• Phone: 617-353-8901
  • E-Mail:  jacquier@bu.edu
  • Office: 548B
  • Office Hours: By Appointment
  • Address: Boston University Questrom School of Business
    595 Commonwealth Avenue
    Boston, MA 02215
  • Education Open or Close

    Ph D, Booth School of Business, University of Chicago, 1991.

  • Current CoursesOpen or Close

    GSM MF793 Z1 Statistical Methods of Mathematical Finance

    GSM MF793 Z2 Statistical Methods of Mathematical Finance

  • PublicationsOpen or Close

    Journal Articles:

      Jacquier, E., & Cedric, O. (2016). Horizon Effects in the Term Structure of Long-Run Risk-Return Trade-Offs. Computational Statistics and Data Analysis/Elsevier, 100, 445-466.

      Jacquier, E., & Okou, C. (2014). Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships'. Journal of Financial Econometrics, 3(12), 544-583.

      Jacquier, E., VanNorden, S., & Boyer, M. (2012). Are Underwriting Cycles Real and Forecastable. Journal of Risk and Insurance, 79(4), 995-1015.

      Jacquier, E., Titman, S., & Yalcin, A. (2010). Predicting Systematic Risk: Implications from Growth Options. Journal of Empirical Finance, 17(5),

      Jacquier, E., Dupuis, D., Papageorgiou, N., & Remillard, B. (2009). Empirical Evidence on the dependence of credit default swaps and equity prices. Journal of Futures Markets, 29(8),

    Books:

      Jacquier, E. Handbook of Econometric Methods for Finance: Bayesian Perspective (in preparation). : John Wiley.

    Book Chapters:

      Jacquier, E., & Polson, N. (2013). in Asset Allocation in Finance: A Bayesian Perspective, in "Bayesian Theory and Applications", Damien, Dellaportas, Polson, Stephen eds., : Oxford University Press.

      Jacquier, E. (Accepted). in Modern Portfolio Theory, in "Portfolio Theory and Management", Baker and Filbeck, eds., : Oxford University Press.

      Jacquier, E., & Polson, N. (Accepted). in Bayesian Econometrics in Finance, in "Oxford Handbook of Bayesian Econometrics", Geweke, Koop, Van Dijk eds., : Oxford University Press.

      Jacquier, E., & Polson, N. in Bayesian Decision-based Estimation and Predictive Inference, in “Frontiers of Statistical Decision Making and Bayesian Analysis - in honor of James Berger, Chen, Dey, Mueller, Sun, and Ye eds., : Springer.

  • General ServiceOpen or Close

    Service to the School:

      QST, Mathematical Finance Program, Interim Executive Director. (December 11, 2015 - January 4, 2017).
      Interim Executive Director Mathematical Finance Programs


  • Conference ActivitiesOpen or Close

      Financial Management Association Conference, Las Vegas 2016, Financial Management Association, Committee Member. (October 19, 2016 - October 22, 2016).

      Financial Management Association Conference, Financial Management Association, Committee Member. (October 14, 2015 - October 17, 2015).

      Annual Society for Financial Econometrics (SOFIE) Conference, SOFIE, Committee Member. (June 11, 2014 - June 13, 2014).

      8th Computational and Financial Econometrics Conference, Pisa, Annals of Computational and Financial Econometrics, Committee Chair. (December 6, 2014 - December 8, 2014).

  • Editorial And Review ActivitiesOpen or Close

    Jacquier, E. J. Econometrics, J. Finance, RFS, JFQA, JBES, J. Empirical Finance, AER, Review of Finance, J. Risk, Management Science, J. Mathematical Finance, J. Financial Intermediation,, Ad Hoc Reviewer, Papers, International, Appointed, Academic. (1995 - Present).

    Jacquier, E. Annals of Computational and Financial Econometrics, Editorial Board Member, Academic. (July 1, 2013 - Present).

  • Awards and HonorsOpen or Close

    Teaching Award Math. Finance Program, Math Finance Program, Teaching. (May 10, 2014).

    Best Teacher for Year 2013-2014 in the Math. Finance Program (Students votes)


    Eric Jacquier, The American Risk and Insurance Association, Casualty Actuarial Society Award, Research. (August 6, 2013).
    in recognition of the Best article published by ARIA "Are Underwriting Cycles Real and Forecastable?" with Boyer and VanNorden


  • DirectorshipOpen or Close

    Interim Executive Director, Mathematical Finance Program