Eric Jacquier

Professor Eric Jacquier is a clinical professor of finance at Boston University’s Questrom School of Business. His research interests include empirical asset pricing, risk and return relationships, volatility forecasting, portfolio and risk management, derivative, financial econometrics, Bayesian Inference and Markov Chain Monte Carlo methods in finance.

Jacquier received his Ph.D. in finance and statistics from University of Chicago, his M.B.A. with concentration in international business and finance from University of California, Los Angeles, and his M.Sc. in electrical engineering from École Supérieure d’Électricité.

Education

• Ph.D The University of Chicago - Booth School of Business
• MBA UCLA Anderson School of Management
• Engineer's degree Supélec

Academic Positions

• Boston University Questrom School of Business Clinical Professor of Finance Since 2015 Visiting 2012-15,
• Executive director (interims), Mathematical Finance MSc and PhD Programs, 2015-18
• HEC Montreal, Professor of Finance, holder of the Professorship in Derivative Securities, on leave 2011-2014, Associate 2004-12, Visiting 2003-04. 2003-15
• MIT Sloan, Visiting Professor of Finance, Associate 2010-12. 2010-13
• Boston College Carroll School, Assistant Professor of Finance. 1996-03
• Wharton, Visiting Assistant Professor of Finance. 1995-96
• Cornell University Johnson School, Assistant Professor of Finance. 1991-95
• Chicago Booth School of Business, Lecturer in Econometrics & Management Science. 1988-90
• Nkrumah University of Sciences and Technologies, Kumasi, Ghana, Lecturer in Electrical Engineering. 1979-81

Other Current Academic Appointments

• Associate Editor, Annals of Computational and Financial Econometrics 2011 - 2019
• Fellow CIREQ, Inter-university Research Center in Quantitative Economics.
• Fellow CIRANO, Montreal

Selected 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, É., Polson, N., Rossi, P. (1995). "Models and Priors for Multivariate Stochastic Volatility",
• 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