    Education
  • PhD, Booth School of Business, University of Chicago, 1991
    Publications
  • Jacquier, E., Polson, N., Rossi, P. (2018). Bayesian Analysis of Stochastic Volatility. In Torben, Andersen., Tim, Bollerslev. (Eds.), "Volatility", Edward Elgar Publishing
  • Okou, C., Jacquier, E. (2016). "Horizon effect in the term structure of long-run risk-return trade-offs", Computational Statistics and Data Analysis, 100 445-466
  • Kontoghiorghes, E., Van Dijk, H., Belsley, D., Bollerslev, T., Diebold, F., Dufour, J., Engle, R., Harvey, A., Koopman, S., Pesaran, H., Phillips, P., Smith, R., West, M., Yao, Q., Amendola, A., Billio, M., Chen, C., Chiarella, C., Colubi, A., Deistler, M., Francq, C., Hallin, M., Jacquier, E., Judd, K., Koop, G., Luetkepohl, H., MacKinnon, J., Mittnik, S., Omori, Y., Pollock, D., Proietti, T., Rombouts, J., Scaillet, O., Semmler, W., So, M., Steel, M., Taylor, R., Tzavalis, E., Zakoian, J., Boswijk, H., Luati, A., Maheu, J. (2014). "CFEnetwork: The Annals of Computational and Financial Econometrics 2nd Issue", Computational Statistics and Data Analysis, 76 1-3
  • Jacquier, E., Okou, C. (2014). "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships", Journal of Financial Econometrics, 12 (3), 544-583
  • Jacquier, E., Polson, N. (2013). Asset Allocation in Finance: A Bayesian Perspective."Bayesian Theory and Applications", Oxford University Press
  • Jacquier, E. (2013). Modern Portfolio Theory."Portfolio Theory and Management", Oxford University Press
  • Boyer, M., Jacquier, E., Van Norden, S. (2012). "Are Underwriting Cycles Real and Forecastable?", Journal of Risk and Insurance, 79 (4), 995-1015
  • Jacquier, E., Polson, N. (2011). Bayesian Econometrics in Finance."The Oxford Handbook of Bayesian Econometrics", Oxford University Press
  • Jacquier, E., Titman, S., Yalcin, A. (2010). "Predicting systematic risk: Implications from growth options", Journal of Empirical Finance, 17 (5), 991-1005
  • Jacquier, E., Polson, N. (2010). Bayesian Decision-based Estimation and Predictive Inference."Frontiers of Statistical Decision Making and Bayesian Analysis In Honor of James O. Berger", Springer Science & Business Media
  • Dupuis, D., Jacquier, E., Papageorgiou, N., Remillard, B. (2009). "Empirical evidence on the dependence of credit default swaps and equity prices", Journal of Futures Markets, 29 (8), 695-712
  • Jacquier, E., Polson, N., Rossi, P. (2002). "Bayesian analysis of stochastic volatility models (Reprinted)", JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 20 (1), 69-87
  • Jacquier, E., Jarrow, R. (2000). "Bayesian analysis of contingent claim model error", JOURNAL OF ECONOMETRICS, 94 (1-2), 145-180
  • Durbin, J., Koopman, S., Smith, J., Shephard, N., Chatfield, C., Young, P., Harvey, A., Bhansali, R., Sahu, S., Doornik, J., Nelder, J., Pitt, M., Aitkin, M., Bartlett, M., Chan, K., Tong, H., Diebold, F., van Dijk, H., Fahrmeir, L., Fruhwirth-Schnatter, S., Gamerman, D., Jacquier, E., Polson, N., Jorgensen, B., Lundbye-Christensen, S., Kitagawa, G., Higuchi, T., Kumar, K., Lee, Y., Maravall, A., Quenneville, B., Thomson, P., Zellner, A. (2000). "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives - Discussion on the paper by Durbin and Koopman", JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 62 29-56
  • Jacquier, E., Polson, N., Rossi, P. (1994). "Bayesian-Analysis of Stochastic Volatility Models", Journal of Business and Economic Statistics, 12 (4), 371-389
  • Jacquier, E., Polson, N., Rossi, P. (1994). "Bayesian-Analysis of Stochastic Volatility Models - Reply", Journal of Business and Economic Statistics, 12 (4), 413-417
    Awards and Honors
  • 2014, Teaching Award Math. Finance Program, Math Finance Program
  • 2013, Eric Jacquier, The American Risk and Insurance Association, Casualty Actuarial Society Award