CV VEREDAS September 2011 web - Solvay Brussels School
CV VEREDAS September 2011 web - Solvay Brussels School
CV VEREDAS September 2011 web - Solvay Brussels School
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David Veredas<br />
E UROPEAN CENTER IN ADVANCED RESEARCH IN ECONOMICS AND STATISTICS – ECARES<br />
SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT<br />
UNIVERSITÉ LIBRE DE BRUXELLES<br />
50, AV ROOSEVELT • CP114/04 • B1050 BRUXELLES • BELGIUM<br />
PHONE: +32(0)2 650 4218 • FAX: +32(0)2 650 4475<br />
D<strong>VEREDAS</strong>@ULB.AC.BE • HTTP://WWW.ECARES.ORG/<strong>VEREDAS</strong>.HTML<br />
Personal details<br />
Date of birth: 21/06/1973<br />
Nationality: Spanish<br />
Place of birth: Madrid (Spain)<br />
Current appointments<br />
<strong>2011</strong>-… Professor, <strong>Solvay</strong> <strong>Brussels</strong> <strong>School</strong> of Economics and Management, Université libre de<br />
Bruxelles<br />
2004-… ECARES fellow<br />
Fields of research<br />
Main Field: Quantitative Finance<br />
Sub-fields empirical: Risk management, financial market structures<br />
Sub-fields theoretical: Volatility, heavy-tailed distributions<br />
Past appointments<br />
2007-<strong>2011</strong> Université libre de Bruxelles, <strong>Brussels</strong>, Belgium. Chargé de cours (Associate<br />
Professor)<br />
2004-2007 Université libre de Bruxelles, <strong>Brussels</strong>, Belgium. Chargé de cours temporaire<br />
(Assistant Professor)<br />
2002-2004 Departments of Econometrics & OR and Finance, and CentER. Tilburg University,<br />
The Netherlands. Marie Curie Post-Doc Researcher<br />
2001-2002 CIRANO, Montreal, Canada. Post Doctoral Researcher<br />
2001 (summer) Credit Suisse First Boston, London, UK. Summer Internship<br />
1999-2000 CREST, Paris, France. European Doctoral Program researcher in econometrics<br />
1998-2006 CORE member, Université catholique de Louvain, Louvain-la-Neuve, Belgium.<br />
Visits and medium-term invitations<br />
2012 (spring) Invited Professor at Duisenberg <strong>School</strong> of Finance, Amsterdam, The Netherlands.<br />
2012 (spring) Invited Professor at Banco de España, Madrid, Spain.<br />
<strong>2011</strong> (autumn) Invited lecturer at Cass Business <strong>School</strong>, London, UK.<br />
2010 (spring) Visiting scholar at New York University - Stern <strong>School</strong> of Business, New York, USA.<br />
2009 (autumn) Invited lecturer at City University (Department of Economics), London, UK.<br />
2008 (spring) Invited lecturer at New Economics <strong>School</strong>, Moscow, Russia.
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
2006-<strong>2011</strong> (spring) Invited lecturer at Université Paris IX – Dauphine, Paris, France.<br />
2002-2005 (spring) Invited lecturer at Université Paris I – Sorbonne, Paris, France.<br />
Education<br />
2002 Ph.D in Economics, Université catholique de Louvain (CORE), Louvain-la-Neuve, Belgium<br />
Econometric modeling of financial durations<br />
Supervisors: Luc Bauwens and Olivier Scaillet<br />
Jury: Christian Gouriéroux, Michel Mouchart, Bas Werker<br />
1998 M.A. in Economics. Université catholique de Louvain, Louvain-la-Neuve, Belgium<br />
1997 B.S. in Statistics, Universidad Carlos III de Madrid, Madrid, Spain<br />
1995 B.S. in Economics, Universidad Carlos III de Madrid, Madrid, Spain<br />
Articles in peer-review journals<br />
Quantitative Finance (IF: Impact Factor)<br />
1. The impact of macroeconomic news on quote adjustments, noise and informational volatility (with<br />
Nikolaus Hautsch and Dieter Hess). Forthcoming in the Journal of Banking and Finance (IF: 2.73)<br />
2. A simple two-component model for the distribution of intraday returns (with Laura Coroneo).<br />
Forthcoming in The European Journal of Finance (IF: 0.49)<br />
3. Market liquidity as dynamic factors (with Marc Hallin, Charles Mathias and Hughes Pirotte).<br />
Journal of Econometrics 163(1) 42-50, <strong>2011</strong> (IF: 1.81).<br />
4. Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor<br />
models (with Takayuki Shiohama, Marc Hallin and Masanobu Taniguch). Journal of the Japan<br />
Statistical Society 40, 145-166, 2010 (IF: Na)<br />
5. Does the open limit order book matter in explaining long run volatility? (with Roberto Pascual).<br />
