University of Chicago
Ben Charoenwong received his PhD in Finance from the University of Chicago Booth School of Business and is joining the National University of Singapore as an Assistant Professor in Finance. His research includes financial and operational risk management, financial market regulation, the asset pricing implications of agency conflicts, and networks.
Aside from research, Ben has taught economics and finance at the Chicago Booth campuses in Chicago, Hong Kong, London, and Singapore. He has also taught financial econometrics and statistical learning at Citadel Investment Group and consulted for LEK Consulting.
Before Chicago, Ben received a B.S. in Honors Economics, Honors Statistics, and Financial Mathematics with Highest Distinction at the University of Michigan – Ann Arbor.
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.