CV VEREDAS September 2011 web - Solvay Brussels School

David Veredas
E UROPEAN CENTER IN ADVANCED RESEARCH IN ECONOMICS AND STATISTICS – ECARES
SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT
UNIVERSITÉ LIBRE DE BRUXELLES
50, AV ROOSEVELT • CP114/04 • B1050 BRUXELLES • BELGIUM
PHONE: +32(0)2 650 4218 • FAX: +32(0)2 650 4475
DVEREDAS@ULB.AC.BE • HTTP://WWW.ECARES.ORG/VEREDAS.HTML
Personal details
Date of birth: 21/06/1973
Nationality: Spanish
Place of birth: Madrid (Spain)
Current appointments
2011-… Professor, Solvay Brussels School of Economics and Management, Université libre de
Bruxelles
2004-… ECARES fellow
Fields of research
Main Field: Quantitative Finance
Sub-fields empirical: Risk management, financial market structures
Sub-fields theoretical: Volatility, heavy-tailed distributions
Past appointments
2007-2011 Université libre de Bruxelles, Brussels, Belgium. Chargé de cours (Associate
Professor)
2004-2007 Université libre de Bruxelles, Brussels, Belgium. Chargé de cours temporaire
(Assistant Professor)
2002-2004 Departments of Econometrics & OR and Finance, and CentER. Tilburg University,
The Netherlands. Marie Curie Post-Doc Researcher
2001-2002 CIRANO, Montreal, Canada. Post Doctoral Researcher
2001 (summer) Credit Suisse First Boston, London, UK. Summer Internship
1999-2000 CREST, Paris, France. European Doctoral Program researcher in econometrics
1998-2006 CORE member, Université catholique de Louvain, Louvain-la-Neuve, Belgium.
Visits and medium-term invitations
2012 (spring) Invited Professor at Duisenberg School of Finance, Amsterdam, The Netherlands.
2012 (spring) Invited Professor at Banco de España, Madrid, Spain.
2011 (autumn) Invited lecturer at Cass Business School, London, UK.
2010 (spring) Visiting scholar at New York University - Stern School of Business, New York, USA.
2009 (autumn) Invited lecturer at City University (Department of Economics), London, UK.
2008 (spring) Invited lecturer at New Economics School, Moscow, Russia.

CV-David Veredas September 2011
2006-2011 (spring) Invited lecturer at Université Paris IX – Dauphine, Paris, France.
2002-2005 (spring) Invited lecturer at Université Paris I – Sorbonne, Paris, France.
Education
2002 Ph.D in Economics, Université catholique de Louvain (CORE), Louvain-la-Neuve, Belgium
Econometric modeling of financial durations
Supervisors: Luc Bauwens and Olivier Scaillet
Jury: Christian Gouriéroux, Michel Mouchart, Bas Werker
1998 M.A. in Economics. Université catholique de Louvain, Louvain-la-Neuve, Belgium
1997 B.S. in Statistics, Universidad Carlos III de Madrid, Madrid, Spain
1995 B.S. in Economics, Universidad Carlos III de Madrid, Madrid, Spain
Articles in peer-review journals
Quantitative Finance (IF: Impact Factor)
1. The impact of macroeconomic news on quote adjustments, noise and informational volatility (with
Nikolaus Hautsch and Dieter Hess). Forthcoming in the Journal of Banking and Finance (IF: 2.73)
2. A simple two-component model for the distribution of intraday returns (with Laura Coroneo).
Forthcoming in The European Journal of Finance (IF: 0.49)
3. Market liquidity as dynamic factors (with Marc Hallin, Charles Mathias and Hughes Pirotte).
Journal of Econometrics 163(1) 42-50, 2011 (IF: 1.81).
4. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor
models (with Takayuki Shiohama, Marc Hallin and Masanobu Taniguch). Journal of the Japan
Statistical Society 40, 145-166, 2010 (IF: Na)
5. Does the open limit order book matter in explaining long run volatility? (with Roberto Pascual).
Journal of Financial Econometrics 8(1), 57-87, 2010 (IF: 0.85)
6. What pieces of LOB information are informative? An empirical analysis of a pure order driven
market (with Roberto Pascual). Quantitative Finance 9, 527-545, 2009 (IF: 0.59)
7. Macro surprises and short-term behavior in bond futures. Empirical Economics 30/4, 843-866,
2005 (IF: 0.71)
Econometrics (IF: Impact Factor)
8. Testing conditional asymmetry. A residual based approach (with Philippe Lambert and Sebastien
Laurent). Forthcoming in the Journal of Economic Dynamics and Control (IF: 1.12)
9. R-estimation in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas
Verdebout). Forthcoming in the Journal of Econometrics (IF: 1.81)
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CV-David Veredas September 2011
10. The method of simulated quantiles (with Yves Dominicy). Forthcoming in the Journal of
Econometrics (IF: 1.81)
11. Estimation of stable distributions with indirect inference (with Eric Renault and Rene Garcia).
Journal of Econometrics 161, 325-337, 2011 (IF: 1.81)
12. Rank-based testing in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas
Verdebout). Journal of Nonparametric Statistics 23, 305-320, 2011 (IF: 0.52)
13. Aggregation of linear models for panel data (with Alexandre Petkovic). Journal of the Japan
Statistical Society 40, 63-95, 2010 (IF: Na)
14. Indirect inference of elliptical fat tailed distributions (with Marco Lombardi). Computational
Statistics and Data Analysis 53, 2309-2324, 2009 (IF: 1.09)
15. Temporal aggregation of univariate and multivariate time series models: a survey (with Andrea
Silvestrini). Journal of Economic Surveys 22/3, 458-497, 2008 (IF: 1.58)
16. Using intra annual information to forecast the annual state deficit. The case of France (with
Laurent Moulin, Matteo Salto and Andrea Silvestrini). Empirical Economics 34/3, 493-524, 2008
(IF: 0.71)
17. The stochastic conditional duration model: a latent factor model for the analysis of financial
durations (with Luc Bauwens). Journal of Econometrics 119/2, 381-412, 2004 (IF: 1.81).
18. A comparison of financial duration models via density forecast (with Luc Bauwens, Pierre Giot
and Joachim Grammig). International Journal of Forecasting 20, 589-604, 2004 (IF: 1.85).
Edited books
19. High frequency financial econometrics. Recent developments (co-edited with Luc Bauwens and
Winfried Pohlmeier). 2007. Springer Verlag
Chapters in edited collective volumes
20. Seminonparametric models for financial durations (with Juan Rodriguez-Poo and Antoni Espasa).
In High frequency financial econometrics. Recent developments, Bauwens, Pohlmeier and
Veredas (eds.) 2007, Springer Verlag
21. Macro Surprises and short-term behavior in bond futures. In High frequency financial
econometrics. Recent developments, Bauwens, Pohlmeier and Veredas (eds.) 2007, Springer
Verlag
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CV-David Veredas September 2011
Revised and/or (re)submitted working papers
Quantitative Finance
22. Disentangling systematic and idiosyncratic risks for large panels of assets (with Matteo
Barigozzi, Christian Brownlees and Giampiero Gallo). ECARES DP 2010/19.
23. Optimal portfolios with end-of-period target (with Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki
Amano, Valentin Palitea and Masanobu Taniguchi). ECARES DP 2010/35.
Econometrics
24. (Very) Fast inference and testing for (very) large dimensional heavy-tailed elliptical distributions
(with Yves Dominicy and Hiroaki Ogata). Largely revised version of ECARES DP 2010/29
Quantile-based inference for elliptical distributions.
