Gianluca De Nard
Financial Econometrician
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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
E-Mail:
ZURICH
University of Zurich
Department of Economics
Zürichbergstrasse14
8032 Zürich
Switzerland
Office:
ZUH-G05
Phone:
+41 (0)44 634 56 95
E-Mail:
Gianluca De Nard
 | CV_Gianluca_De_Nard.pdf (4.6MB) |
| CV_Gianluca_De_Nard.pdf (4.6MB) |
Education
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)
Languages
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 Ugly, Journal 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.