Gianluca De Nard


NYU Stern School of Business

Volatility Institute

44 West 4th Street

10025 NY

United States


Suite 9-66




University of Zurich

Department of Economics


8032 Zürich






 +41 (0)44 634 56 95






Gianluca De Nard


PhD in Finance*, University of Zurich                                                                (2017-2021)

Visiting PhD Scholar, New York University (Prof. Robert Engle)                       (2019-2020)

MSc in Quantitative Finance*, ETH and University of Zurich                             (2015-2017)

BA in Management and Economics*, University of Zurich                                 (2011-2014)

* with summa cum laude distinction

Academic Positions

Postdoc, Yale University (Prof. Bryan Kelly)                                                   (2021-present)

Research Fellow, NYU Stern Volatility and Risk Institute                               (2019-present)

Research Associate and Teaching Assistant, Prof. Leippold UZH                 (2017-present)

Research Associate and Teaching Coordinator, Prof. Wolf UZH                       (2017-2021)

Junior Researcher and Teaching Assistant, UZH                                              (2014-2017) 

Work Experience

Senior Quantitative Research Analyst, OLZ AG                                            (2021-present)

Data Scientist, Data2Conclusion                                                                       (2018-2020)

Econometrician (Intern), KOF ETH Swiss Economic Institute                           (2018-2018) 

Quantitative Analyst (Intern), UBS                                                                     (2015-2015)

Insurance Broker, AXA Winterthur                                                                     (2012-2014)

Intern, Zurich Insurance Group                                                                          (2010-2011)



German (first language), Italian (mother tongue), English (advanced C1/C2), French (intermediate)

Research Interests

Empirical Finance, Machine Learning for Asset Pricing, Climate Finance, Financial Econometrics, (Quantitative) Asset and Risk Management

Awards / Grants

SNF Postdoc.Mobility (Yale University)                                                             (2021-2022)

FAN Fellowship / Hofstetter Stiftung                                                                           (2021)

Nominee for Swiss Risk Award                                                                   (2020 and 2021)

UZH Candoc Grant                                                                                            (2020-2021)

SNF Fellowship for NYU Stern Volatility Institute, Prof. Robert Engle               (2019-2020)

Semester Prize: Award for one of the best Master Thesis                                          (2018)

Published Papers

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the UglyJournal of Financial Econometrics, 2021 (with Olivier Ledoit and Michael Wolf).

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data,

Journal of Banking and Finance, 2022 

(with Robert F. Engle, Olivier Ledoit and Michael Wolf).

Subsampled Factor Models for Asset Pricing: The Rise of Vasa,

Journal of Forecasting, 2022 (with Simon Hediger and Markus Leippold).

A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited 

International Review of Economics and Finance, 2022 (with Zhao Zhao).

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage,

Journal of Financial Econometrics, 2022.