25. A simple model for vast panels of volatilities (with Matteo Luciani). ECARES DP 2011/XX.
Editorials
26. Statistical Estimation of Portfolios for Dependent Returns (co-edited with Masanobu Taniguchi,
Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi and Kenichiro Tamaki). Editorial of a
special issue on Advances in Decision Sciences, forthcoming.
27. Latest developments in heavy-tailed distributions (with Marc Paolella, Eric Renault and Gennady
Samorodnitsky). Editorial to a special issue. Journal of Econometrics, forthcoming
28. Quantifying and understanding dysfunctions in financial markets (with Thomas Lux and Pablo
Rovira). Editorial to a special issue. Journal of Economic Dynamics and Control, forthcoming
29. High frequency finance (with Luc Bauwens and Winfried Pohlmeier). Editorial to a special issue.
Empirical Economics, 30/4, 834-866, 2005
Public opinion
30. European rating agency. La Libre Entreprise, 11 September 2011
31. Information et marchés financières (Information and financial markets). La Libre Entreprise, 12
Mars 2011
32. Surveillance du risque systémique (Overseeing systemic risk). La Libre Entreprise, 10 July 2010
33. Interview to the journal From Solvay, June 2010
34. L'Euro. 10 ans d'amour tranquile (10 years of calm love with the Euro). L'Echo, 6 June 2009
35. La baguette magique d’Obama (Obama's magic wand). L'Echo, 17 January 2009
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CV-David Veredas September 2011
Permanent working papers
36. Testing weak exogeneity in the exponential family: An Application to Financial Point Processes
(with Juanjo Dolado and Juan Rodriguez-Poo). CORE DP 2004/49
37. How much does infrastructure matter to growth in Sub-Saharan Africa? (with Antonio Estache
and Biagio Speciale)
38. How relevant is infrastructure to growth in East Asia? (with Kalpana Seethepalli and Maria
Caterina Bramati). World Bank Policy Research Working Paper 4597
39. A monthly volatility index for the US real economy (with Cecilia Frale). ECORE DP 2008/15
Proceedings and other publications
40. Reduced version of Aggregation of linear models for panel data (with Alexandre Petkovic).
Proceedings 3st Brussels-Waseda Workshop in Time Series and Finance, Izu, Japan, November
2008
41. Reduced version of Testing conditional asymmetry. A residual based approach (with Philippe
Lambert and Sebastien Laurent). Proceedings 1st Brussels-Waseda Workshop in Time Series
and Finance, Hakone, Japan, November 2007
42. Summary of Measuring quote quality (with Roberto Pascual). Revista Bolsa de Madrid.
December 2007
43. ¿Qué componentes del libro de órdenes son informativos? (with Roberto Pascual). Revista Bolsa
de Madrid, N 131, May 2004
44. Estacionalidad intra diaria de datos financieros. Bulletin EU and US Inflation and Macroeconomic
Analysis, N. 81, June 2001
Citations
1. SSRN: 4260 downloads and 79 citations (top 2% worldwide in downloads the last 12 months)
2. IDEAS: 2035 downloads and 141 citations (top 10% in the EU)
Thesis supervision
1. Dr. Alex Petkovic: Three essays on exotic option pricing, multivariate Levy processes and
aggregation of linear models. Co-supervision with Griselda Deelstra. Defended: February 2009.
Current (or first) job: Waseda University, Tokyo, Japan
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CV-David Veredas September 2011
2. Dr. Andrea Silvestrini: Four essays on aggregation and cointegration of econometric models. Cosupervision
with Luc Bauwens. Defended: June 2009. Current (or first) job: Economist at the
Banca d’Italia, Rome, Italy
3. Dr. Laura Coroneo: Essays on modelling and forecasting financial time series. Co-supervision with
Catherine Dehon. Defended: August 2009. Current (or first) job: Lecturer at the University of
