Centers of Interest
Robust statistics.
Small sample techniques.
Simulation-based method (particle filters and indirect inference).
Financial econometrics.
Veronika Czellar received a Ph.D. in Econometrics and Statistics from University of Geneva in 2006.
She was Visiting Scholar in the Fisher College of Business at the Ohio State University and the Departments of Economics and Statistics at University of Washington. She taught statistics courses at University of Washington.
Her research interests are in the areas of simulation-based estimation and inference (indirect inference, efficient method of moments), robust statistics, small sample techniques and modeling and forecasting interest rate behaviour.
Articles:
"Accurate and Robust Tests for Indirect Inference", Biometrika, September 2010, vol. 97, n° 3, pp. 621-630 (in coll. with E. Ronchetti).
"Indirect robust estimation of the short-term interest rate process", Journal of Empirical Finance, September 2007, vol. 14, n° 4, pp. 546-563 (in coll. with G. Andrew Karolyi, Elvezio Ronchetti).
Working papers:
"State-Observation Sampling and the Econometrics of Learning Models", Cahier de Recherche du Groupe HEC, n° 947/2011 (in coll. with L. Calvet).
"Efficient Estimation of Learning Models", Mimeo, 2010 (in coll. with L. Calvet).
"Improved Small Sample Inference for Efficient Method of Moments and Indirect Inference Estimators", Mimeo, 2009 (in coll. with E. Zivot).
"Accurate and Robust Indirect Inference for Diffusion Models", Cahiers du département d'Econométrie, Université de Genève, n° 2008.01/2008 (in coll. with E. Ronchetti).
Date of arrival at HEC Paris: 2007
Centers of interest
Robust statistics.
Small sample techniques.
Simulation-based method (particle filters and indirect inference).
Financial econometrics.
Research and publications
Articles:
"Accurate and Robust Tests for Indirect Inference", Biometrika, September 2010, vol. 97, n° 3, pp. 621-630 (in coll. with E. Ronchetti).
"Indirect robust estimation of the short-term interest rate process", Journal of Empirical Finance, September 2007, vol. 14, n° 4, pp. 546-563 (in coll. with G. Andrew Karolyi, Elvezio Ronchetti).
Working papers:
"State-Observation Sampling and the Econometrics of Learning Models", Cahier de Recherche du Groupe HEC, n° 947/2011 (in coll. with L. Calvet).
"Efficient Estimation of Learning Models", Mimeo, 2010 (in coll. with L. Calvet).
"Improved Small Sample Inference for Efficient Method of Moments and Indirect Inference Estimators", Mimeo, 2009 (in coll. with E. Zivot).
"Accurate and Robust Indirect Inference for Diffusion Models", Cahiers du département d'Econométrie, Université de Genève, n° 2008.01/2008 (in coll. with E. Ronchetti).
Main courses taught at HEC
Financial Econometrics, Master of Quantitative Economics and Finance (jointly with Laurent Calvet)
Statistics, Master of Science in Management
Statistics for Management, Ph.D. Course
CURSUS
2006 Ph.D in Econometrics and Statistics, University of Geneva, Suisse.
2002 Master degree in Econometrics, University of Geneva, Suisse.
2000 Bachelor degree in Mathematics, minor in Economics and Finance, University of Geneva, Suisse.
Langues : hongrois, français, anglais, russe.
Other academic activities
External academic responsibility:
Teaching Assistant, Université de Genève, 2000-2006.
(Summer) Instructor, Department of Statistics, University of Washington, 2007-0.
Winter 2008, Visiting Scholar, Departments of Economics and Statistics, University of Washington, 2006-2007.
Visiting Scholar, Department of Finance, Fisher College of Business, The Ohio State University, 2003-2004.
Scientific activities
Membership of scientific or professional organisation:
Member, Econometric Society.
Member, American Statistical Association.
Member, International Society for Business and Industrial Statistics.
Editorial activities:
Reviewer, Journal of Applied Econometrics, Journal of Empirical Finance, Journal of Multivariate Analysis, Journal of the Royal Statistical Society B.
Meeting organisation:
Second HEC Finance and Statistics' conference organizer, October 8 2010, Pavillon Gabriel, Paris (France).
Organizer, Summer School "Stats in the Château", château CRC, HEC Paris.
Organizer, "Econometrics and Statistics Seminar", HEC Paris.
Honor distinction:
2010 Prix y-BIS 2010 du Meilleur Papier décerné par l'American Statistical Association et le National Institute of Statistical Sciences.
