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BANULESCU, Georgiana Denisa

Max Weber Fellow 2014-2015

Banulescu

Assistant Professor of Economics

University of Orléans
France

 

Email: georgiana.banulescu@univ-orleans.fr

 

Geaorgiana Banulesco personal website 

 

I received my PhD from the University of Orléans, France, and Maastricht University, The Netherlands, in November 2014. My main research interests are in financial econometrics, with a particular emphasis on volatility modelling and financial risk measures. 

In my PhD dissertation I generally apply and improve advanced econometric tools to model and forecast time-varying volatility, and I propose new techniques to measure both systemic risk and high-frequency risk.

First, I tackle the need for high-frequency data to improve the estimation/forecasting of volatility. Using the largest volatility shocks I analyze news announcements and their impact on the financial markets. At the same time, I assess the influence of the sampling frequency of the regressors on the volatility forecasts accuracy.
Second, I propose a risk measure dealing with high-frequency risk management and high-frequency trading, as well as a systemic risk measure in order to identify the financial institutions that contribute the most to the overall risk of the financial system – the so-called Systemically Important Financial Institutions (SIFIs).
In addition, I address issues relating to forecasting, backtesting procedures, mixed frequency models and market microstructure noise.

 

During my PhD research I served as a teaching assistant at the University of Orléans, where I taught classes in statistics and econometrics, namely Univariate and Multivariate Time Series Analysis, Econometrics, Statistics, Introduction to Matlab, Econometrics of Discrete Choice Models.

Page last updated on 07 October 2015