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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:
ZURICH
University of Zurich
Department of Economics
Zürichbergstrasse14
8032 Zürich
Switzerland
Office:
ZUH-G05
Phone:
+41 (0)44 634 56 95
E-Mail:
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, In collaboration 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.