Journal of Financial Econometrics 8(1), 57-87, 2010 (IF: 0.85)<br />
6. What pieces of LOB information are informative? An empirical analysis of a pure order driven<br />
market (with Roberto Pascual). Quantitative Finance 9, 527-545, 2009 (IF: 0.59)<br />
7. Macro surprises and short-term behavior in bond futures. Empirical Economics 30/4, 843-866,<br />
2005 (IF: 0.71)<br />
Econometrics (IF: Impact Factor)<br />
8. Testing conditional asymmetry. A residual based approach (with Philippe Lambert and Sebastien<br />
Laurent). Forthcoming in the Journal of Economic Dynamics and Control (IF: 1.12)<br />
9. R-estimation in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas<br />
Verdebout). Forthcoming in the Journal of Econometrics (IF: 1.81)<br />
2
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
10. The method of simulated quantiles (with Yves Dominicy). Forthcoming in the Journal of<br />
Econometrics (IF: 1.81)<br />
11. Estimation of stable distributions with indirect inference (with Eric Renault and Rene Garcia).<br />
Journal of Econometrics 161, 325-337, <strong>2011</strong> (IF: 1.81)<br />
12. Rank-based testing in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas<br />
Verdebout). Journal of Nonparametric Statistics 23, 305-320, <strong>2011</strong> (IF: 0.52)<br />
13. Aggregation of linear models for panel data (with Alexandre Petkovic). Journal of the Japan<br />
Statistical Society 40, 63-95, 2010 (IF: Na)<br />
14. Indirect inference of elliptical fat tailed distributions (with Marco Lombardi). Computational<br />
Statistics and Data Analysis 53, 2309-2324, 2009 (IF: 1.09)<br />
15. Temporal aggregation of univariate and multivariate time series models: a survey (with Andrea<br />
Silvestrini). Journal of Economic Surveys 22/3, 458-497, 2008 (IF: 1.58)<br />
16. Using intra annual information to forecast the annual state deficit. The case of France (with<br />
Laurent Moulin, Matteo Salto and Andrea Silvestrini). Empirical Economics 34/3, 493-524, 2008<br />
(IF: 0.71)<br />
17. The stochastic conditional duration model: a latent factor model for the analysis of financial<br />
durations (with Luc Bauwens). Journal of Econometrics 119/2, 381-412, 2004 (IF: 1.81).<br />
18. A comparison of financial duration models via density forecast (with Luc Bauwens, Pierre Giot<br />
and Joachim Grammig). International Journal of Forecasting 20, 589-604, 2004 (IF: 1.85).<br />
Edited books<br />
19. High frequency financial econometrics. Recent developments (co-edited with Luc Bauwens and<br />
Winfried Pohlmeier). 2007. Springer Verlag<br />
Chapters in edited collective volumes<br />
20. Seminonparametric models for financial durations (with Juan Rodriguez-Poo and Antoni Espasa).<br />
In High frequency financial econometrics. Recent developments, Bauwens, Pohlmeier and<br />
Veredas (eds.) 2007, Springer Verlag<br />
21. Macro Surprises and short-term behavior in bond futures. In High frequency financial<br />
econometrics. Recent developments, Bauwens, Pohlmeier and Veredas (eds.) 2007, Springer<br />
Verlag<br />
3
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Revised and/or (re)submitted working papers<br />
Quantitative Finance<br />
22. Disentangling systematic and idiosyncratic risks for large panels of assets (with Matteo<br />
Barigozzi, Christian Brownlees and Giampiero Gallo). ECARES DP 2010/19.<br />
23. Optimal portfolios with end-of-period target (with Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki<br />
Amano, Valentin Palitea and Masanobu Taniguchi). ECARES DP 2010/35.<br />
Econometrics<br />
24. (Very) Fast inference and testing for (very) large dimensional heavy-tailed elliptical distributions<br />
(with Yves Dominicy and Hiroaki Ogata). Largely revised version of ECARES DP 2010/29<br />
Quantile-based inference for elliptical distributions.<br />
25. A simple model for vast panels of volatilities (with Matteo Luciani). ECARES DP <strong>2011</strong>/XX.<br />
Editorials<br />
26. Statistical Estimation of Portfolios for Dependent Returns (co-edited with Masanobu Taniguchi,<br />
Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi and Kenichiro Tamaki). Editorial of a<br />
special issue on Advances in Decision Sciences, forthcoming.<br />
27. Latest developments in heavy-tailed distributions (with Marc Paolella, Eric Renault and Gennady<br />
