Daouk, Hazem
Peter J. and Stephanie J. Nolan Associate Professor of Financeresearch
research and scholarship focus
Applied Econometrics, Financial Market Microstructure
research areas
- finance | collaborative research area (CALS)
affiliations
faculty appointment in
- Applied Economics and Management (AEM) | Cornell department
member of graduate field
- Applied Economics and Management | graduate field
teaching
teaching focus
Econometrics and Derivatives
teaches
- AEM 4970 - Individual Study in Applied Economics and Management (TBA -) | fall 2009 class
- AEM 4990 - Undergraduate Research (TBA -) | fall 2009 class
- AEM 7000 - Individual Study in Applied Economics and Management (TBA -) | fall 2009 class
- AEM 7900 - Graduate-Level Thesis Research (TBA -) | fall 2009 class
- AEM 8900 - Master's Level Thesis Research (TBA -) | fall 2009 class
- AEM 9900 - Doctoral-Level Thesis Research (TBA -) | fall 2009 class
- AEM 4970 - Individual Study in Applied Economics and Management (TBA -) | spring 2009 class
- AEM 4990 - Undergraduate Research (TBA -) | spring 2009 class
- AEM 7000 - Individual Study in Applied Economics and Management (TBA -) | spring 2009 class
- AEM 7100 - Econometrics I (MW 02:55:PM-04:10:PM) | spring 2009 class
- AEM 7900 - Graduate-Level Thesis Research (TBA -) | spring 2009 class
- AEM 8900 - Master's Level Thesis Research (TBA -) | spring 2009 class
- AEM 9900 - Doctoral-Level Thesis Research (TBA -) | spring 2009 class
- AEM 4210 - Derivatives and Risk Management (MW 02:55:PM-04:10:PM) | fall 2008 class
background
awards and distinctions
- Reviewer for the National Science Foundation.
- Nomination for the Smith Breeden Award for Best Paper in the Journal of Finance.
publications
selected publications (listing in progress)
- Capital Market Governance: Do Securities Laws Affect Market Performance? (with C. Lee and D. Ng), Journal of Corporate Finance , 2006, vol 12, p 560-593.
- Switching Asymmetric GARCH and Options on a Volatility Index (with J. Guo), Journal of Futures Markets , 2004, vol 24, p 251-282.
- The World Price of Earnings Opacity (with U. Bhattacharya and M. Welker), Accounting Review , 2003, vol 78, p 641-678.
- The World Price of Insider Trading (with U. Bhattacharya), Journal of Finance , 2002, vol 57, p 75-108. Reprinted in Claessens S. and L. Laeven (ed), 2006, A Reader in International Corporate Finance, World Bank, Herndon, VA, USA.
- Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index (with M. Leung and A. Chen), Computers and Operations Research , 2002.
- Using Investment Portfolio Return to Combine Forecasts: A Multiobjective Approach (with M. Leung and A. Chen), European Journal of Operational Research , 2001, vol 134, p 84-102.
- When an Event Is Not an Event: The Curious Case of an Emerging Market (with U. Bhattacharya, B. Jorgenson, and C. Kehr), Journal of Financial Economics , 2000, vol 55, p 69-101.
- Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models (with M. Leung and A. Chen), International Journal of Forecasting , 2000, vol 16, p 173-190. Reprinted in Batchelor R. and P. Dua (ed), 2002, Financial Forecasting, Edward Elgar Publishing, Surrey, UK.
- Forecasting Exchange Rates Using General Regression Neural Networks (with M. Leung and A. Chen), Computers and Operations Research , 2000, vol 27, p 1093-1110.
Keywords: business / finance, econometrics, finance, international finance, market microstructure, time series