John Elder, PhD, CFA, FRM Assoc Professor of Finance Daniels Fund Ethics Initiative Faculty Fellow Dept of Finance & Real Estate Colorado State University 1272 Campus Delivery Fort Collins, CO 80523-1272 Phone: 970-491-2952 Email:  john.elder "at" colostate.edu	[Research]   [Courses]    [Other- advising, CFA etc]    [Vitae]
John Elder is Associate Professor of Finance and the Daniels Fund Ethics Initiative Faculty Fellow. He has published nearly 30 articles in academic journals, including JFQA, JMCB, Journal of Business and Economic Statistics, Journal of Banking and Finance, Journal of Financial Research, Financial Review and Journal of Futures Markets.  His research has been cited by the U.S. Congress (Joint Economic Committee), practitioners (Institutional Shareholder Services) and popular textbooks (Mergers, Acquistions.. and Guide to Econometrics).  He also is very grateful for having been nominated by students for the Beta Gamma Sigma Most Influential Faculty Member Award (CSU), Odney University Teaching Award (NDSU) and the College Teaching Award (NDSU). He serves as an associate editor of the Journal of Financial Research, Journal of Economics and Finance and the International Journal of Applied Portfolio Management, has co-edited a special issue of Macroeconomic Dynamics.  He has previously served as Associate Dean of Graduate and Executive Education (NDSU).  He completed his PhD in economics with a field in financial economics at the University of Virginia.  John also has considerable professional experience, with his company (Elder Macroeconomic Analysis, LLC) serving as an economic and process adviser for investment managers with billions of dollars in management. He has special interests in socially responsible investing and he holds two prominent professional designations, the CFA charter and the FRM designation. John Elder has lived in Vermont, Virginia, ND and the New York metro area. In his spare time, he tries to mountain bike, ski, camp, hike, canoe, whitewater kayak, run recreationally, swim competitively, any other water sport (like scuba), and travel (sometimes on wheels, but often with his two children).

Courses    [Top] Principles of Investments - S12 Summit Fund (also RAMCT)  Resources - S10 Econ Update / Earnings --- Financial Institutions - S10 Speculative Markets - S09 Student Managed Investment Fund - F08 --- Outlook_Mail CoB Email Info	Other Information [Top] CSU and College of Business and Bloomberg ---  Careers: Finance; More; Non-profit; Environ; CFA info; CFA Institute; Denver (portfolio mgt) CFP Board (personal financial planning) Financial Risk Manager (GARP) Socially Responsible Investing ---   Computer Programs and Finance/Econ Links Wall Street Jargon; Easy reading; WSJ-subscribe Recreation Outlook_Mail
Selected Research     (see vitae for complete list) (many working papers are available on SSRN)
Financial and Macro Volatility (development of VAR with MGARCH-in-Mean) Oil Price Uncertainty (with A. Serletis), Journal of Money, Credit and Banking, 42:6, 1137-1159, 2010 [PDF - working paper].  Another Perspective on the Effects of Inflation Uncertainty, Journal of Money, Credit and Banking, 36:5, 911-28, 2004  [PDF - working paper]. Oil Volatility and the Option Value of Waiting:  An analysis of the G-7 (wtih D. Bredin and S. Fountas), Journal of Futures Markets, forthcoming, 2011 [PDF - working paper]. Oil Price Uncertainty in Canada (with A. Serletis), Energy Economics, 31, 852-856, 2009 [PDF]. -  Corporate Finance (Restructurings, Governance) Corporate Governance and Liquidity, Journal of Financial and Quantitative Analysis (with K. Chung and JC Kim), April 2010 [PDF] (lead article). Do Tracking Stocks Reduce Informational Asymmetries? An Analysis of Liquidity and Adverse Selection (with P.K. Jain and J.C. Kim), Journal of Financial Research, XXVIII:2, 197-213, 2005 [PDF]. The Reaction of Security Prices to Tracking Stock Announcements (with P. Westra) Journal of Economics and Finance, 24, 36-55, 2000. [PDF]    - Asset Pricing (Long memory, dynamic factor models, APT)  Impact of Macroeconomic News on Metal Futures (with H. Miao and S. Ramchander), Journal of Banking and Finance, 2012 [PDF] Fractional Integration in Commodity Futures Returns (with H. Jin), Financial Review, 2009 [PDF].   Long Memory in Commodity Futures Volatility: A Wavelet Perspective (with H. Jin), Journal of Futures Markets, May 2007 [PDF] (lead article). Long Memory in Energy Futures Prices (with A. Serletis), Review of Financial Economics, 17:2, 146-155, 2008 [PDF]. Can the Volatility of the Federal Funds Rate Explain the Time-Varying Risk Premium in Treasury Bill Returns?  Journal of Macroeconomics, 23:1, 73-97, 2001 [PDF]. Estimating the Arbitrage Pricing Theory with Observed Macro Factors, Economics Letters, 55, 241-246, 1997. [PDF]   Econometric Methods (unit roots, MGARCH, count models) Flexible Bivariate Count Data Regression Models (with Shif Gurmu), Journal of Business and Economic Statistics, forthcoming, 2012.  An Impulse-Response Function for a Vector Autoregression with Multivariate-GARCH-in-Mean, Economics Letters, 79:1, 21-26, 2003 [Abstract] [PDF]. F versus t tests for Unit Roots (with Peter E. Kennedy) Economics Bulletin, 3:3, 1-6, 2001 [PDF]. Testing for Unit Roots: What Should Students be Taught? (with Peter E. Kennedy), Journal of Economic Education, 32:2, 137-146, 2001 [PDF] [Jstor].       Working Papers and Dissertation My Dissertation has details on modifying the structural vector autoregression to include multivariate generalized autoregressive conditional heteroskedasticy (i.e., a VAR with MGARCH-in-Mean). Disclaimer: Colorado State makes no warranties, either expressed or implied, concerning the accuracy, completeness, reliability, or suitability of the information on this web page. Nor does Colorado State warrant the use of the works is free of any claims of copyright infringement. All views expressed are those of the page author and not of Colorado State University, and any concerns or comments about these pages should be directed to the page author, and not to Colorado State University."