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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:
I am a Postdoctoral Researcher at Yale University and at the University of Zurich as well as a Research Fellow at the NYU Stern Volatility and Risk Institute. My primary research interests are Financial Econometrics and Machine Learning with applications in Empirical Asset Pricing and Climate Risk. In New York and Yale I am working together with Nobel laureate Robert F. Engle and Bryan Kelly. More specifically, we publish in real time latest research and international financial market data on volatility, correlations, systemic and climate risk: https://vlab.stern.nyu.edu
At NYU and Yale I am currently working on a new machine learning paradigm for climate finance applications and empirical asset pricing. For example, I have two ongoing projects together with Robert F. Engle and Bryan Kelly on how to hedge climate risk, by building a climate change index based on textual analysis of news papers and derive a suitable mimicking or hedging portfolio. Additionally, we are working on big data and shrinkage methods to improve asset pricing models. For example, I work on two promising working papers, together with Bryan Kelly and Markus Leippold, that try to use clusters or subsamples of large data sets to predict asset returns and estimate higher moments. Finally, I was invited to work on the international Finance Crowd Analysis Project.
For more information about research, teaching and consulting please take a closer look at my webpage or use the contact form.