Professor Jeremy Berkowitz
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Dept. of Finance 334 Melcher Hall
(713) 743-4764
email: mailto:jberkowitz@uh.edu |
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Associate Professor of Finance at the
Professor Berkowitz is currently on the Editorial Board of the Journal of Risk,
Studies in Nonlinear Dynamics and
Econometrics,
J. International
Financial Markets, Inst. & Money,
and the Asian Journal of Finance and Accounting.
Publications and Papers
Berkowitz, J., P.
Kumar, and N. Langberg (2010) “Price
Discovery and Dynamic Information Revelation in the Financial Crisis of 2008,”
University of Houston
Working Paper.
Berkowitz,
J., Peter F. Christoffersen and Denis Pelletier (2010), “Evaluating Value-at-Risk Models with
Desk-Level
Data,” forthcoming, Management Science
Berkowitz, J. (2010),
“Valuing Equity when Discounted Cash Flows are Markov,”
forthcoming,
Handbook of Financial Econometrics,
Greg N. Gregoriou
and Razvan Pascalau (eds.)
Chapman-Hall/Taylor and Francis: London UK
Berkowitz, J. (2010),
“On Justifications for the ad hoc
Black-Scholes Method of Option Pricing,”
Studies in Nonlinear
Dynamics and Econometrics, 14(1),
article 4.
Berkowitz, J. (2008), “On the Impossibility of a Poincaré
Invariant Vacuum State with Unit Norm,”
arXiv
Preprint, arXiv:0802.0216
Berkowitz,
J. (2007), “Testing Assumptions,” in J. Danielsson, The Value-at-Risk Reference: Key Issues in the
Implementation of Market Risk,
p.441-454, Risk Books: London.
O'Brien,
J. and J. Berkowitz (2006), "Bank
Trading Revenues, VaR and Market Risk"
In R.Stulz, M.Carey Eds, Risks of Financial Institutions, NBER
Berkowitz, J. and Michelle White (2004), "Bankruptcy and Small Firms' Access to Credit",
Rand Journal of Economics, 35(1).
Berkowitz,
J. (2004) "A Coherent
Framework for Stress-Testing"
In P. Jorion, Innovations in Risk Management: Seminal Papers from the
Journal of Risk, Risk: London.
Berkowitz, J. and Jim O'Brien (2002), “How Accurate are the Value-at-Risk Models at Commercial Banks?”
Journal of Finance, 57, 1093-1112.
Berkowitz,
J. (2002), “Testing
Distributions,” Risk,
June, 77-80.
Berkowitz,
J. (2001), “Testing Density
Forecasts with Applications to Risk Management”
Journal of
Business and Economic Statistics, 19, 465-474. Matlab
Code for LR Statistics
Berkowitz,
J. (2001), “Generalized Spectral Estimation
of the Consumption-Based Asset Pricing Model"
Journal of
Econometrics ,104, 269-288.
Berkowitz,
J. and Lorenzo Giorgianni (2001), “Long-horizon Exchange Rate
Predictability?”
Review of
Economics and Statistics,
83, 81-91.
Berkowitz,
J. (2000), “Breaking the
Silence,” Risk, October, 105-108.
Berkowitz,
J. (2000),”A Coherent
Framework for Stress Testing,” Journal of Risk, 2, 1-11.
Berkowitz,
J. and Lutz Kilian (2000), “Recent
Developments in Bootstrapping Time Series,”
Econometric
Reviews (January 2000).
Berkowitz,
J. and Rich Hynes (1999), “Bankruptcy
Exemptions and the Market for Mortgage Loans,”
Journal of
Law and Economics, 42, 809-830.
Berkowitz, J. (1999), “Dealer Polling in the Presence of Possibly Noisy Data,”
Journal of Fixed Income, 9, 47-54.
Diebold, F.X., L. Ohanian, J.Berkowitz (1998), “Dynamic Equilibrium Economies: A Framework for Comparing Models and Data,”
Review of Economic Studies , 65, 433-451.
Berkowitz,
J., I.Birgean, L. Kilian (1999) “On
the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic
Time Series” in
Advances in Econometrics Vol. 14, T. Fomby and R.C. Hill (Eds.).
Berkowitz, J. and F.X.Diebold (1998), “Bootstrapping Multivariate Spectra,”