Manchester, UK
4. Dr. Carlos Castro: Essays on credit risk and portfolio optimization. Defended: January 2010.
Current (or first) job: Universidad del Rosario, Bogotá, Colombia
Thesis supervision in progress
1. Cristina Conflitti: Essays on the econometrics of survey data
2. Yves Dominicy: Essays on multivariate stable distributions
3. Charles Mathias: Essays on financial dynamic factor models. Co-supervisor Prof. Christophe Croux
4. Lorenzo Ricci: Essays on Systemic Risk
5. Thiago de Oliveira Souza: Essays on portfolio selection
Member of Thesis Committees
At the ULB:
Dr. Maria Caterina Bramati (2005), Dr. Patrick Van Roy (2005), Dr. Oscar Bernal (2007), Dr.
Delphine Cassart (2007), Dr. Antonello D’Agostino (2007), Dr. Hassane Njimi (2008), Dr.
Hiroyuki Taniai (2009), Dr. David de Antonio Leido (2010), Dr. Francesca Monti (2011), Dr.
Michele Mondugno (2011), Dr. Stephan Zeugner (2011).
Outside:
Dr. Pilar Soriano (University of Valencia, Spain, 2007)
Dr. Cecilia Frale (University Tor Vergata, Italy, 2008)
Dr. Maria Mansanet (University of Valencia, Spain, 2008)
Dr. Anna Naszodi (Central European University, Hungary, 2008)
Dr. Helina Laakonen (University of Helsinki, Finland, 2009)
Dr. Lars Jul Overby (University of Copenhagen, Denmark, 2010)
Dr. Josef Barunik (Charles University in Prague, Czech Republic, 2011)
Dr. Oscar Carnacho (University of Valencia, Spain, 2011)
Dr. Frederick Van Gysegem (University of Gent, 2011)
Teaching Experience
Currently taught
2004-... Université libre de Bruxelles
Applied Econometrics (Several Masters in Economics)
Graduate Econometrics I (Master in Quantitative Economics)
Quantitative Financial Risk (Several Masters in Economics)
Topics in Advanced Econometrics (Master in Quantitative Economics & Doctoral School)
2011 Cass Business School, London, UK
Statistics for Finance (MSc in Finance and MSc in International Accounting and Finance)
2011 Duisenberg School of Finance - Amsterdam, The Netherlands
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CV-David Veredas September 2011
Older courses
Financial Econometrics (LLM in Finance and Law, MSc in Finance and Law and MSc in
Corporate Finance and Banking)
2006-2011 Paris IX – Dauphine, Paris, France
Financial Time Series Models (Master in Finance)
2009 City University (Department of Economics), London, UK
Financial econometrics (Master in Finance)
2009 Swiss Banking Institute - University of Zurich, Switzerland
Simulation-based inference methods and their applications on fat-tailed and skewed asset
returns distributions (Doctoral course)
2007-2008 Ecomod Summer School
Modeling and forecasting economic time series with Eviews
2007-2008 New Economic School, Moscow, Russia
Empirical market microstructure (Master in Economics and Master in Finance)
2003-2006 Paris I – Sorbonne, Paris, France
Financial time series models (Master in Financial Markets)
2003-2004 Tilburg University, The Netherlands
Econometric methods (Master in Economics)
Empirical market microstructure (Doctoral course)
1998-1999 and 2000-2001 Université catholique de Louvain, Belgium
Advanced econometrics (Teaching Assistant - Master in Economics)
Teaching evaluations (last available)
Microeconometrics: A (very satisfied)
Financial time series: A (very satisfied)
Graduate econometrics I: A (very satisfied)
Modeling and forecasting economic time series with Eviews: 5 over 5
Editorial and refereeing
Associate Editor Spanish Economic Review, 2007-…
Guest editor of
1. Statistical Estimation of Portfolios for Dependent Returns (co-edited with Masanobu
Taniguchi, Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi and Kenichiro Tamaki).
