Home » Postdoctoral Max Weber Programme » Alumni » Max Weber Alumni Bio

Banulescu, Denisa Georgiana

Associate Professor in Economics

University of Orléans

Website

Romania

Max Weber alumnus

Department of Economics

Cohort(s): 2014/2015

Ph.D. Institution

Maastricht University/University of Orléans

Biography

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.
Back to top