Gianluca De Nard


University of Zurich

Department of Economics


8032 Zürich








NYU Stern School of Business

Volatility Institute

44 West 4th Street

10025 NY

United States


Suite 9-66






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

Senior Research Associate, University of Zurich                                            (2019-present)

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

Postdoc, Yale University (Prof. Bryan Kelly)                                                      (2021-2023)

Research Associate and Teaching Assistant, Prof. Leippold UZH                     (2017-2023)

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

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

Work Experience

Head of Quantitative Research, OLZ AG                                                      (2023-present)

Senior Quantitative Research Analyst, OLZ AG                                               (2021-2023)

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 (beginner)

Research Interests

Sustainable Finance and Climate Risk, Empirical Finance, Financial Econometrics, Machine Learning for Asset Pricing, Asset and Risk Management

Awards / Grants

Innosuisse project funding (OLZ AG and HSLU)                                               (2023-2025)

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

Non-Standard Errors,

Journal of Finance, forthcoming (FinCAP project).

Improved Inference in Financial Factor Models,                                                  International Review of Economics and Finance, 2023

(with Elliot Beck and Michael Wolf)

Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices,

Journal of Empirical Finance, 2023 (with Zhao Zhao).

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data,

Journal of Banking and Finance, 2022 

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

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

Journal of Financial Econometrics, 2022.

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).

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).