Special issue for Advances in Decision Sciences, forthcoming
2. Quantifying and understanding dysfunctions in financial markets (co-edited with Thomas Lux
and Pablo Rovira). Special issue for Journal of Economic Dynamics and Control, forthcoming
3. Latest developments in heavy-tailed distributions (co-edited with Marc Paolella, Eric Renault
and Gennady Samorodnitsky). Special issue for Journal of Econometrics, forthcoming
4. High frequency financial econometrics. Recent developments (co-edited with Luc Bauwens
and Winfried Pohlmeier). Special issue for Empirical Economics, 30/4, 2005
Referee (more than 100 times) for the Czech Science Foundation, Journal of Econometrics, Journal
of Business and Economic Statistics, Journal of the American Statistical Association, Journal of
Applied Econometrics, Journal of Financial Econometrics, Journal of the Royal Statistical Society B,
Journal of Empirical Finance, Journal of Economics Dynamics and Control, Journal of Money, Credit,
and Banking, The European Journal of Finance, Journal of Financial Markets, Journal of Time Series
Econometrics, Econometric Review, European Central Bank, World Bank Economic Review,
International Journal of Forecasting, Journal of Forecasting, Empirical Economics, Econometrics
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CV-David Veredas September 2011
Journal, Computational Statistics and Data Analysis, Quantitative Finance, Studies in Nonlinear
Dynamics and Econometrics, International Statistical Review, Computational Statistics, Banco de
España, The Financial Review, Statistics and Computing, Annals of Finance, Mathematics and
Computers in Simulation, The Indian Journal of Statistics, Journal of the French Statistical
Association, Scientiae Mathematicae Japonicae, Revista de Economía Financiera, Spanish Economic
Review, Investigaciones Economicas, Springer Verlag Mathematics.
Organization of seminars and conferences
Seminars
2004-... ECARES Econometrics and statistics seminar
2005-... Local organizer of the quarterly KUL-ECORE Econometrics seminar
Conferences
1. Member of the program committee of the 2012 Annual Meeting of the European Financial
Management Association, 27-30 June 2012, Barcelona, Spain.
2. Member of the scientific program committee and organization of one session on the 5th
International Conference on Computational and Financial Econometrics (CFE'11), 17-19 December
2011, London, UK
3. Member of the scientific program committee of the 2011 European Seminar on Bayesian
Econometrics (ESOBE) The Interface of Macroeconomics, Finance and Forecasting. November 4-5
2011, Louvain-la-Neuve, Belgium.
4. Member of the scientific program committee of the CEQURA conference on Advances in Financial
and Insurance Risk Management. September 19-21 2011, Munich, Germany.
5. New Developments in Econometrics and Time Series. September 12-13 2011, Brussels, Belgium
(with Holger Dette, Marc Hallin and Davy Paindaveine)
6. Interdisciplinary workshop on Econometric and statistical modelling of multivariate time series.
May 25-27 2011, Louvain-la-Neuve, Belgium (with Luc Bauwens, Christian Hafner, Johan Segers,
Sébastien Van Bellegem and Rainer von Sachs)
7. One-day Conference on Latest Developments in Financial Econometrics. March 4 2011, Brussels,
Belgium
8. Member of the scientific program committee and organization of two sessions on the 4th
International Conference on Computational and Financial Econometrics (CFE'10), 10-12 December
2010, London, UK
9. First Dexia & SBS-EM workshop in Quantitative Finance. November 25 2010, Brussels, Belgium
10. Quantifying and Understanding Dysfunctions in Financial Markets. October 15-16 2010,
Leuven, Belgium (with Thomas Lux and Pablo Rovira)
11. Latest Developments in Heavy-Tailed Distributions. March 26-27 2010, Brussels, Belgium
(with Marc Paolella)
12. Nonparametric Statistics and Time Series Models. Conference in honor of Marc Hallin. November
27-28 2009, Brussels, Belgium (with Catherine Dehon, Gentiane Haesbroeck, Davy Paindaveine,
Thomas Verdebout and Catherine Vermandele)
13. Member of the scientific program committee and organization of one session on the 3rd
International Conference on Computational and Financial Econometrics (CFE'09), 29-31 October
