Roxana Chiriac

Address University of Konstanz
Box D 124
D-78457 Konstanz		 Roxana Chiriac

   Private
   78464 Konstanz
RoomF 316
Phone+49 7531-88-2204
Fax+49 7531-88-4450
E-mail




Portrait

3rd January 1980Birthday
2003Bachelor in Economics, University of Iasi, Romania
2005Master of Arts in International Business Economics, University of Konstanz


Awards

2004/2005DAAD Scholarship
2005VEUK Prize for outstanding foreign graduation at the University of Konstanz


Teaching

Winter Term 2009 Tutorial Financial Econometrics
Summer Term 2009 Tutorial Introduction to Time Series and Financial Econometrics, Doctoral Course, University of Iasi, Romania
Winter Term 2008/2009 Tutorial Financial Econometrics
Summer Term 2008 Tutorial Econometrics I
Summer Term 2008Tutorial Econometrics, Doctoral Course, University of Iasi, Romania
Winter Term 2007/2008 Tutorial Statistik II
Summer Term 2007 Tutorial Econometrics I
Summer Term 2006Tutorial Econometrics I



Research Intererests

  • Financial Econometrics
  • Multivariate Stochastic Volatility Models
  • High Frequency Data in Finance

Publications

Chiriac (2009): Modelling and Forecasting Multivariate Realized Volatility

Forthcoming in Journal of Applied Econometrics (with Valeri Voev),


Working papers

Chiriac (2010): How Risky is the Value at Risk?
Working Paper, University of Konstanz (with Winfried Pohlmeier)

Chiriac (2008): Dynamic Modelling and Forecasting Realized Covariance Matrices
Working Paper, University of Konstanz (with Valeri Voev)

Chiriac (2007): Long Memory Modelling of Realized Covariance Matrices
Working Paper, CoFE, University of Konstanz (with Valeri Voev)

Chiriac (2007): Nonstationary Wishart Autoregressive Model
Working Paper, University of Konstanz

Chiriac (2006): Estimating Realized Volatility Wishart Autoregressive Model
Working Paper, University of Konstanz

Presentations

  • Modelling and Forecasting of Realized Covariance Matrices
    June 2009SoFiE (Society of Financial Econometrics) Conference, Geneva, Switzerland
    (Poster Session)
    May 2009Pentecost meeting of the German Statistical Society, Merseburg, Germany
    March 2009Research Seminar, University of Navarra, Pamplona, Spain
    March 2009Recent Developments in Financial Econometrics, Humboldt-Copenhagen Conference, Berlin
     

  • Dynamic Modelling and Forecasting of Realized Covariance Matrices

    October 2008International Conference on Price, Liquidity and Credit Risks, Konstanz
    August 2008ESEM-EEA, Milan, Italy
    October 2007Multivariate Volatility Models Conference, Faro, Portugal
     
  • Nonstationary Wishart Autoregressive Model
    August 2007ESEM-EEA, Budapest, Hungary

  • Estimating Realized Volatility Wishart Autoregressive Model
    June 2006Multivariate Modelling in Finance and Risk Management, Sandbjerg, Denmark
    May 2006International Conference of High Frequency Finance, Konstanz, Germany