Samorodnitsky). Editorial to a special issue. Journal of Econometrics, forthcoming<br />
28. Quantifying and understanding dysfunctions in financial markets (with Thomas Lux and Pablo<br />
Rovira). Editorial to a special issue. Journal of Economic Dynamics and Control, forthcoming<br />
29. High frequency finance (with Luc Bauwens and Winfried Pohlmeier). Editorial to a special issue.<br />
Empirical Economics, 30/4, 834-866, 2005<br />
Public opinion<br />
30. European rating agency. La Libre Entreprise, 11 <strong>September</strong> <strong>2011</strong><br />
31. Information et marchés financières (Information and financial markets). La Libre Entreprise, 12<br />
Mars <strong>2011</strong><br />
32. Surveillance du risque systémique (Overseeing systemic risk). La Libre Entreprise, 10 July 2010<br />
33. Interview to the journal From <strong>Solvay</strong>, June 2010<br />
34. L'Euro. 10 ans d'amour tranquile (10 years of calm love with the Euro). L'Echo, 6 June 2009<br />
35. La baguette magique d’Obama (Obama's magic wand). L'Echo, 17 January 2009<br />
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<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Permanent working papers<br />
36. Testing weak exogeneity in the exponential family: An Application to Financial Point Processes<br />
(with Juanjo Dolado and Juan Rodriguez-Poo). CORE DP 2004/49<br />
37. How much does infrastructure matter to growth in Sub-Saharan Africa? (with Antonio Estache<br />
and Biagio Speciale)<br />
38. How relevant is infrastructure to growth in East Asia? (with Kalpana Seethepalli and Maria<br />
Caterina Bramati). World Bank Policy Research Working Paper 4597<br />
39. A monthly volatility index for the US real economy (with Cecilia Frale). ECORE DP 2008/15<br />
Proceedings and other publications<br />
40. Reduced version of Aggregation of linear models for panel data (with Alexandre Petkovic).<br />
Proceedings 3st <strong>Brussels</strong>-Waseda Workshop in Time Series and Finance, Izu, Japan, November<br />
2008<br />
41. Reduced version of Testing conditional asymmetry. A residual based approach (with Philippe<br />
Lambert and Sebastien Laurent). Proceedings 1st <strong>Brussels</strong>-Waseda Workshop in Time Series<br />
and Finance, Hakone, Japan, November 2007<br />
42. Summary of Measuring quote quality (with Roberto Pascual). Revista Bolsa de Madrid.<br />
December 2007<br />
43. ¿Qué componentes del libro de órdenes son informativos? (with Roberto Pascual). Revista Bolsa<br />
de Madrid, N 131, May 2004<br />
44. Estacionalidad intra diaria de datos financieros. Bulletin EU and US Inflation and Macroeconomic<br />
Analysis, N. 81, June 2001<br />
Citations<br />
1. SSRN: 4260 downloads and 79 citations (top 2% worldwide in downloads the last 12 months)<br />
2. IDEAS: 2035 downloads and 141 citations (top 10% in the EU)<br />
Thesis supervision<br />
1. Dr. Alex Petkovic: Three essays on exotic option pricing, multivariate Levy processes and<br />
aggregation of linear models. Co-supervision with Griselda Deelstra. Defended: February 2009.<br />
Current (or first) job: Waseda University, Tokyo, Japan<br />
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<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
2. Dr. Andrea Silvestrini: Four essays on aggregation and cointegration of econometric models. Cosupervision<br />
with Luc Bauwens. Defended: June 2009. Current (or first) job: Economist at the<br />
Banca d’Italia, Rome, Italy<br />
3. Dr. Laura Coroneo: Essays on modelling and forecasting financial time series. Co-supervision with<br />
Catherine Dehon. Defended: August 2009. Current (or first) job: Lecturer at the University of<br />
Manchester, UK<br />
4. Dr. Carlos Castro: Essays on credit risk and portfolio optimization. Defended: January 2010.<br />
Current (or first) job: Universidad del Rosario, Bogotá, Colombia<br />
Thesis supervision in progress<br />
1. Cristina Conflitti: Essays on the econometrics of survey data<br />
2. Yves Dominicy: Essays on multivariate stable distributions<br />
3. Charles Mathias: Essays on financial dynamic factor models. Co-supervisor Prof. Christophe Croux<br />
4. Lorenzo Ricci: Essays on Systemic Risk<br />
5. Thiago de Oliveira Souza: Essays on portfolio selection<br />
Member of Thesis Committees<br />