2009, Limassol, Cyprus
14. Fourth Brussels-Waseda Seminar and Time Series and Financial Statistics. June 21-23 2009.
Brussels, Belgium (with Marc Hallin and Masanobu Taniguchi)
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CV-David Veredas September 2011
15. Conference on International Macroeconomics and Finance. February 13-14 2009. Brussels (with
Paul De Grauwe, Hans Dewachter, Robert Kollmann, Philippe Martin and Rafael Wouters)
16. Third Brussels-Waseda Seminar and Time Series and Financial Statistics. November 3-4 2008.
Izu, Japan (with Marc Hallin and Masanobu Taniguchi)
17. Second Brussels-Waseda Seminar and Time Series and Financial Statistics. June 23-24 2008.
Brussels (with Marc Hallin and Masanobu Taniguchi)
18. Conference on International Adjustment. November 9-10 2007. Brussels (with Giancarlo
Corsetti, Paul De Grauwe, Hans Dewachter, Robert Kollmann and Rafael Wouters)
19. Econometrics of Microstructure of Financial Markets. April 23-24 2004. Tilburg University (with
Bas Werker and Feico Drost)
Presentations
2012
Seminars
1. University of Manchester (February)
2. University of Konstanz (February)
Conferences
3. Conference on Fat Tails, Copulas, Bad Economic Times and Rare Events – ENSAI, Rennes,
France (January)
2011
Seminars
4. London School of Economics and Political Science (January)
5. Tinbergen Institute (January)
6. CREST (February)
7. Cass Business School (March)
8. University of Melbourne (April)
9. Monash University (April)
10. University of Tasmania (April)
11. University of Technology Sydney (May)
12. University of Sydney (May)
13. University of New South Wales (May)
14. Qeensland University of Technology Brisbane (May)
15. Singapore Management University (May)
16. National University of Singapore (May)
17. Waseda University (December)
Conferences
18. One-day conference in latest developments in financial econometrics - ECARES, Brussels,
Belgium (March)
19. 7th International Symposium on Econometric Theory and Applications (SETA 2011) - Monash
University, Melbourne, Australia (April)
20. Time series analysis and computational statistics (conference in honor of Guy Mélard) -
Université libre de Bruxelles, Brussels, Belgium (June)
21. 2nd Conference on Advances in Financial and Insurance Risk Management – CEQURA,
University of Munich, Germany (September)
22. 5th International Conference on Computational and Financial Econometrics" (CFE'11) -
London, UK (December)
23. International Symposium in Statistics and Financial Time Series – Wakayama, Japan
(December)
2010
Seminars
24. Waseda University (January)
25. Rutgers University (April)
26. New York University – Stern School of Business (May)
27. Princeton University (May)
28. Universidad del Rosario in Bogotá (August)
29. Havard Club Ecuador (August)
30. Universidad Andina Simón Bolívar in Quito (August)
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CV-David Veredas September 2011
31. Weekly meetings of Analytica in Quito (August)
32. Erasmus University Rotterdam (October)
33. Joint statistics UCL-ULB seminar (October)
34. Swiss Finance Institute - Lugano (November)
Conferences
35. Latest Developments in Heavy-Tailed Distributions - ECARES, Brussels, Belgium (March)
36. Volatility and Systemic Risk - Stern Business School, New York University, New York, USA
(April)
37. Mathematical Finance Days - Institut de Finance Mathematique de Montreal, Canada (May)
38. Western Finance Association (discussant) - Victoria, British Columbia, Canada (June)
39. Time Series, Quantile Regression and Model Choice - University of Dortmund, Germany
(September)
40. Conference on Advances in Financial and Insurance Risk Management – CEQURA, University
of Munich, Germany (September)
41. 2nd HEC finance and statistics conference – HEC Paris, France (October)
42. Conference on Quantifying and Understanding Dysfunctions in Financial Markets – Leuven,
Belgium (October)
43. XVIII Foro de Finanzas - Universidad CEU-Cardenal Herrera, Elche, Spain (November)
44. First Dexia & SBS-EM workshop in Quantitative Finance – Brussels, Belgium (November)
45. 4th International Conference on Computational and Financial Econometrics" (CFE'10) -
London, UK (December)
2009
Seminars
46. CREATES Aarhaus (March)
47. Universidad de Alicante (June)
48. Imperial College Business School (September)
49. Queen Mary University of London (November)
50. Waseda University (December)
Conferences
51. Humboldt-Copenhagen Conference 2009 on Recent Developments in Financial Econometrics -
Berlin, Germany (March)
52. 6th International Conference on Computational Management Science - Geneva, Switzerland
(May)
53. Conference in recent developments in time series - INSEE, Rennes, France (June)
54. SITE summer workshop (segment 1) - Stanford, USA (June)
55. FERC Conference on Individual Decision Making, High Frequency Econometrics and Limit
Order Book Dynamics - Warwick, UK (September)
56. 3rd International Conference on Computational and Financial Econometrics" (CFE'09) -
Limassol, Cyprus (October)
57. XVII Foro de Finanzas - IESE, Madrid, Spain (November)
58. Statistical inference in multivariate models and time-series models - Kagoshima, Japan
(December)
2008
Seminars
59. Université libre de Bruxelles (April)
60. Humbolt University (June)
61. HEC Paris (October)
Conferences
62. Belgian Finance Research Forum - Gent, Belgium (May)
63. 2nd Brussels-Waseda Workshop in Statistical Time Series and Finance - Brussels, Belgium
(June)
64. 2nd International Workshop on Computational and Financial Econometrics - Neuchatel,
Switzerland (June)
65. Factor Structures for Panel and Multivariate Time Series Data - Maastricht, The Netherlands
(September)
66. 5th Eurostat Colloquium on Tools for Business Cycle Analysis - Eurostat, Luxembourg
(September)
67. 3rd Brussels-Waseda Workshop in Time Series and Finance - Tokyo, Japan (November)
68. XVI Foro de Finanzas - ESADE, Barcelona, Spain (November)
69. Recent Developments in Statistics and Econometrics. In Honor of Hirotugu Akaike - Kyoto,
Japan (November)
2007
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CV-David Veredas September 2011
Seminars
70. New Economic School of Moscow (February)
71. Université libre de Bruxelles (May)
Conferences
72. International Workshop on Computational and Financial Econometrics - Geneva, Switzerland
(April)
73. 13th International Conference on Computing in Economics and Finance - Montreal, Canada
(June)
74. XV Foro de Finanzas - Islas Baleares, Spain (November)
75. 1st Brussels-Waseda Workshop in Statistical Time Series and Finance - Hakone, Japan
(November)
2006
Seminars
76. University of Zurich (May)
77. University of Copenhagen (October)
78. CORE (October)
Conferences
79. ENTER Jamboree - Stockholm (January)
80. Seasonal adjustment and implications in short-term forecasting - Eurostat, Luxembourg
(May)
81. MICFINMA Conference on High Frequency Finance - Konstanz, Germany (May)
82. 26th International Symposium on Forecasting - Santander, Spain (June)
83. Microstructure of Financial and Money Markets - Banque de France, Paris (June)
84. High Frequency Econometrics And The Analysis of FX Markets - Warwick, UK (June)
85. 14th Annual meeting of the Belgian Statistical Society - Houffalize, Belgium (October)
86. XIV Foro de Finanzas - Castellon, Spain (November)
87. EC² Conference - Erasmus University, Rotterdam, The Netherlands (December)
2005
Seminars
88. ECORE (October)
Conferences
89. MICFINMA Workshop - Madrid, Spain (September)
90. Heavy tails and Paretian distributions in finance and macroeconomics - Bundesbank, Eltville,
