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David Bates
Professor
Henry B. Tippie Research Professor of Finance
Contact
319-353-2288
Office
S336 Pappajohn Business Building (PBB)
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 
Senior Faculty Research Award, Tippie College of Business, May 2015
Career Development Award, 2003
Selected publications 

U.S. Stock Market Crash Risk, 1926-2010. David S. Bates, Journal of Financial Economics, 2012, vol 105, 229-259

The Market for Crash Risk. David S. Bates, Journal of Economic Dynamics and Control, 2008, vol 32, 2291-2321

Working papers 

How Crashes Develop: Intradaily Volatility and Crash Evolution. David S. Bates

Current and 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

Associate Editor, Journal of Financial Econometrics, 2001 - June 2015

Presentations 

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. Tippie finance seminar, Tippie College of Business, March 2014

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. Fifth Risk Management Conference, Mont Tremblant, Quebec, March 2014

discussant. IFSID/Bank of Conference 2nd Conference on Derivatives: Tail Risk, Montreal, Canada, September 2013

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. University of Houston seminar, Houston, TX, March 2013

discussion. Econometric Society annual conference, San Diego, CA, January 2013

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. Northwestern University seminar, Evanston, IL, November 2012

Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. IFSID Conference on Structured Products and Derivatives, Montreal, Canada, October 2012

On Estimating Stock Market Volatility and Crash Risk. ACMS lecture, Iowa City, May 2012

discussion. AFA annual conference, Denver, CO, January 2011

"U.S. Stock Market Crash Risk, 1926-2009". Financial Econometrics Conference, Toulouse, France, May 2010

"U.S. Stock Market Crash Risk, 1926-2009". University of Massachusetts - Amherst, Amherst, MA, May 2010

U.S. Stock Market Crash Risk, 1926-2009. Conference on Derivatives, Volatility, and Correlation, Coventry, England, May 2010

discussion. AEA annual conference, Atlanta, GA, January 2010

discussion. AFA annual conference, Atlanta, GA, January 2010

U.S. Stock Market Crash Risk, 1926-2009. Conference on Liquidity, Credit Risk, and Extreme Events, 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, 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, New York, April 2009

discussant. AFA annual conference, San Francisco, CA, January 2009

U.S. Stock Market Crash Risk, 1926-2006. Birkbeck seminar, London, June 2008

U.S. Stock Market Crash Risk, 1926-2006. Turin seminar, Turin, Italy, June 2008

The Estimation and Filtration of Time-Changed Lévy Processes. 18th Annual Derivatives Securities and Risk Management Conference, Arlington, VA, April 2008

The Estimation and Filtration of Time-Changed Lévy Processes. The Second Risk Management Conference, Mont Tremblant, Quebec, March 2008

Estimation and Filtration of Time-Changed Lévy Processes. 2007 NBER-NSF Time Series Conference, Iowa City, IA, September 2007

The Estimation and Filtration of Time-Changed Lévy Processes. Iowa seminar, Iowa City, IA, April 2007

Estimating Latent Volatility and Crash Risk. International Summer School on Risk Management and Control; Rome, Italy, Rome, Italy, June 2006

Discussion of Driessen and Maenhout, "Option-Implied Correlations and the Price of Correlation Risk". Duke/UNC Asset Pricing Conference, North Carolina, October 2005

Maximum Likelihood Estimation of Latent Affine Processes. University of Virginia conference on Probability, Financial Derivatives and Asset Pricing, Charlottesville, VA, July 2005

Maximum Likelihood Estimation of Latent Affine Processes. ESSEC (Paris), Paris, France, 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 
Research Steering Committee, 2015 - Current
Society for Financial Econometrics Program Committee, 2014 - Current
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, 2014 - 2015
Finance recruiting committee, 2013 - 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