Prof. Dr. Roxana Halbleib
Head of the Chair of Statistics and Econometrics
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Prof. Dr. Roxana Halbleib (née Chiriac) studied Economics at the "Alexandru Ioan Cuza" University of Iasi, Romania, and at University of Konstanz. After obtaining her doctoral degree in Econometrics in 2010 from the University of Konstanz, she went to the Université libre de Bruxelles in Belgium for a one-year post-doc. Between 2011 and 2020, she was post-doc researcher at the Chair of Economics and Econometrics at the University of Konstanz. Moreover, between 2011 and 2016, she was Margarete von Wrangell Research Fellow and between 2013 and 2019, Zukunftskolleg Fellow at the University of Konstanz. Her research interests are at the junction between econometrics, data science, finance and computational statistics. For her research results, in 2017, she was awarded with the Wolfgang-Wetzel-Award of the German Statistical Society. Starting with 2019 she has been admitted in the Heisenberg Programme of the German Science Foundation. Since May 1, 2020 she is W3-Professor of Statistics and Econometrics at the University of Freiburg. |
Contact
Mailing address:
Chair of Statistics and Econometrics
Institute of Economics
University of Freiburg
79085 Freiburg
Germany
Visitors:
Chair of Statistics and Econometrics
Institute of Economics
University of Freiburg
Rempartstr. 16
Office: 01020
79098 Freiburg
Germany
Email: roxana.dumdummymyhalbleib@vwl.uni-dudummymmyfreiburg.de
Phone: +49 761 203-2332
Office hours:
- by appointment
- 8 slots of 15 minutes each
- Online via BigBlueButton (BBB) or in presence
- Please contact Ms Hupfer (conny.hupfer@vwl.uni-freiburg.de) until Wednesday 4pm (before the desired appointment) to book one or more slots and specify what you prefer: BBB or presence.
Research Interests
- Financial Econometrics
- Risk Estimation and Forecasting
- Intrinsic Time / Stochastic Subordinated Processes
- (Ultra) High Frequency Data
- High Dimensional Data Analysis
- Simulation-based Estimation Methods
Peer-reviewed Publications
- Dimitriadis T. and Halbleib, R., "Realized Quantiles", 2021, published online, Journal of Business & Economic, Statistics, Volume 40, Issue 3, pages 1346-1361, https://doi.org/10.1080/07350015.2021.1929249
- Calzolari, G., Halbleib, R., and Zagidullina, A., "A Latent Factor Model for Forecasting Realized Variances", 2021, Journal of Financial Econometrics, Volume 19, Issue 5, pages 860–909
- Calzolari, G. and Halbleib, R."Estimating Stable Latent Factor Models by Indirect Inference", 2018, Journal of Econometrics, Volume 205, Issue 1, pages 280-301
- Halbleib, R. and Voev, V.,"Forecasting Covariance Matrices: A Mixed Approach", 2016, Journal of Financial Econometrics, Volume 4, Issue 2, pages 383-417
- Calzolari, G., Halbleib, R. and Parrini, A., "Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood", 2014, Computational Statistics and Data Analysis, Volume 76, pages 158-171
- Halbleib, R. and Pohlmeier, W., "Improving the Value at Risk Forecasts: Theory and Evidence from the Financial Crisis"***, 2012, Journal of Economic Dynamics and Control, Volume 36, Issue 8, Pages 1212-1228
- Chiriac, R. and Voev, V., "Modelling and Forecasting Multivariate Realized Volatility", 2011, Journal of Applied Econometrics, Volume 26, pages 922-947
- Halbleib, R. and Voev, V., "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors",2011, Journal of Economics and Statistics (Jahrbücher für Nationalökonomie und Statistik), Vol. 231/1, pages 134-152
Other Publications
- Halbleib, R., "Messen und Verstehen von Finanzrisiken - Eine Perspektive der Ökonometrie", 2017, Springer, in Messen und Verstehen in der Wissenschaft – Interdisziplinäre Ansätze, Springer Verlag, pages 135-149
Edited Books
- Schweiker, M., Hass, J., Halbleib, R. and Novokhatko, A., "Messen und Verstehen in der Wissenschaft", 2017, Springer
Working Papers
- Dimitriadis, T., Halbleib, R. and Streicher, S., "Estimating Realized Variance: An Intrinsic Time Approach", 2022
- Calzolari, G., Halbleib, R. and Mücher, C., "Sequential Estimation of Multivariate Factor Stochastic Volatility Models", 2021
- Calzolari, G. and Halbleib, R., "Modelling Realized Covariance Matrices with Stochastic Volatility Latent Factors: Filter, Likelihood, Forecast", 2021
Projects
- DFG Heisenberg Programwith the project "Econometric Analysis and Forecasts of Financial Risks based on High-frequency data" (Link)
- Heidelberger Akademie der Wissenschaften, WIN-Kolleg - Junior Academy for Young Scholars and Scientists with the topic "Messen und Verstehen der Welt durch die Wissenschaft": Analyzing, Measuring and Forecasting Financial Risks by means of High-Frequency Data
Teaching
- Winter term 2023/2024:
- Summer term 2023:
- Winter term 2022/2023:
- Ökonometrie
- Financial Econometrics
- Seminar: Advances in Empirical Finance
- Seminar: Econometric Research
- Summer term 2022:
- Winter term 2021/2022: