The Combined Fields of Econometrics and Finance at Duke

March 2008

The combined fields of econometrics and financial economics represent one of the most attractive areas in the discipline of economics, with excellent academic job opportunities in economics departments, business schools, as well as Federal Reserve banks and the financial services industry. Faculty members in this area of study are very committed to preparing students adequately to take advantage of these excellent employment opportunities.

Most of the activity and training takes place in the Monday Lunch group. First year students are more than welcome to attend on Mondays in order to get a feel for what goes on.  Before doing so, however, it is advisable to contact either Professors Bollerslev or Patton by e-mail.

Interested students can enroll in Economics 385F starting either spring of the first year or fall of the second year of graduate study at Duke. They should definitely plan to attend the Monday lunch in the summer between the first and second years.

The program of study and general expectations are as follows:

1. Course grades: Students are expected to perform well in both semesters of the first year PhD courses in Microeconomics, Macroeconomics, and Econometrics, and to earn good grades in the second and third year courses in Time Series Econometrics (ECO 350), Financial Econometrics (ECO 349), and Computational Economics (BA 591). 

2. Field Examinations: Continuing students must satisfy the Department's requirements for a Major Field in Econometrics by January/February of the second year, and they must attempt and pass the Financial Economics field exam offered by the Finance Department of Fuqua in May of the second year. 

3. Attendance at meetings of the Monday Lunch: Attendance is always expected, but of course, valid excuses for absence are illness, a TA/teaching time conflict, participation in another conference or meeting related to the focus of the Monday group, and job market activity.   Students with an excused absence should send Professor Tauchen an e-mail in advance stating the reason for the absence.

4. PhD Prospectus examination: This exam must be completed either fall of the third year or no later than spring break of the third year. Note that the deadline is slightly tighter than the departmental deadline.

5. Registration: Duke Economics students must register for both the Monday Lunch group and the Thursday Econometrics Seminar. The Monday Lunch Group may continue to meet throughout the summer, although formal registration for Duke students is required only in the fall and spring semesters.

6. Years 3 and higher: Students work with the faculty and other students in the group to complete the thesis in a timely manner. Substantial faculty guidance and mentoring is available for committed students.

PhD students from Fuqua, other Triangle-Area universities, or other universities may attend.  The registration requirements for non-Duke students are normally waived, but the continued participation at both the Monday Lunch group and the Econometrics Workshop are expected. Students from the Fuqua School may substitute attendance at the Fuqua Finance Seminar for the Econometrics Workshop (not the Monday Lunch).