Raul Susmel

Associate Professor

Bio

Prior to joining the UH faculty in 1993, Professor Susmel taught at the University of South Florida and at the University of Virginia.

Research Interests

  • International Finance
  • Financial Econometrics
  • Derivative Securities.

Areas of Expertise

  • International Finance
  • Derivatives
  • Statistics

Publications

  • "Common Volatility in International Equity Markets" (with Robert F. Engle), Journal of Business and Economics Statistics , Vol. 11,167-176. April 1993.
  • "Hourly Volatility Spillovers Between International Equity Markets" (with Robert F. Engle), Journal of International Money and Finance , Vol. 13, 3-25. February 1994. Reprinted in International Securities, ed. G. Philippatos and G. Koutmos, Edgard Elgar Publishing, Cheltenham, U.K.
  • "Autoregressive Conditional Heteroscedasticy and Changes in Regime" (with James D. Hamilton), Journal of Econometrics , Vol. 64, 307-333. September 1994.
  • "Volatility, Storage and Convenience: Evidence from Natural Gas Markets" (with Andrew Thompson), Journal of Futures Markets , Vol. 17, 17-44. February 1996.
  • "Switching Volatility in Latin American Emerging Markets," Emerging Markets Quarterly, Vol. 2, 44-56. Spring 1998.
  • "Variances and Covariances of International Stock Returns: The ICAPM Revisited" (with Latha Ramchand), Journal of International Financial Markets, Institutions, and Money, Vol. 8, 39-57. February 1998.
  • "Cross Correlations Across Major International Markets" (with Latha Ramchand), Journal of Empirical Finance, Vol. 5, 397-416. October 1998.
  • "Regime-Switching Event Studies: An Application to Bank Stock Repurchases" (with Steve Kane), Research in Finance, JAI Press, 17, 81-101. 1999.
  • "Switching Volatility in International Equity Markets," International Journal of Finance and Economics, Vol. 5, 265-283. October 2000 - View PDF
  • "Volatility Dependence and Contagion in Emerging Equity Markets" (with Sebastian Edwards), Journal of Development Economics, Vol. 66, 505-532. December 2001 - View PDF

Working Papers

  • Susmel, Rauli and Samuel Kuomkwa. "Arbitrage and Convergence: Evidence from Mexican Arbitrage and Convergence: Evidence from Mexican ADRS." Journal of Applied Economics. [forthcoming]
  • Contact Info

    Phone:
    713-743-4763
    Email:
    rsusmel@uh.edu
    Room:
    210D
    Website:
    Visit Web Site

    Education

    Ph.D.
    University of California, San Diego

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