At the ULB:<br />
Dr. Maria Caterina Bramati (2005), Dr. Patrick Van Roy (2005), Dr. Oscar Bernal (2007), Dr.<br />
Delphine Cassart (2007), Dr. Antonello D’Agostino (2007), Dr. Hassane Njimi (2008), Dr.<br />
Hiroyuki Taniai (2009), Dr. David de Antonio Leido (2010), Dr. Francesca Monti (<strong>2011</strong>), Dr.<br />
Michele Mondugno (<strong>2011</strong>), Dr. Stephan Zeugner (<strong>2011</strong>).<br />
Outside:<br />
Dr. Pilar Soriano (University of Valencia, Spain, 2007)<br />
Dr. Cecilia Frale (University Tor Vergata, Italy, 2008)<br />
Dr. Maria Mansanet (University of Valencia, Spain, 2008)<br />
Dr. Anna Naszodi (Central European University, Hungary, 2008)<br />
Dr. Helina Laakonen (University of Helsinki, Finland, 2009)<br />
Dr. Lars Jul Overby (University of Copenhagen, Denmark, 2010)<br />
Dr. Josef Barunik (Charles University in Prague, Czech Republic, <strong>2011</strong>)<br />
Dr. Oscar Carnacho (University of Valencia, Spain, <strong>2011</strong>)<br />
Dr. Frederick Van Gysegem (University of Gent, <strong>2011</strong>)<br />
Teaching Experience<br />
Currently taught<br />
2004-... Université libre de Bruxelles<br />
Applied Econometrics (Several Masters in Economics)<br />
Graduate Econometrics I (Master in Quantitative Economics)<br />
Quantitative Financial Risk (Several Masters in Economics)<br />
Topics in Advanced Econometrics (Master in Quantitative Economics & Doctoral <strong>School</strong>)<br />
<strong>2011</strong> Cass Business <strong>School</strong>, London, UK<br />
Statistics for Finance (MSc in Finance and MSc in International Accounting and Finance)<br />
<strong>2011</strong> Duisenberg <strong>School</strong> of Finance - Amsterdam, The Netherlands<br />
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<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Older courses<br />
Financial Econometrics (LLM in Finance and Law, MSc in Finance and Law and MSc in<br />
Corporate Finance and Banking)<br />
2006-<strong>2011</strong> Paris IX – Dauphine, Paris, France<br />
Financial Time Series Models (Master in Finance)<br />
2009 City University (Department of Economics), London, UK<br />
Financial econometrics (Master in Finance)<br />
2009 Swiss Banking Institute - University of Zurich, Switzerland<br />
Simulation-based inference methods and their applications on fat-tailed and skewed asset<br />
returns distributions (Doctoral course)<br />
2007-2008 Ecomod Summer <strong>School</strong><br />
Modeling and forecasting economic time series with Eviews<br />
2007-2008 New Economic <strong>School</strong>, Moscow, Russia<br />
Empirical market microstructure (Master in Economics and Master in Finance)<br />
2003-2006 Paris I – Sorbonne, Paris, France<br />
Financial time series models (Master in Financial Markets)<br />
2003-2004 Tilburg University, The Netherlands<br />
Econometric methods (Master in Economics)<br />
Empirical market microstructure (Doctoral course)<br />
1998-1999 and 2000-2001 Université catholique de Louvain, Belgium<br />
Advanced econometrics (Teaching Assistant - Master in Economics)<br />
Teaching evaluations (last available)<br />
Microeconometrics: A (very satisfied)<br />
Financial time series: A (very satisfied)<br />
Graduate econometrics I: A (very satisfied)<br />
Modeling and forecasting economic time series with Eviews: 5 over 5<br />
Editorial and refereeing<br />
Associate Editor Spanish Economic Review, 2007-…<br />
Guest editor of<br />
1. Statistical Estimation of Portfolios for Dependent Returns (co-edited with Masanobu<br />
Taniguchi, Cathy W. S. Chen, Junichi Hirukawa, Hiroshi Shiraishi and Kenichiro Tamaki).<br />
Special issue for Advances in Decision Sciences, forthcoming<br />
2. Quantifying and understanding dysfunctions in financial markets (co-edited with Thomas Lux<br />
and Pablo Rovira). Special issue for Journal of Economic Dynamics and Control, forthcoming<br />
3. Latest developments in heavy-tailed distributions (co-edited with Marc Paolella, Eric Renault<br />
and Gennady Samorodnitsky). Special issue for Journal of Econometrics, forthcoming<br />
4. High frequency financial econometrics. Recent developments (co-edited with Luc Bauwens<br />
and Winfried Pohlmeier). Special issue for Empirical Economics, 30/4, 2005<br />
Referee (more than 100 times) for the Czech Science Foundation, Journal of Econometrics, Journal<br />
