Professor Gregory Connor

Page contents > Research interests | CV | Recent publications | Teaching | Other web pages | Contact information

Research interests

• Security market pricing
• Portfolio risk management
• Factor models of asset returns
• Multivariate stochastic volatility

CV

• Gregory Connor's CV

Recent publications

• Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns , with O Linton, Journal of Empirical Finance, 2006

• 'The common and specific components of dynamic volatility', with R Korajczyk and O Linton, Journal of Econometrics, 2005

• How Much Structure is Best? A Comparison of Market Model, Factor Model, and Unstructured Equity Covariance Matrices (with G Briner) Journal of Risk, 2008

Working papers:

• Efficient Semiparametric Estimation of the Fama-French Model and Extensions

• Portfolio Risk Management (book page)

• The Short and Medium-Run Components of International Equity Return Volatilities

• The Common and Specific Components of Dynamic Volatility (with unpublished tables) (with O Linton and R Korajczyk)

• An Introduction to Hedge Funds (with Mason Woo)

• An Overview of Hedge Fund Strategies (with Teo Lasarte)

Teaching

• Office hours

Lectures/classes

• FM212  Principles of Finance
  Current students click here for course information
  
  
• FM406 Topics in Portfolio Management
  Current students click here for course information
  
  
• FM445 Portfolio Management
  Current students click here for course information

Other web pages

• Unresolved Research Questions on Characteristic-based Factor Models of Asset Returns (PDF)
• Bibliography on hedge fund research topics
• Professor Gregory Connor's Financial Markets Group (FMG) web page
• FMG Research Programme in Asset Pricing and Portfolio Management
• Hedge Fund Research Programme (FMG)
• Professor Gregory Connor's Experts page

Contact information

Room A205
Department of Finance
London School of Economics
Houghton Street
London WC2A 2AE

Tel: +44 (0)20 7955 6407
Fax:+44 (0)20 7955 7420

Email: g.connor@lse.ac.uk

Administrative Contact
Brenda Clarkson-Williams, b.clarkson-williams@lse.ac.uk

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