James Wolter

Associate Professor in Financial Econometrics

James Wolter is an Associate Professor in Financial Econometrics affiliated with OMI, INET, the Economics Department and Nuffield College.

He is an econometrician interested in all areas of econometrics, statistics and probability theory with particular emphasis on financial and macroeconomic applications. His current research examines estimation of hazard rates when events are correlated, exhibit contagion and are impacted by global frailty.

Other recent research topics include estimation of multidimensional Levy processes using Levy copulas and estimation of changes in the Levy measure of price processes throughout financial crises.

James received his PhD in economics from Yale University.

Working Paper

Wolter, J. (2014). Asymptotics for seive estimates of hazard rates and their functionals.
Wolter, J. (2014). Kernel extimation of hazard functions when observations have dependent and common covariates.
Wolter, J. (2014). Semi-nonparametric estimation of levy processes using Levy Copulas.
Wolter, J. (2014). Separating the impact of macroeconomic variables and global frailty in event data.
Klimenka, F. and Wolter, J (2016). VAR model averaging and the focused information criterion with an application to portfolio choice.
Ruf, R. and Wolter, J. (2016). Nonparametric identification of the mixed hazard model using nartingale-based moments.

Published Research

Wolter, J.L. (2016). Kernel estimation of hazard functions when observations have dependent and common covariates. Journal of Econometrics. 193. 1-16.