of Business and Economic Statistics, Journal of the American Statistical Association, Journal of<br />
Applied Econometrics, Journal of Financial Econometrics, Journal of the Royal Statistical Society B,<br />
Journal of Empirical Finance, Journal of Economics Dynamics and Control, Journal of Money, Credit,<br />
and Banking, The European Journal of Finance, Journal of Financial Markets, Journal of Time Series<br />
Econometrics, Econometric Review, European Central Bank, World Bank Economic Review,<br />
International Journal of Forecasting, Journal of Forecasting, Empirical Economics, Econometrics<br />
7
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Journal, Computational Statistics and Data Analysis, Quantitative Finance, Studies in Nonlinear<br />
Dynamics and Econometrics, International Statistical Review, Computational Statistics, Banco de<br />
España, The Financial Review, Statistics and Computing, Annals of Finance, Mathematics and<br />
Computers in Simulation, The Indian Journal of Statistics, Journal of the French Statistical<br />
Association, Scientiae Mathematicae Japonicae, Revista de Economía Financiera, Spanish Economic<br />
Review, Investigaciones Economicas, Springer Verlag Mathematics.<br />
Organization of seminars and conferences<br />
Seminars<br />
2004-... ECARES Econometrics and statistics seminar<br />
2005-... Local organizer of the quarterly KUL-ECORE Econometrics seminar<br />
Conferences<br />
1. Member of the program committee of the 2012 Annual Meeting of the European Financial<br />
Management Association, 27-30 June 2012, Barcelona, Spain.<br />
2. Member of the scientific program committee and organization of one session on the 5th<br />
International Conference on Computational and Financial Econometrics (CFE'11), 17-19 December<br />
<strong>2011</strong>, London, UK<br />
3. Member of the scientific program committee of the <strong>2011</strong> European Seminar on Bayesian<br />
Econometrics (ESOBE) The Interface of Macroeconomics, Finance and Forecasting. November 4-5<br />
<strong>2011</strong>, Louvain-la-Neuve, Belgium.<br />
4. Member of the scientific program committee of the CEQURA conference on Advances in Financial<br />
and Insurance Risk Management. <strong>September</strong> 19-21 <strong>2011</strong>, Munich, Germany.<br />
5. New Developments in Econometrics and Time Series. <strong>September</strong> 12-13 <strong>2011</strong>, <strong>Brussels</strong>, Belgium<br />
(with Holger Dette, Marc Hallin and Davy Paindaveine)<br />
6. Interdisciplinary workshop on Econometric and statistical modelling of multivariate time series.<br />
May 25-27 <strong>2011</strong>, Louvain-la-Neuve, Belgium (with Luc Bauwens, Christian Hafner, Johan Segers,<br />
Sébastien Van Bellegem and Rainer von Sachs)<br />
7. One-day Conference on Latest Developments in Financial Econometrics. March 4 <strong>2011</strong>, <strong>Brussels</strong>,<br />
Belgium<br />
8. Member of the scientific program committee and organization of two sessions on the 4th<br />
International Conference on Computational and Financial Econometrics (CFE'10), 10-12 December<br />
2010, London, UK<br />
9. First Dexia & SBS-EM workshop in Quantitative Finance. November 25 2010, <strong>Brussels</strong>, Belgium<br />
10. Quantifying and Understanding Dysfunctions in Financial Markets. October 15-16 2010,<br />
Leuven, Belgium (with Thomas Lux and Pablo Rovira)<br />
11. Latest Developments in Heavy-Tailed Distributions. March 26-27 2010, <strong>Brussels</strong>, Belgium<br />
(with Marc Paolella)<br />
12. Nonparametric Statistics and Time Series Models. Conference in honor of Marc Hallin. November<br />
27-28 2009, <strong>Brussels</strong>, Belgium (with Catherine Dehon, Gentiane Haesbroeck, Davy Paindaveine,<br />
Thomas Verdebout and Catherine Vermandele)<br />
13. Member of the scientific program committee and organization of one session on the 3rd<br />
International Conference on Computational and Financial Econometrics (CFE'09), 29-31 October<br />
2009, Limassol, Cyprus<br />
14. Fourth <strong>Brussels</strong>-Waseda Seminar and Time Series and Financial Statistics. June 21-23 2009.<br />
<strong>Brussels</strong>, Belgium (with Marc Hallin and Masanobu Taniguchi)<br />
