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ACADEMIC AND PROFESSIONAL ENGAGEMENT ACTIVITIES

Elena Goldman is a Professor of Finance and Economics at the Lubin School of Business at ÌÒñ«ÉçÇø. Her research and teaching are in the fields of Financial Econometrics, Bayesian Econometrics, Risk Management, and International Finance. She was an Undergraduate Finance Program Chair between 2012-2015. Goldman was a fellow at the Securities and Exchange Commission in 2016. She currently serves on the Education Committee at the Professional Risk Managers' International Association. She holds a Ph.D. in Economics from Rutgers University.

SELECTED CONTRIBUTIONS & PUBLICATIONS

Goldman, E. Bayesian Analysis of Systemic Risks Distributions. In Olga Valenzuela, Fernando Rojas, Luis Javier Herrera, Héctor Pomares, Ignacio Rojas (Ed.), Contributions to Statistics. Springer.

Goldman, E. (2023). Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis. Finance Research Letters. 56

Goldman, E., Shen, X. (2020). Procyclicality Mitigation for Initial Margin Models with Asymmetric Volatility. Journal of Risk. 22(5), 1-41.

Goldman, E., Shen, X. (2018). Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. . 2018-21

Goldman, E., Viswanath, P. (2017). Internal Capital Markets, Forms of Intra-Group Transfers and Dividend Policy: Evidence from Indian Corporates. Journal of Financial Research. 40(4), 567–610.

Goldman, E., Shen, X. (2017). Procyclicality Remedies for the CCP’s Initial Margin Requirements. Intelligent Risk, PRMIA. (December), 20-22.

Goldman, E., Viswanath, P. (2015). Export intensity and dividend policy of Indian Firms. Reviving Growth in India. Cambridge University Press.

Goldman, E., Nam, J., Tsurumi, H., Wang, J. (2013). Regimes and long memory in realized volatility. Studies in Nonlinear Dynamics & Econometrics. 17(5), 521–549.

Goldman, E., Viswanath, P. (2011). Export intensity and financial leverage of Indian firms. International Journal of Trade and Global Markets. 4(2).

Goldman, E., Valiyeva, E., Tsurumi, H. (2008). Kolmogorov-Smirnov, Fluctuation, and Zg Tests for Convergence of Markov Chain Monte Carlo Draws. Communications In Statistics, Theory, And Methods. 37(2), 368--379.

Goldman, E., Agbeyegbe, T. (2007). Estimation of threshold time series models using efficient jump MCMC. In S.K. Upadhyay, U. Singh and Dipak Dey (Ed.), Bayesian Statistics and its Applications. (pp. 241-253). New Delhi: Anamaya Publishers.

Goldman, E. (2006). Testing Efficiency of the Ruble-Sterling Foreign-Exchange Market Under the Gold Standard. Empirical Economics. 31(2), 449-477.

Goldman, E., Tsurumi, H. (2005). Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model. Studies in Nonlinear Dynamics & Econometrics. 9(2), article 5.

Goldman, E., Valieva, E., Tsurumi, H. (2005). Tests for convergence of MCMC draws: frequentist and Bayesian tests Symposium on Bayesian Applied Multivariate Analysis. Conference Proceeding.

Goldman, E., Tsurumi, H. (2003). Asymptotic distribution of a unit root process under double truncation. Communications In Statistics, Theory, And Methods. 32(10), 2059-2071.

Goldman, E., Radchenko, S., Nakatsuma, T., Tsurumi, H. (2001). A Bayesian Test of Stationarity in a Regression Model with an ARMA error term Annual Meeting of the American Statistical Association. Conference Proceeding.

Goldman, E. (2000). Testing efficient market hypothesis for the dollar-sterling gold standard exchange rate 1890-1906: MLE with double truncation. Economics Letters. 69(3), 253-259.