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David S. Bates

David S. Bates Finance

Professor
Henry B. Tippie Research Professor of Finance
319-353-2288
david-bates@uiowa.edu
S336  John Pappajohn Bus Bldg
The University of Iowa, Iowa City, IA 52242-1994

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

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

        Current & Prior Positions

        • Professor, Department of Finance, Henry B. Tippie College of Business, The University of Iowa, August 2006 - Present
        • Associate Professor, Department of Finance, Henry B. Tippie College of Business, The University of Iowa, August 1996 - July 2006
        • Visiting Professor, Humboldt University, Berlin, June 1999 - July 1999
        • Assistant Professor of Finance, The Wharton School, University of Pennsylvania, September 1988 - June 1996
        • Visiting Scholar, Federal Reserve Bank, Philadelphia, May 1994 - August 1994
        • Lecturer, Princeton University, September 1987 - June 1988
        • Teaching Assistant, Princeton University, September 1985 - May 1987
        • Economist, International Monetary Fund, June 1984 - August 1984
        • International Economist, First National Bank of Chicago, June 1981 - August 1983
        • Intern, U.S. Mission to the European Communities, June 1980 - August 1980
        • Research Assistant, Brookings Institution, August 1978 - August 1979

        Review and Editorial Work

        • Referee, various journals, 1990 - current

        Professional Affiliations

        • Associate Editor, Journal of Financial Econometrics, 2001 - current

        Presentations

        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
        • Finance recruiting committee, 2013-2014
        • Society for Financial Econometrics program committee, 2014
        • 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