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<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
15. Conference on International Macroeconomics and Finance. February 13-14 2009. <strong>Brussels</strong> (with<br />
Paul De Grauwe, Hans Dewachter, Robert Kollmann, Philippe Martin and Rafael Wouters)<br />
16. Third <strong>Brussels</strong>-Waseda Seminar and Time Series and Financial Statistics. November 3-4 2008.<br />
Izu, Japan (with Marc Hallin and Masanobu Taniguchi)<br />
17. Second <strong>Brussels</strong>-Waseda Seminar and Time Series and Financial Statistics. June 23-24 2008.<br />
<strong>Brussels</strong> (with Marc Hallin and Masanobu Taniguchi)<br />
18. Conference on International Adjustment. November 9-10 2007. <strong>Brussels</strong> (with Giancarlo<br />
Corsetti, Paul De Grauwe, Hans Dewachter, Robert Kollmann and Rafael Wouters)<br />
19. Econometrics of Microstructure of Financial Markets. April 23-24 2004. Tilburg University (with<br />
Bas Werker and Feico Drost)<br />
Presentations<br />
2012<br />
Seminars<br />
1. University of Manchester (February)<br />
2. University of Konstanz (February)<br />
Conferences<br />
3. Conference on Fat Tails, Copulas, Bad Economic Times and Rare Events – ENSAI, Rennes,<br />
France (January)<br />
<strong>2011</strong><br />
Seminars<br />
4. London <strong>School</strong> of Economics and Political Science (January)<br />
5. Tinbergen Institute (January)<br />
6. CREST (February)<br />
7. Cass Business <strong>School</strong> (March)<br />
8. University of Melbourne (April)<br />
9. Monash University (April)<br />
10. University of Tasmania (April)<br />
11. University of Technology Sydney (May)<br />
12. University of Sydney (May)<br />
13. University of New South Wales (May)<br />
14. Qeensland University of Technology Brisbane (May)<br />
15. Singapore Management University (May)<br />
16. National University of Singapore (May)<br />
17. Waseda University (December)<br />
Conferences<br />
18. One-day conference in latest developments in financial econometrics - ECARES, <strong>Brussels</strong>,<br />
Belgium (March)<br />
19. 7th International Symposium on Econometric Theory and Applications (SETA <strong>2011</strong>) - Monash<br />
University, Melbourne, Australia (April)<br />
20. Time series analysis and computational statistics (conference in honor of Guy Mélard) -<br />
Université libre de Bruxelles, <strong>Brussels</strong>, Belgium (June)<br />
21. 2nd Conference on Advances in Financial and Insurance Risk Management – CEQURA,<br />
University of Munich, Germany (<strong>September</strong>)<br />
22. 5th International Conference on Computational and Financial Econometrics" (CFE'11) -<br />
London, UK (December)<br />
23. International Symposium in Statistics and Financial Time Series – Wakayama, Japan<br />
(December)<br />
2010<br />
Seminars<br />
24. Waseda University (January)<br />
25. Rutgers University (April)<br />
26. New York University – Stern <strong>School</strong> of Business (May)<br />
27. Princeton University (May)<br />
28. Universidad del Rosario in Bogotá (August)<br />
29. Havard Club Ecuador (August)<br />
30. Universidad Andina Simón Bolívar in Quito (August)<br />
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<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
31. Weekly meetings of Analytica in Quito (August)<br />
32. Erasmus University Rotterdam (October)<br />
33. Joint statistics UCL-ULB seminar (October)<br />
34. Swiss Finance Institute - Lugano (November)<br />
Conferences<br />
35. Latest Developments in Heavy-Tailed Distributions - ECARES, <strong>Brussels</strong>, Belgium (March)<br />
36. Volatility and Systemic Risk - Stern Business <strong>School</strong>, New York University, New York, USA<br />
(April)<br />
37. Mathematical Finance Days - Institut de Finance Mathematique de Montreal, Canada (May)<br />
38. Western Finance Association (discussant) - Victoria, British Columbia, Canada (June)<br />
39. Time Series, Quantile Regression and Model Choice - University of Dortmund, Germany<br />
(<strong>September</strong>)<br />
40. Conference on Advances in Financial and Insurance Risk Management – CEQURA, University<br />
of Munich, Germany (<strong>September</strong>)<br />
41. 2nd HEC finance and statistics conference – HEC Paris, France (October)<br />
