David S. Bates - People Directory - Tippie College of Business

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	David S. Bates Professor W. A. Krause Research Fellow
	Finance S336 John Pappajohn Bus Bldg The University of Iowa, Iowa City, IA 52242-1994	Ph: 319-353-2288 Fax: 319-335-3690 E-mail: david-bates@uiowa.edu Website

Academic History

PhD in Economics, Princeton University, 1988
MA in Economics, Princeton University, 1985
MPA in Economics and Public Policy, Princeton University, 1981
BS in Mathematics, Massachusetts Institute of Technology, 1978

Expertise

Asset pricing
Derivatives
Estimation of latent-variable models of volatility and jump risk
Informational content of currency and stock index option prices
Options

Awards

Career Development Award, 2003

Selected Publications

U.S. Stock Market Crash Risk, 1926-2010, David S. Bates, Journal of Financial Econometrics, vol 105, 2012, 229-259
The Market for Crash Risk, David S. Bates, Journal of Economic Dynamics and Control, vol 32, 2008, 2291-2321

Working Papers

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution, David S. Bates

Other Work

The Bates and Scott Models, David S. Bates, Encyclopedia of Quantitative Finance/Wiley, 2010
Derivatives: Models on Models, Espen Gaardner Haug, David S. Bates, John Wiley & Sons Ltd, 2007, 335-342

Prior Positions

Assistant Professor of Finance, The Wharton School, University of Pennsylvania, September 1988 - June 1996
Lecturer, Princeton University, September 1987 - June 1988
International Economist, First National Bank of Chicago, June 1981 - August 1983

Review and Editorial Work

Referee, various journals, 1990 - current

Professional Affiliations

Associate Editor, Journal of Financial Econometrics, 2001 - current

Presentations

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution, IFSID Conference on Structured Products and Derivatives, HEC-Montreal, Montreal, Canada, October 2013
Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution, University of Houston seminar, University of Houston, Houston, TX, March 2013
discussion, Econometric Society annual conference, Econometric Society, San Diego, CA, January 2013
Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution, Northwestern University seminar, Kellogg School of Management, Evanston, IL, November 2012
On Estimating Stock Market Volatility and Crash Risk, ACMS lecture, University of Iowa, Iowa City, May 2012
discussion, AFA annual conference, American Finance Association, Denver, CO, January 2011
"U.S. Stock Market Crash Risk, 1926-2009", Financial Econometrics Conference, University of Toulouse, Toulouse, France, May 2010
"U.S. Stock Market Crash Risk, 1926-2009", University of Massachusetts - Amherst, Unveristy of Massachusetts - Amherst, Amherst, MA, May 2010
U.S. Stock Market Crash Risk, 1926-2009, Conference on Derivatives, Volatility, and Correlation, Warwick Business School, Coventry, England, May 2010
discussion, AEA annual conference, AEA, Atlanta, GA, January 2010
discussion, AFA annual conference, AFA, Atlanta, GA, January 2010
U.S. Stock Market Crash Risk, 1926-2009, Conference on Liquidity, Credit Risk, and Extreme Events, University of Chicago, Society for Financial Econometrics and Journal of Financial Econometrics, Chicago, October 2009
U.S. Stock Market Crash Risk, 1926-2009, University of Calgary, Calgary, Canada, October 2009
U.S. Stock Market Crash Risk, 1926-2009, University of Colorado, University of Colorado, Boulder, CO, September 2009
Stock Market Crash Risk, 1926-2006, WFA annual conference, San Diego, CA, July 2009
discussion, Volatilities and Correlations in Stressed Markets, NYU Volatility Institute, New York, April 2009
Options and other Derivatives, AFA annual conference, AFA, San Fransisco, CA, January 2009
U.S. Stock Market Crash Risk, 1926-2006, Birkbeck seminar, Birkbeck College, London, June 2008
U.S. Stock Market Crash Risk, 1926-2006, Turin seminar, University of Turin, Turin, Italy, June 2008
The Estimation and Filtration of Time-Changed Lévy Processes, 18th Annual Derivatives Securities and Risk Management Conference, FDIC; Cornell University; University of Houston, Arlington, VA, April 2008
The Estimation and Filtration of Time-Changed Lévy Processes, The Second Risk Management Conference, McGill University, Mont Tremblant, Quebec, March 2008
Estimation and Filtration of Time-Changed Lévy Processes, 2007 NBER-NSF Time Series Conference, NBER and NSF, Iowa City, IA, September 2007
The Estimation and Filtration of Time-Changed Lévy Processes, University of Iowa Statistics Department, Iowa City, IA, April 2007
Estimating Latent Volatility and Crash Risk, International Summer School on Risk Management and Control; Rome, Italy, June 2006
Discussion of Driessen and Maenhout, "Option-Implied Correlations and the Price of Correlation Risk", Duke/UNC Asset Pricing Conference, October 2005
Maximum Likelihood Estimation of Latent Affine Processes, University of Virginia conference on Probability, Financial Derivatives and Asset Pricing, July 2005
Maximum Likelihood Estimation of Latent Affine Processes, ESSEC (Paris), June 2005
Maximum Likelihood Estimation of Latent Affine Processes, Third World Congress of the Bachelier Finance Society (in Chicago), July 2004
Maximum Likelihood Estimation of Latent Affine Processes, Goethe University (Frankfurt) seminar, June 2004
Maximum Likelihood Estimation of Latent Affine Processes, IMA (Minneapolis) workshop on Risk Management and Model Specification Issues in Finance, April 2004
Maximum Likelihood Estimation of Latent Affine Processes, Western Finance Association annual conference, June 2003
Maximum Likelihood Estimation of Latent Affine Processes, University of Houston seminar, April 2003

Committees and Professional Service

European Finance Association Program Committee, 2011-current
Western Finance Association Program Committee, 2006-current
Ph.D-level Finance comprehensive exams, 1997-current
Midwest Finance Association, 2010-2013
American Finance Association Program Committee, 2012-2013
Promotion and Tenure Committee, 2010-2012
Finance recruiting committee, 2008-2009
Society for Financial Econometrics Program Committee, 2009
Promotion and Tenure Committee, 2006-2008
American Finance Association Program Committee, 2007-2008
Library Committee, 2006-2007
Nominating Committee, American Finance Association, 2006