Biography
Eric M. Aldrich is a research economist in the research department of the Federal Reserve Bank of Atlanta. His interests include macroeconomic asset pricing, computational economics, financial econometrics, and finance.
Prior to joining the Atlanta Fed in 2010, Dr. Aldrich was an instructor in the department of economics at Duke University. His work has been published in the Journal of Economic Dynamics and Control, Journal of Financial Econometrics, and the Journal of the American Statistical Association.
Dr. Aldrich holds a bachelor of science in economics from Duke University, a master of science in statistics from the University of Washington, and a doctoral degree in economics from Duke University.
Research
Publications
Aldrich, Eric M., Jesús Fernández-Villaverde, A. Ronald Gallant, and Juan F. Rubio-Ramírez. Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors. Journal of Economic Dynamics and Control.
Aldrich, Eric M. and A. Ronald Gallant. Habit, long run risks prospect? A statistical inquiry. Journal of Financial Econometrics.
Gneiting, T., K. Larson, K. Westrick, M. G. Genton, and E. Aldrich. 2006. Calibrated probabilistic forecasting at the Stateline Wind Energy Center: The regime-switching space-time method. Journal of the American Statistical Association 101: 968–79. (Previous version available online at http://www.stat.washington.edu/www/research/reports/2004/tr464.pdf.)
Aldrich, Eric M., Peter Arcidiacono, and Jacob L. Vigor. 2005. Do people value racial diversity? Evidence from Nielsen ratings. Topics in Economic Analysis & Policy 5 (Article 4).
Working Papers
Aldrich, Eric M. 2011. Trading volume in general equilibrium with complete markets. Working paper, Department of Economics, Duke University, Durham, NC.
Aldrich, Eric M. and Howard Kung. 2009. Computational methods for production-based asset pricing models with recursive utility. Working paper, Department of Economics, Duke University, Durham, NC.
Aldrich, Eric M. 2005. Alternative estimators of wavelet variance. Master's thesis, Department of Statistics, University of Washington, Seattle, WA.
Handcock, Mark S. and Eric M. Aldrich. 2002. Applying relative distribution methods in R. Working paper no. 27, Center for Statistics and the Social Sciences, University of Washington, Seattle, WA.
Curriculum Vitae
Employment
| August 2010–present |
|
Economist, Federal Reserve Bank of Atlanta |
2007–2008,
Summer 2010 |
|
Instructor, Duke University |
Education
Duke University, Durham, NC
PhD in Economics, 2005–present
University of Washington, Seattle, WA
MA in Statistics, 2005
Duke University
BS in Economics, 2002
Conferences
19th Symposium of the Society of Nonlinear Dynamics and Econometrics, George Washington University, Washington, DC, March 2011
Presented "Computational Methods for Production-Based Asset Pricing Models with Recursive Utility"
2009 Joint Statistical Meetings,Washington, DC, August 2009
Presented "Computational Methods for Production-Based Asset Pricing Models with Recursive Utility"
14th International Conference on Computing in Economics and Finance, University of Sorbonne, Paris, France, June 2008
Presented "Computational Methods for Production-Based Asset Pricing Models"
Institute for Computational Economics, University of Chicago, Chicago, IL, August 2007
Two-week conference for graduate students with an interest in learning computational methods that are relevant for economic problems. Topics included line search methods, conjugate gradient algorithms, Newton's method, automatic differentiation, sequential quadratic programming, trust region methods, complementarity problems, using the AMPL software to implement various methods of constrained optimization, numerical dynamic programming, projection and perturbation methods for dynamic stochastic models, simulation methods, and Bayesian estimation.
Awards
Gerald P. Dwyer Prize, Society for Nonlinear Dynamics and Econometrics, March 2011
Awarded top paper in finance for "Computational Methods for Production-Based Asset Pricing Models with Recursive Utility"
Alix Family Graduate Fellowship, Duke University, Summer 2009
2009 Student Travel Award, Business and Economic Statistics Section, American Statistical Association, August 2009
Hubert M. Blalock Fellowship, Center for Statistics and the Social Sciences, University of Washington, 2002–3
Eric Aldrich