42. Conference on Quantifying and Understanding Dysfunctions in Financial Markets – Leuven,<br />
Belgium (October)<br />
43. XVIII Foro de Finanzas - Universidad CEU-Cardenal Herrera, Elche, Spain (November)<br />
44. First Dexia & SBS-EM workshop in Quantitative Finance – <strong>Brussels</strong>, Belgium (November)<br />
45. 4th International Conference on Computational and Financial Econometrics" (CFE'10) -<br />
London, UK (December)<br />
2009<br />
Seminars<br />
46. CREATES Aarhaus (March)<br />
47. Universidad de Alicante (June)<br />
48. Imperial College Business <strong>School</strong> (<strong>September</strong>)<br />
49. Queen Mary University of London (November)<br />
50. Waseda University (December)<br />
Conferences<br />
51. Humboldt-Copenhagen Conference 2009 on Recent Developments in Financial Econometrics -<br />
Berlin, Germany (March)<br />
52. 6th International Conference on Computational Management Science - Geneva, Switzerland<br />
(May)<br />
53. Conference in recent developments in time series - INSEE, Rennes, France (June)<br />
54. SITE summer workshop (segment 1) - Stanford, USA (June)<br />
55. FERC Conference on Individual Decision Making, High Frequency Econometrics and Limit<br />
Order Book Dynamics - Warwick, UK (<strong>September</strong>)<br />
56. 3rd International Conference on Computational and Financial Econometrics" (CFE'09) -<br />
Limassol, Cyprus (October)<br />
57. XVII Foro de Finanzas - IESE, Madrid, Spain (November)<br />
58. Statistical inference in multivariate models and time-series models - Kagoshima, Japan<br />
(December)<br />
2008<br />
Seminars<br />
59. Université libre de Bruxelles (April)<br />
60. Humbolt University (June)<br />
61. HEC Paris (October)<br />
Conferences<br />
62. Belgian Finance Research Forum - Gent, Belgium (May)<br />
63. 2nd <strong>Brussels</strong>-Waseda Workshop in Statistical Time Series and Finance - <strong>Brussels</strong>, Belgium<br />
(June)<br />
64. 2nd International Workshop on Computational and Financial Econometrics - Neuchatel,<br />
Switzerland (June)<br />
65. Factor Structures for Panel and Multivariate Time Series Data - Maastricht, The Netherlands<br />
(<strong>September</strong>)<br />
66. 5th Eurostat Colloquium on Tools for Business Cycle Analysis - Eurostat, Luxembourg<br />
(<strong>September</strong>)<br />
67. 3rd <strong>Brussels</strong>-Waseda Workshop in Time Series and Finance - Tokyo, Japan (November)<br />
68. XVI Foro de Finanzas - ESADE, Barcelona, Spain (November)<br />
69. Recent Developments in Statistics and Econometrics. In Honor of Hirotugu Akaike - Kyoto,<br />
Japan (November)<br />
2007<br />
10
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Seminars<br />
70. New Economic <strong>School</strong> of Moscow (February)<br />
71. Université libre de Bruxelles (May)<br />
Conferences<br />
72. International Workshop on Computational and Financial Econometrics - Geneva, Switzerland<br />
(April)<br />
73. 13th International Conference on Computing in Economics and Finance - Montreal, Canada<br />
(June)<br />
74. XV Foro de Finanzas - Islas Baleares, Spain (November)<br />
75. 1st <strong>Brussels</strong>-Waseda Workshop in Statistical Time Series and Finance - Hakone, Japan<br />
(November)<br />
2006<br />
Seminars<br />
76. University of Zurich (May)<br />
77. University of Copenhagen (October)<br />
78. CORE (October)<br />
Conferences<br />
79. ENTER Jamboree - Stockholm (January)<br />
80. Seasonal adjustment and implications in short-term forecasting - Eurostat, Luxembourg<br />
(May)<br />
81. MICFINMA Conference on High Frequency Finance - Konstanz, Germany (May)<br />
82. 26th International Symposium on Forecasting - Santander, Spain (June)<br />
83. Microstructure of Financial and Money Markets - Banque de France, Paris (June)<br />
84. High Frequency Econometrics And The Analysis of FX Markets - Warwick, UK (June)<br />
85. 14th Annual meeting of the Belgian Statistical Society - Houffalize, Belgium (October)<br />
86. XIV Foro de Finanzas - Castellon, Spain (November)<br />
87. EC² Conference - Erasmus University, Rotterdam, The Netherlands (December)<br />
2005<br />
Seminars<br />
88. ECORE (October)<br />
Conferences<br />
89. MICFINMA Workshop - Madrid, Spain (<strong>September</strong>)<br />
90. Heavy tails and Paretian distributions in finance and macroeconomics - Bundesbank, Eltville,<br />
