Celso Brunetti Faculty Bio
Celso Brunetti, PhD
Assistant Professor
The Johns Hopkins Carey Business School
100 International Drive
Baltimore, MD 21202
Phone: (410) 234-9408
celsob@jhu.edu
https://jshare.johnshopkins.edu/myweb/celsob
Celso Brunetti, PhD (Economics, University of London) joined the Johns Hopkins Carey Business School in 2003. He is an Assistant Professor in the practice track with expertise in the areas of financial econometrics, high frequency data and asset pricing.
Honors and Distinctions
- Visiting Economist, U.S. Commodity Futures Trading Commission, Office of the Chief Economist
- 1997 – 1998 Royal Economic Society Junior Fellowship for PhD Students
- 1994 C.N.R. (Italian National Research Council) Research Grant for “Financial Markets Integration”
- 1993 – 1994 Romeo and Enrica Invernizzi Foundation, Fellowship for Postgraduate Studies (M.Sc. Bocconi)
Selected Publications
- “Effects of Central Bank Intervention on the Interbank Market during the Sub-Prime Crisis” (with M. di Filippo and J. Harris), Review of Financial Studies, forthcoming
- “Time Series Modeling of Daily Log-price Ranges for CHF/USD and USD/GBP”, (with P.M. Lildholdt), Journal of Derivatives, (2007), 15, 2, 39-59
- “Bivariate FIGARCH and Fractional Cointegration” (with C.L. Gilbert), Journal of Empirical Finance, (2000), 7, 509-530
Works in Progress
- Trading Networks
- The role of Speculators and Institutional Traders in Derivatives Markets
- Identifying High-Frequency Traders in Electronic Markets: Properties and Forecasting
Teaching Interests
- Derivatives
- Corporate Finance
- Econometrics
