ACADEMIC
I am a professor of Empirical Finance at the University of Zurich (UZH), Department of Banking and Finance, in lovely Zurich, Switzerland. My research interests include classic and modern statistical inference, time-series analysis, and financial risk prediction. I focus on development of large-scale modeling and prediction of financial asset returns, advanced portfolio optimization methodologies, and algorithmic trading strategies.
I have published about 50 academic papers, and single-authored four graduate level books on probability theory, statistical inference, linear models, time series analysis, and financial econometrics.
I am also a member of several editorial boards of statistics and econometrics journals, and the Editor-in-Chief of a relatively new journal called Econometrics.
EDUCATION
RESEARCH INTERESTS
1998/2002
Christian Albrechts Universität zu Kiel
Post Doc Habilitation, 2002
Dr. sc. pol., 1998
Computational Statistical Methodology
Saddlepoint Approximation Theory
Financial Risk Prediction
2007 - present
University of Zurich, Department of Banking and Finance
Professor
ACADEMIC POSITIONS
1990
State University of New York at Stony Brook
Bachelor of Arts (Economics), and Bachelor of Science (Applied Mathematics and Statistics)
1993
Colorado State University
M.S. Statistics
TEACHING
Linear Models, Regression and ANOVA (PhD level)
Modern Statistical Inference and Computation (masters level)
Portfolio Optimization (PhD level)
Probability Theory (masters level)
Probability and Distribution Theory (PhD level)
Time Series Analysis (PhD level)
Volatility Modeling and Risk Prediction (masters and PhD level)
2008 - 2012
University of Geneva, Department of Econometrics
Visiting Professor and Lecturer
2003 - 2006
University of Zurich, Department of Banking and Finance
Associate Professor
1999 - 2003
Christian Albrechts Universität zu Kiel
Assistant Professor and Director
GARCH Modeling
Large-Scale Non-Elliptic Portfolio Optimization
Mixture Models
Time-Series Analysis