Germany (November)<br />
2004<br />
Seminars<br />
91. Université libre de Bruxelles (June)<br />
92. Université catholique de Louvain (June)<br />
93. Université libre de Bruxelles (October)<br />
94. University Carlos III de Madrid (June)<br />
95. DG ECFIN European Commission (June)<br />
96. Tilburg University (June)<br />
97. Katholieke Universiteit Leuven (October)<br />
98. University of Maastricht (November)<br />
99. University of Technology Munich (December)<br />
100. European Central Bank (December)<br />
Conferences<br />
101. Young Leuven Financial Research Day - Leuven, Belgium (April)<br />
102. Workshop on Automated Auction Markets - Namur, Belgium (May)<br />
103. Forecasting Financial Markets and Economic Decision Making - Lodz, Poland (May)<br />
104. MICFINMA Summer <strong>School</strong> - Konstanz, Germany (July)<br />
105. ESEM - Madrid, Spain (August)<br />
2003<br />
Seminars<br />
106. Tilburg University (April)<br />
Conferences<br />
107. centrA workshop: Forecasting Public Finances - Sevilla, Spain (October)<br />
108. MICFINMA Workshop - Louvain-la-Neuve, Belgium (April)<br />
2002<br />
11
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Seminars<br />
109. Instituto Tecnológico Autónomo de Mexico - ITAM (March)<br />
2001<br />
Seminars<br />
110. CORE (December)<br />
Conferences<br />
111. PAI Conference on Financial Econometrics - Leuven, Belgium (January)<br />
112. EDP Jamboree - Louvain-la-Neuve, Belgium (April)<br />
113. York's annual one day meeting in Econometrics - York, UK (June)<br />
114. ESEM - Laussane, Switzerland (August)<br />
115. Conference on Microstructure and High-Frequency in Finance - Aarhaus, Denmark (August)<br />
116. LACEA meeting - Montevideo, Uruguay (October)<br />
2000<br />
Seminars<br />
117. University Islas Baleares (November)<br />
118. CORE (October)<br />
Conferences<br />
119. EDP Jamboree - Bonn, Germany (April)<br />
120. Seasonality in Economic and Financial Variables - Algarve, Portugal (October)<br />
1999<br />
Seminars<br />
121. Institut de statistique (<strong>September</strong>)<br />
Conferences<br />
122. ESEM - Santiago de Compostela, Spain (August)<br />
123. EC² Conference - Universidad Carlos III de Madrid, Spain (December)<br />
Research contracts and funds<br />
Shadow local supervisor of a PAI grant (grant of the Belgian Science Foundation) 2007-<strong>2011</strong><br />
(400,000€)<br />
Dexia Bank donation 2007-<strong>2011</strong> (205,000€)<br />
Grant for starting an academic spin-off 2010-<strong>2011</strong> (140,000€)<br />
Sponsoring from the National Bank of Belgium for Modeling vast panels of volatilities, 2010 (3,450€)<br />
Sponsoring from the National Bank of Belgium for Studies on informational-driven volatility, 2007<br />
(13,700€)<br />
Sponsoring from the National Bank of Belgium for Exploiting the information content in a limit order<br />
book, 2005 (15,525€)<br />
Funds from the International Relations Department of the Université libre de Bruxelles, 2010<br />
(10,000€)<br />
Sponsoring from the Academie Universitaire Wallonie-Bruxelles for the organization of Doctoral<br />
courses 2008-2009 (6,000€)<br />
Chaire Waseda at the Université libre de Bruxelles March 2010 (3,000€)<br />
Academic service<br />
2010-… Director of the Financial Econometrics group (9 members: 2 Prof., 2 post-docs and 5 PhD)<br />
2009-... Member of the ECORE executive committee<br />
2007-... Responsible for admissions of the Master in Quantitative Economics at the ULB<br />
2005-2009 Co-director of the ECARES doctoral school<br />
12
<strong>CV</strong>-David Veredas <strong>September</strong> <strong>2011</strong><br />
Professional membership<br />
Founding member of The Society for Financial Econometrics (SoFiE)<br />
Econometric Society<br />
Euro Area Business Cycle Network<br />
Industry service<br />
2008-... Member of the Academic Board of the <strong>Brussels</strong> Finance Institute<br />
2010-… Scientific Director of the consulting firm QuanTaurus<br />
Awards<br />
Best article in equity presented at the 2007 Spanish Finance Association meeting: Measuring quote<br />
quality (with Roberto Pascual).<br />
Languages<br />
Spanish (mother tongue)<br />
English and French (fluent all levels)<br />
Italian (low)<br />
13