Bidarkota, Prasad
 Associate Professor, Economics , Steven J. Green School of International and Public Affairs
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Overview
overview

My research interests span econometrics (time series analysis), macroeconomics (business cycles), and finance (asset pricing).
One line of research that I have pursued is the application of signal extraction techniques in analyzing macroeconomic issues. In this context, I have applied nonGaussian state space models in a series of papers to uncover market expectations of inflation rates and to examine whether predictable components exist in stock returns. These models also adapt rapidly to abrupt changes in the behavior of time series; therefore I have compared their performance with the popularly used Markov switching models.
In a second line of research I have examined whether or not economic expansions and contractions are statistically dissimilar. If they were indeed dissimilar then one would need to use nonlinear models rather than simple linear models in order to characterize business cycle dynamics. I have provided robust statistical evidence on this issue using business cycle data in a series of articles.
A third line of research examines the impact of fat tails in the driving processes of theoretical asset pricing models on their equilibrium implications. In a couple of articles I have sought to characterize in quantitative economic terms what is to be gained by taking fat tails into account.
My current work aims to integrate these three strands of research, seeking to embed signal extraction into standard asset pricing models and to characterize the effects of nonlinearities on the equilibrium dynamic implications of such models.
research interests
 Econometrics
Scholarly & Creative Works
selected publications

Article

2014Timevarying financial spillovers from the US to frontier marketsFull Text via DOI: 10.1080/17520843.2014.919330 Web of Science: 000450837800004

2013On international financial spillovers to frontier marketsFull Text via DOI: 10.1504/ijebr.2013.054257

2012Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods. EMPIRICAL ECONOMICS. 42:2151.Full Text via DOI: 10.1007/s001810100427y Web of Science: 000299057800002

2011Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic FactorsFull Text via DOI: 10.3390/jrfm4010097 Web of Science: 000219537400004

2011THE PRESENT VALUE MODEL WITH STOCHASTIC DISCOUNT RATE AND AN ANN PROCESS FOR BROAD DIVIDENDSFull Text via DOI: 10.1142/S2010495211500011 Web of Science: 000433657900001

2010A LongRun Risks Model of Asset Pricing with Fat Tails. REVIEW OF FINANCE. 14:409449.Full Text via DOI: 10.1093/rof/rfp015 Web of Science: 000280018900002

2009Asset pricing with incomplete information and fat tails. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 33:13141331.Full Text via DOI: 10.1016/j.jedc.2009.01.002 Web of Science: 000266211500009

2007Intrinsic bubbles and fat tails in stock prices: A note. MACROECONOMIC DYNAMICS. 11:405422.Full Text via DOI: 10.1017/S1365100507060178 Web of Science: 000246372400006

2007The impact of fat tails on equilibrium rates of return and term premia. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 31:887905.Full Text via DOI: 10.1016/j.jedc.2006.03.001 Web of Science: 000244552400007

2006On the economic impact of modelling nonlinearities: The asset pricing example. MACROECONOMIC DYNAMICS. 10:5676.Full Text via DOI: 10.1017/S1365100505050054 Web of Science: 000234340600004

2005Forecast performance of neural networks and business cycle asymmetriesFull Text via DOI: 10.1080/17446540500143848

2004On business cycle asymmetries in G7 countries. OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 66.Full Text via DOI: 10.1111/j.14680084.2004.00082.x Web of Science: 000223042000003

2004Testing for persistence in stock returns with GARCHstable shocks. QUANTITATIVE FINANCE. 4.Full Text via DOI: 10.1088/14697688/4/3/002 Web of Science: 000222767100005

2004Consumption equilibrium asset pricing in two Asian emerging marketsFull Text via DOI: 10.1016/j.asieco.2004.02.004

2004A comparison of two alternative approaches to modeling level shifts in the presence of outliers. COMMUNICATIONS IN STATISTICSSIMULATION AND COMPUTATION. 33.Full Text via DOI: 10.1081/SAC200033317 Web of Science: 000224360800009

2003Do fluctuations in US inflation rates reflect infrequent large shocks or frequent small shocks?. REVIEW OF ECONOMICS AND STATISTICS. 85.Full Text via DOI: 10.1162/003465303322369894 Web of Science: 000184967400023

2000Asymmetries in the Conditional Mean Dynamics of Real GNP: Robust EvidenceFull Text via DOI: 10.1162/003465300558588

Conference

Preprint

2019A State Space Framework for the Residual Income Valuation Model of Stock PricesFull Text via DOI: 10.2139/ssrn.3466181

2019Intrinsic Bubbles in Stock Prices Under Persistent Dividend Growth RatesFull Text via DOI: 10.2139/ssrn.3320234

2012TimeVarying Financial Spillovers from the US to Frontier MarketsFull Text via DOI: 10.2139/ssrn.2011360

2012TimeVarying Risk and Risk Premiums in Frontier MarketsFull Text via DOI: 10.2139/ssrn.2011366

2011TimeVarying Financial Spillovers from the US to Frontier MarketsFull Text via DOI: 10.2139/ssrn.1832738

2011TimeVarying Risk and Risk Premiums in Frontier MarketsFull Text via DOI: 10.2139/ssrn.1947412

2008Incomplete Information in a Long Run Risks Model of Asset PricingFull Text via DOI: 10.2139/ssrn.1091169

2006Intrinsic Bubbles and Fat Tails in Stock Prices: A NoteFull Text via DOI: 10.2139/ssrn.3361214

2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.839926

2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.682446

2004On the Economic Impact of Modeling NonLinearities: The Asset Pricing ExampleFull Text via DOI: 10.2139/ssrn.609681

2004The Impact of Fat Tails on Equilibrium Rates of Return and Term PremiaFull Text via DOI: 10.2139/ssrn.627067

2003Signal Extraction Can Generate Volatility Clusters from Iid ShocksFull Text via DOI: 10.2139/ssrn.447860

2003Testing for Persistence in Stock Returns with GarchStable ShocksFull Text via DOI: 10.2139/ssrn.463661

1997On Modeling Real Gnp: NonNormality and NonLinearity, But No Long MemoryFull Text via DOI: 10.2139/ssrn.2076

1996Optimal Signal Extraction with Stable Shocks: The Case of U.S. InflationFull Text via DOI: 10.2139/ssrn.1378

1996The Comparative Forecast Performance of Univariate and Multivariate ModelsFull Text via DOI: 10.2139/ssrn.1386

Works By Students
chaired theses and dissertations
 Whitaker, Richard, The Effects of Commodity Disturbances on Open Economics 2017
 Xu, Li, On Emerging AsiaPacific Equity Markets from the Perspective of the Dynamics of Mean and Volatility Spillovers 2015
 Song, Keran, Business Cycle Effects on US Sectoral Stock Returns 2015
 Todorov, Galin Kostadinov, A Study of Stock Market Linkages between the US and Frontier Markets 2012
 Shu, Yan, Essays on Exchange Rate Economics 2008
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 Prasad Bidarkota
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