Germany (November)
2004
Seminars
91. Université libre de Bruxelles (June)
92. Université catholique de Louvain (June)
93. Université libre de Bruxelles (October)
94. University Carlos III de Madrid (June)
95. DG ECFIN European Commission (June)
96. Tilburg University (June)
97. Katholieke Universiteit Leuven (October)
98. University of Maastricht (November)
99. University of Technology Munich (December)
100. European Central Bank (December)
Conferences
101. Young Leuven Financial Research Day - Leuven, Belgium (April)
102. Workshop on Automated Auction Markets - Namur, Belgium (May)
103. Forecasting Financial Markets and Economic Decision Making - Lodz, Poland (May)
104. MICFINMA Summer School - Konstanz, Germany (July)
105. ESEM - Madrid, Spain (August)
2003
Seminars
106. Tilburg University (April)
Conferences
107. centrA workshop: Forecasting Public Finances - Sevilla, Spain (October)
108. MICFINMA Workshop - Louvain-la-Neuve, Belgium (April)
2002
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CV-David Veredas September 2011
Seminars
109. Instituto Tecnológico Autónomo de Mexico - ITAM (March)
2001
Seminars
110. CORE (December)
Conferences
111. PAI Conference on Financial Econometrics - Leuven, Belgium (January)
112. EDP Jamboree - Louvain-la-Neuve, Belgium (April)
113. York's annual one day meeting in Econometrics - York, UK (June)
114. ESEM - Laussane, Switzerland (August)
115. Conference on Microstructure and High-Frequency in Finance - Aarhaus, Denmark (August)
116. LACEA meeting - Montevideo, Uruguay (October)
2000
Seminars
117. University Islas Baleares (November)
118. CORE (October)
Conferences
119. EDP Jamboree - Bonn, Germany (April)
120. Seasonality in Economic and Financial Variables - Algarve, Portugal (October)
1999
Seminars
121. Institut de statistique (September)
Conferences
122. ESEM - Santiago de Compostela, Spain (August)
123. EC² Conference - Universidad Carlos III de Madrid, Spain (December)
Research contracts and funds
Shadow local supervisor of a PAI grant (grant of the Belgian Science Foundation) 2007-2011
(400,000€)
Dexia Bank donation 2007-2011 (205,000€)
Grant for starting an academic spin-off 2010-2011 (140,000€)
Sponsoring from the National Bank of Belgium for Modeling vast panels of volatilities, 2010 (3,450€)
Sponsoring from the National Bank of Belgium for Studies on informational-driven volatility, 2007
(13,700€)
Sponsoring from the National Bank of Belgium for Exploiting the information content in a limit order
book, 2005 (15,525€)
Funds from the International Relations Department of the Université libre de Bruxelles, 2010
(10,000€)
Sponsoring from the Academie Universitaire Wallonie-Bruxelles for the organization of Doctoral
courses 2008-2009 (6,000€)
Chaire Waseda at the Université libre de Bruxelles March 2010 (3,000€)
Academic service
2010-… Director of the Financial Econometrics group (9 members: 2 Prof., 2 post-docs and 5 PhD)
2009-... Member of the ECORE executive committee
2007-... Responsible for admissions of the Master in Quantitative Economics at the ULB
2005-2009 Co-director of the ECARES doctoral school
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CV-David Veredas September 2011
Professional membership
Founding member of The Society for Financial Econometrics (SoFiE)
Econometric Society
Euro Area Business Cycle Network
Industry service
2008-... Member of the Academic Board of the Brussels Finance Institute
2010-… Scientific Director of the consulting firm QuanTaurus
Awards
Best article in equity presented at the 2007 Spanish Finance Association meeting: Measuring quote
quality (with Roberto Pascual).
Languages
Spanish (mother tongue)
English and French (fluent all levels)
Italian (low)
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