Assistant Professor
Finance Department
E-mail: gskoulak at rhsmith dot umd dot edu
WWW: http://www.rhsmith.umd.edu/finance/faculty/skoulakis.aspx
Phone number: (301)
405-2934
Fax number: (301)
405-0359

Research Interests:
●
Portfolio Choice
●
Asset Pricing
●
Computational Economics
●
Financial Econometrics
Working Papers:
● Do subjective
expectations explain asset pricing puzzles? [PDF], 2008, with G. Bakshi.
●
● A state variable decomposition approach for solving
portfolio choice problems [PDF], 2008, with L. Garlappi.
● Dynamic portfolio choice with Bayesian
learning [PDF], 2007.
●
Panel data inference in Finance: Least-Squares vs
Fama-MacBeth [PDF], 2006.
● Assessment of asset pricing models using
cross-sectional regressions [PDF], 2005.
●
On a paradox in GMM estimation with nuisance
parameters [PDF], 2006.
Publications:
● Numerical solutions
to dynamic portfolio problems: The case for value function iteration using
Computational Economics, forthcoming,
with L. Garlappi.
●
Time series mixtures of generalized t experts: ML estimation and an
application to stock return density forecasting [PDF]
Econometric Reviews, forthcoming, with
A. Carvalho.
● The analysis of the
cross section of security returns
Handbook of Financial
Econometrics, forthcoming, with R. Jagannathan and Z. Wang.
●
A recursive formula for computing central moments of a multivariate
lognormal distribution [PDF]
The American Statistician 62, 147-150,
2008.
●
Ergodicity and existence of moments for local
mixtures of linear autoregressions [PDF]
Statistics and
Probability Letters 71, 313-322, 2005, with A. Carvalho.
● Generalized
method of moments: applications in Finance [PDF]
Journal of
Business and Economics Statistics 20, 470-481,
2002, with R. Jagannathan and Z. Wang.
●
Superprocesses over a stochastic flow [PDF]
Annals of
Applied Probability 11, 488-543, 2001, with R. J. Adler.
●
A general shock model for a reliability system
[PDF]
Journal of
Applied Probability 37, 925-935, 2000.
●
Speeches by Professor Zolotas