John Elder, PhD, CFA Professor of Finance  College of Business NDSU Dept 2420 PO Box 6050 Fargo, ND 58108-6050 Email: John.Elder at ndsu.edu Phone: 701-231-6532    Fax: 701-231-7508	[Research]   [Courses]    [Other- advising, CFA etc]    [Vitae]
John Elder is Professor of Finance at North Dakota State University. He has published numerous articles in prominent academic journals, including JFQA, JMCB, Journal of Financial Research, Financial Review, Journal of Futures Markets and Journal of Macroeconomics. His research has been cited by academics (J of Fin Econ), the U.S. Congress (Joint Economic Committee), practitioners (Institutional Shareholder Services) and popular textbooks (Guide to Econometrics and  Mergers, Acquistions..).  He also is very grateful for having been nominated by students multiple times for the College Teaching Award. He serves on the Investment Advisory Committee at State Bank & Trust Investments, the Board of Editors for the Journal of Economics and Finance and holds the CFA charter. He completed his PhD in economics with a field in finance at the University of Virginia, under the direction of James D. Hamilton and T. Wake Epps.  John Elder has lived in Vermont, Virginia and the New York metro area. In his spare time, he used to mountain bike, ski, camp, hike, canoe, Fam, run recreationally, swim competitively, any other water sport (like water skiing or scuba), and travel (preferred mode1 and older version),  but recently young kids and flat terrain have altered those activities.   Fed Ex / UPS Street Address: 1301 12th Ave North;   Fargo, ND  58102

Courses   [Top] Investment Analysis - Fall08 Speculative Markets - S08  Advanced Financial Management - F08 Student Managed Investment Fund - F08 --- Mgt of Financial Institutions  - F04 Money and Capital Markets - S03 Financial Econometrics - S00 Principles of Finance - S01 Anonymous Course Feedback Form	Other Information [Top] NDSU and College of Business and Advising ---  Careers: Finance; Local; Non-profit; Environ; EconPhD CFA info; CFA Institute; Twin Cities (portfolio mgt) CFP Board (personal financial planners) ---   Computer Programs and Finance/Econ Links Wall Street Jargon; Easy reading; WSJ-subscribe Recreation / Pictures WebMail
Selected Research     (see vitae for complete list) (many working papers are available at SSRN)
Financial and Macro Volatility (development of VAR with MGARCH-in-Mean) Another Perspective on the Effects of Inflation Uncertainty, Journal of Money, Credit and Banking, 36:5, 911-28, 2004  [PDF]. Some Empirical Evidence on the Real Effects of Nominal Volatility, Journal of Economics and Finance, 28:1, 1-13, 2004.     Corporate Finance (Restructurings, Governance) Corporate Governance and Liquidity, Journal of Financial and Quantitative Analysis (with K. Chung and JC Kim), forthcoming, 2008 [PDF]. 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)  Fractional Integration in Commodity Futures Returns (with H. Jin), Financial Review, 2008 [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]. A Reexamination of Fractional Integrating Dynamics in Foreign Exchange Markets (with H. Jin and W. Koo), International Review of Economics and Finance, 15, 120-135, 2006.  Sources of Time-Varying Risk Premia in the Term Structure, Advances in Investment Analysis and Portfolio Management, 9, 85-108, 2002.  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) An Impulse-Response Function for a Vector Autoregression with Multivariate-GARCH-in-Mean, Economics Letters, 79:1, 21-26, 2003 [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].       Working Papers and Dissertation Oil Price Uncertainty (with A. Serletis), Dec 2007 (revise and resubmit-2nd round). Fedspeak: A Market Microstructure Analysis, working paper. 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: This individual WWW page represents the views of the author and not necessarily those of North Dakota State University. NDSU is not responsible or liable for its contents. Please direct comments and/or questions to the contact person identified on this page. CFA® and Chartered Financial Analyst® are trademarks owned by the CFA Institute.