Valeri Voev

Address University of Konstanz
Box D 124
D-78457 Konstanz

   Private
   Radolfzellerstr. 47
   78467 Konstanz
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Portrait

14th June 1978Birthday
2002 Bachelor in Economics, University of Sofia / Bulgaria
2003 Master of Arts in International Business Economics, University of Konstanz

Download: Complete Curriculum Vitae



Professional Experience

2002 - 2003 Assistant to Prof. Jens Jackwerth, Chair of Finance, University of Konstanz
 2003 – present Research Associate, Chair of Economics and Econometrics of Prof. Dr. Winfried Pohlmeier, Department of Economics, University of Konstanz
 2003 – present Research Fellow at the Center of Finance and Econometrics (CoFE), University of Konstanz
 2005, 2006 Two 6-month research visits at the Aarhus School of Business, Denmark with Prof. Asger Lunde


Awards

2001/02DAAD Scholarship
2003VEUK Prize for outstanding foreign graduation at the University of Konstanz


Teaching

Winter Term 2007/08 Lecture & Tutorial Financial Econometrics, University of Konstanz
Winter Term 2007 Quantitative Analysis with GAUSS, Hochschule St. Gallen, Switzerland
Winter Term 2006/07 Lecture & Tutorial Financial Econometrics, University of Konstanz
Summer Term 2004 Tutorial Econometrics I, University of Konstanz


Research Intererests

  • High Frequency Data in Finance
  • Realized Volatility
  • Duration Models


Publications

Voev (2007): Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise,
                   (link to working paper version), Journal of Financial Econometrics, 5, 68-104 (joint work with Asger Lunde)

Voev (2007): Dynamic Modelling of Large Dimensional Covariance Matrices,
                   Recent Developments in High Frequency Financial Econometrics,
                   L.Bauwens, W. Pohlmeier & D.  Veredas (eds.), Studies in Empirical Economics, Springer, Berlin



Working papers

Voev (2007): Estimating High-Frequency Based (Co-) Variances: A Unified Approach, CoFE Working Paper 07/07, University of Konstanz (with Ingmar Nolte).

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

Voev (2007): Panel Intensity Models with Latent Factors: An Application to The Trading Dynamics on the Foreign Exchange Market,
Working Paper, CoFE, University of Konstanz (with Ingmar Nolte).

Voev (2005): A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE,
Working Paper, CoFE, University of Konstanz.



Presentations

  • Long Memory Modelling of Realized Covariance Matrices
    October, 2007 Conference on Multivariate Volatility Models, Faro

  • Panel Intensity Models with Latent Factors: An Application to The Trading Dynamics on the Foreign Exchange Market
    May, 2006 International Conference on High Frequency Finance, Konstanz
    August, 2007 European Meeting of the Econometric Society, Budapest

  • A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE
    March, 2005 MicFinMa Workshop, Madrid
    September, 2005 International Conference on Finance, Copenhagen

  • Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise
    December, 2005 EC2 Conference, Istanbul

  • Dynamic Modelling of High Dimensional Covariance Matrices
    November, 2004 CoFE Workshop of the research group "Price, Liquidity and Credit Risks", Königsfeld,
    June, 2004 Doctoral Seminar Konstanz - St. Gallen

  • Measuring Liquidity on Financial Markets using Transaction Data
    March, 2003 CoFE Workshop of the research group "Price, Liquidity and Credit Risks", Königsfeld