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Gianluca De Nard


New York

NYU Stern School of Business

Volatility Institute

44 West 4th Street

10025 NY

United States


Office:

Suite 9-66


Phone:

 +1 (212) 998-0081


E-Mail:

denard@stern.nyu.edu



ZURICH

University of Zurich

Department of Economics

Zürichbergstrasse14

8032 Zürich

Switzerland


Office:

ZUH-G05

 

Phone:

 +41 (0)44 634 56 95


E-Mail:

gianluca.denard@bf.uzh.ch


 

 

 

 
 
 

May I Introduce MySelf? 

 

I am a PhD Candidate and Research Associate with primary interest in Applied Financial Econometrics and Statistics at the University of Zurich. Right now I am in New York at the NYU Stern School of Business, visiting Prof. Robert F. Engle at the Volatility and Risk Institute.


My job market paper, co-authored with Robert Engle, Oliver Ledoit and Michael Wolf, is on Large Dynamic Covariance Matrices and how intraday data can be used to improve estimation performance.


I am currently working on a new test of cross-sectional anomalies as well as on a double-shrinkage estimator for taming the factor zoo. Additionally, we are developing a new subsampling framework for better asset return predictions and multivariate higher-moments estimation.


I published a paper in the Journal of Financial Econometrics on generalized shrinkage estimators of the covariance matrix for (large-dimensional) multi-asset class portfolios. Furthermore, Icollaboration with Michael Wolf and Olivier Ledoit we published a paper about approximate factor models with DCC-NL (dynamic conditional correlation nonlinear shrinkage estimator) for better portfolio and risk management  solutions. At NYU we are trying to extend the DCC-NL estimator with large as well as robust factor models and high-frequency data.


I am a member of the NYU Volatility and Risk Institute "V-Lab", where we publish in real time latest research and international financial market data on volatility, correlations, systemic and climate risk:  https://vlab.stern.nyu.edu


For more information about research and consulting please take a closer look at my webpage or use the contact form.