John Elder is Professor of Finance at Colorado State University.  My research can be found at Google scholar.  I have served in editorial roles at Journal of Financial Research (Associate Editor), Journal of Economics and Finance (Editor-in-Chief) and Empirical Economics, and, for more than 20 years, have worked with large investment managers, credentialing organizations and other clients.  I have previously held administrative positions such as associate dean and department chair; several faculty fellowships (EKS&H, Firstbank, Kemble Family, Daniels Fund); and am honored to have received several awards for teaching, service and research.  I completed my PhD with a field in financial economics at the University of Virginia and have held two professional designations, the CFA charter and the FRM designation.

Research 

(see Google SSRN for working papers or complete list) 

Selected Research

• Corporate Governance and Liquidity (with K. Chung and JC Kim), Journal of Financial and Quantitative Analysis, April 2010 [PDF].

• Liquidity and Information Flow Around Monetary Policy Announcements (with Kee Chung and J.C. Kim), Journal of Money, Credit and Banking, 45:5, 2013 [SSRN] [PDF].

• Oil Price Uncertainty (with A. Serletis), Journal of Money, Credit and Banking, 42:6, 1137-1159, 2010 [PDF - SSRN] [ RATS prog].

• Flexible Bivariate Count Data Regression Models (with Shif Gurmu), Journal of Business and Economic Statistics, 30:2, 265-274, 2012, [PDF] [Gauss Prog].

• Another Perspective on the Effects of Inflation Uncertainty, Journal of Money, Credit and Banking, 36:5, 911-28, 2004 [PDF].

• Uncertainty and Investment: Evidence from Domestic Oil Rigs (with A. Dossani), Journal of Futures Markets, 2023 [Programs  Data].

• Impact of Macroeconomic News on Metal Futures (with H. Miao and S. Ramchander), Journal of Banking and Finance, 2012 [PDF].

• Oil volatility and real options: 35 years of evidence, Journal of Futures Markets 39 (12), 1549-1564, 2019 [Data].

Monetary Policy

• Liquidity and Information Flow Around Monetary Policy Announcements (with Kee Chung and J.C. Kim), Journal of Money, Credit and Banking, 45:5, 2013 [SSRN] [PDF]. 

• Another Perspective on the Effects of Inflation Uncertainty, Journal of Money, Credit and Banking, 36:5, 911-28, 2004 [PDF - SSRN]. 

Corporate Finance (Restructurings, Governance) 

• Corporate Governance and Liquidity (with K. Chung and JC Kim), Journal of Financial and Quantitative Analysis, April 2010 [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, 2005 [PDF]. 

• The Reaction of Security Prices to Tracking Stock Announcements (with P. Westra) Journal of Economics and Finance, 24, 36-55, 2000. [PDF]

Uncertainty

• Oil Price Uncertainty (with A. Serletis), Journal of Money, Credit and Banking, 42:6, 1137-1159, 2010 [PDF - SSRN] [ RATS prog]. 

• Oil Volatility and the Option Value of Waiting: An analysis of the G-7 (with D. Bredin and S. Fountas), Journal of Futures Markets, 2011 [PDF - SSRN]. 

• Impact of Macroeconomic News on Metal Futures (with H. Miao and S. Ramchander), Journal of Banking and Finance, 2012 [PDF]. 

• Jumps in Oil Prices: The Role of Economic News (with S. Ramchander and H. Miao) Energy Journal , 2013 [PDF]. 

• Oil Price Volatility: Industrial Production and Special Aggregates, Macroeconomic Dynamics, 2016, [PDF].

• Uncertainty and Energy Extraction (with A Dossani), Applied Economics, (2020/1) [Data Program].

• Oil volatility and real options: 35 years of evidence, Journal of Futures Markets 39 (12), 1549-1564, 2019 [Data].

• Oil Price Uncertainty in Canada (with A. Serletis), Energy Economics, 31, 852-856, 2009 [PDF].

Asset Pricing (Long memory, dynamic factor models, APT)

• Fractional difference in discrete time (with H. Miao and R. Elliott), Quantitative 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, 30:2, 265-274, 2012, [PDF] [Gauss Prog]. 

• A Bivariate Zero-inflated Count Data Regression Model with Unrestricted Correlation (with S. Gurmu), Economics Letters, 100:2, 245-248, 2008 [Gauss Prog]. 

• 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].
  
  
  

•  Other links of interest

  • 14ers.org and 14ers.com 

  • Colorado Master Swimming   Rutgers Swimming - men's team

  • Charlottesville 10 miler

  • Copper Mountain     Vail    Steamboat Resort 

  • 2005 BMW R1200 GS    1992 BMW K100 RS    1983 Honda CB1100F      1979 Honda CB750F 

  • Nature Conservancy

  • Matlab at CSU  https://www.mathworks.com/academia/tah-portal/colorado-state-university-40638290.html

  • MS Office https://portal.office.com 

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