Bjorn Eraker

Bjørn Eraker is an associate professor in the Finance, Investment and Banking Department of the Wisconsin School of Business.

His research interests include asset pricing, derivatives, econometrics of financial markets, and equilibrium modeling.

Eraker has been published in several journals, including the Journal of Finance, Mathematical Finance, the Journal of Business and Economic Statistics, and the Journal of Empirical Finance.

Prior to joining Wisconsin, he was on the faculty of Duke University, where he was an assistant professor in the Department of Economics.

He received his Ph.D. from the University of Chicago. He also earned a master’s in economics and business from the Norwegian School of Economics and Business Administration and a master of management from the Norwegian School of Management.

Selected Published Journal Articles

• Eraker, B. & Wang, W. & Shaliastovich, I. (2016). Durable Goods, Inflation Risk and the Equilibrium Term Structure. Review of Financial Studies (29), 193-231.
• Eraker, B. & Shaliastovich, I. & Wang, W. (2016). Durable Goods, Inflation Risk, and Equilibrium Asset Prices. Review of Financial Studies (29), 193-231.
• Eraker, B. & Wang, J. (2015). A Non-Linear Dynamic Model of the Variance Risk Premium. Journal of Econometrics (187), 547-556.
• Eraker, B. & Chiu, . & Foerster, A. & Kim, T. & Seoane, H. (2015). Bayesian Mixed Frequency VAR's. Journal of Financial Econometrics (13), 698-721.
• Eraker, B. (2013). The Performance of Model Based Option Trading Strategies. Review of Derivatives Research (16), 1-23.
• Eraker, B. (2008). A Bayesian View of Temporary Components in Asset Prices. Journal of Empirical Finance (15), 503-517. doi: 10.1016/j.jempfin.2007.07.004.
• Eraker, B. (2008). Affine General Equilibrium Models. Management Science (54), 2068-2080. doi: 10.1287/mnsc.1070.0796.
• Eraker, B. (2008). An Equilibrium Guide to Designing Affine Pricing Models. Mathematical Finance (18), 519-543. doi: 10.1111/j.1467-9965.2008.00346.x.
• Eraker, B. & Shaliastovich, I. (2008). An Equilibrium Guide to Designing Affine Pricing Models. Mathematical Finance (18), 519-43.
• Eraker, B. (2004). Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices. Journal of Finance (59), 1367-1403. doi: 10.1111/j.1540-6261.2004.00666.x.
• Eraker, B. (2003). The Impact of Jumps in Returns and Volatility. Journal of Finance (53), 1269-1300. doi: 10.1111/1540-6261.00566.
• Eraker, B. (2001). MCMC Analysis of Diffusion Models with Application to Finance. Journal of Business and Economic Statistics (19), 177-191. doi: 10.1198/073500101316970403.

Presentations

AFA Meeting ( 2013 ) Seminar at the Federal Reserve ( 2012 ) Durable Goods, Inflation Risk and the Equilibrium Asset Prices

Seminar at Univ. of Indiana ( 2012 ) Dynamic Present Values and the Intertemporal CAPM

SMU ESSEC Symposium on Financial Econometrics ( 2012 ) Dynamic Present Values and the Intertemporal CAPM

Asset Pricing Models in the Aftermath of the Financial Crisis ( 2011 ) Dynamic Present Values and the Intertemporal CAPM

Seminar ( 2011 ) Dynamic Present Values and the Intertemporal CAPM

Seminar ( 2011 ) Dynamic Present Values and the Intertemporal CAPM

Frontiers of Finance ( 2011 ) Dynamic Present Values and the Intertemporal CAPM

Seminar ( 2011 ) Dynamic Present Values and the Intertemporal CAPM

Seminar ( 2010 ) Equilibrium Yield Curves : The Role of Durable Goods

Multinational Finance Conference ( 2010 ) Over the counter stock markets

Caesarea Annual Finance Conference ( 1 ) The volatility premium

Multinational Finance Society Conference ( 1 ) The volatility premium

seminar A&M ( 1 ) The volatility premium

seminar Bergen ( 1 ) The volatility premium

seminar Zurich ( 1 ) The volatility premium

Tremblant Financial Economics Conference ( 1 ) The Volatility Premium

Undergraduate Courses

Contemporary Topics (FIN 365 Section 2), Fall 2008.

Contemporary Topics (FIN 233), Spring 2010.

Graduate Courses

Seminar- Workshop in Finance (FIN 973), Fall 2011.

Topics Seminar-Finance PhD (FIN 972 Section 1), Spring 2010.

Anal-Fixed Income Securities (FIN 740 Section 1), Fall 2008.

Anal-Fixed Income Securities (FIN 740 Section 1), Spring 2009.

Anal-Fixed Income Securities (FIN 740 Section 1), Spring 2010.

Learning/Teaching Oriented Publications

Eraker, B. & Shaliastovich , I. & Wang, W. Equilibrium Yield Curves: The Role of Durable Goods.