Curriculum Vitae

CONTACT INFORMATION

Department of Statistics                                                   

Universidad Carlos III de Madrid                                       

28903 Getafe (Madrid), Spain

Tel: +34 91 624 8902

Email: mhveiga@est-econ.uc3m.es

EDUCATION

· Acreditación de Profesor Titular de Universidad en Fundamentos del Análisis Económico (2011).

· Universitat Autònoma de Barcelona (Spain). PhD in Economics (2004). Field: Financial Econometrics.

· Universitat Pompeu Fabra (Spain). Master of Science in Economics (1999).

· Instituto Superior de Economia e Gestão da Universidade Técnica de Lisboa (Portugal). Master in Mathematics Applied to Economics and Management (1997).

· Universidade Nova de Lisboa (Portugal). B.A. in Economics (1994).

· Técnico Oficial de Contas-T.O.C. (1994).

RESEARCH INTERESTS

· Financial Econometrics, Econometrics, Time Series, Empirical Finance.

ACADEMIC AND RESEARCH POSITIONS

· Associate Professor (with tenure), Department of Statistics, Universidad Carlos III de Madrid, July 2012-present.

· (Associated) Researcher of the Finance Research Center, ISCTE (Instituto Superior de Ciências do Trabalho e da Empresa), Lisbon, Portugal, October 2008-present.

· Assistant Professor, Department of Statistics, Universidad Carlos III de Madrid, 2004-July 2012.

· Assistant Professor, Faculty of Economics, Universidade do Porto,  May 2004- September 2004.

· Teaching Assistant (Senior), Faculty of Economics, Universidade do Porto, March 1997- May 2004.

· Teaching Assistant (Junior), Faculty of Economics, Universidade do Porto, October 1995- March 1997.

PUBLICATIONS

Peer Reviewed Publications

1. Sazonalidade Estocástica não Estacionária: Alguma Evidência Empírica para a Economia Portuguesa (Non-Stationary Stochastic Seasonality: Some Evidence for the Portuguese Economy), (joint with Artur Silva Lopes) Economia vol. XXIII, 1-25, 1999.

2. Are Feedback Factors Important in Modeling Financial Data?, International Review of Finance, 7:3-4,105-118, 2007.

3. Modelling Long Memory Volatilities with Leverage Effect: A-LMSV versus FIEGARCH” (joint with Esther Ruiz), Computational Statistics and Data Analysis, 52 (6), 2846-2862, 2008.

4. Accurate minimum capital risk requirements: A comparison of several approaches (joint with Aurea Grané), Journal of Banking and Finance, 32, 2482-2492, 2008.

5. Price Manipulation in an Experimental Asset Market” (joint with Marc Vorsatz), European Economic Review, 53, 327-342, 2009.

6. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect” (joint with Ana Pérez and Esther Ruiz), Computational Statistics and Data Analysis, 53, 3593-3600, 2009.

7. Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models, Economics Bulletin, 29, 265-276, 2009. Comment to the previous paper, Economics Bulletin, 29, 2730-2731, 2009.

8. Wavelet-based Detection of Outliers in Financial Time Series (joint with Aurea Grané), Computational Statistics and Data Analysis, 54, 2580-2593, 2010.

9. Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator (joint with Marc Vorsatz), Experimental Economics, 13, 379-398, 2010.

10. Risk Factors in Oil and Gas Industry Returns: International Evidence (joint with Sofia Ramos), Energy Economics, 33, 525-542, 2011.

11. Asymmetry, realised volatility and stock return risk estimates (joint with Aurea Grané), Portuguese Economic Journal, 11, 147-164, 2012.

12. Oil price asymmetric effects: Answering the puzzle in international stock markets (joint with Sofia Ramos), Energy Economics, 38, 136-145, 2013.

13. Bayesian estimation of inefficiency heterogeneity in stochastic frontier models (joint with Jorge Galán and Michael Wiper), Journal of Productivity Analysis, 42 (1), 85-101, 2014.

14. Outliers, GARCH-type models and risk measures: A comparison of several approaches (joint with Aurea Grané), Journal of Empirical Finance, 26, 26-40, 2014.

15. Dynamic Effects in Inefficiency: Evidence from the Colombian Banking Sector (joint with Jorge Galán and Michael Wiper), European Journal of Operational Research, 20(2), 562-571, 2015.

16. Correlations between oil and stock markets: A wavelet-based approach (joint with Belén Martín-Barragán and Sofia Ramos), Economic Modelling, 50, 212-227, 2015.

17. A robust closed-form estimator for the GARCH(1,1) model  (joint with Natalia Bahamonde), Journal of Statistical Computation and Simulation, 86(8), 2016.

18. Do investors price industry risk? Evidence from the cross-section of the oil industry (joint with Sofia Ramos, Abderrahim Taamouti and Chih-Wei Wang), Journal of Energy Markets, 10(1), 79-108, 2017.

19. Threshold Stochastic Volatility: properties and Forecasting” (joint with Xiuping Mao and Esther Ruiz), International Journal of Forecasting, 33(4), 1105-1123, 2017.

20. Uncertainty and forecasts of ARMA models: Comparison of asymptotic, Bayesian and bootstrap procedures (joint with João Mazzeu and Esther Ruiz), Journal of Economic Surveys, 32(2), 388-419, 2018.

21. Efficiency evaluation of hotel chains: A Spanish case study (joint with Yaguo Deng and Michael Wiper), SERIEs, 10(2), 115-139, 2019.

22. Modelling and forecasting the oil volatility index (joint with João Mazzeu and Massimo Mariti), Journal of Forecasting, 38(8), 773-787, 2019.

23. Detecting outliers in multivariate volatility models: A wavelet procedure (joint with Aurea Grané and Belén Martín-Barragán), SORT, 43(2), 289-316, 2019.

24. Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation (joint with Xiuping Mao, Esther Ruiz and Veronika Czellar), Econometrics and Statistics, 13, 84-105, 2020.

25. Limited attention, salience of information and stock market activity (joint with Sofia Ramos and P. Latoeiro), Economic Modelling, 87, 92-108, 2020.

26. A Bootstrap approach for Generalized Autocontour Testing. Implications for VIX forecast densities (joint with João G. Mazzeu, Gloria González-Rivera and Esther Ruiz), Econometric Reviews, 39(10), 971-990, 2020.

27. Data cloning estimation for asymmetric stochastic volatility models (joint with Patricia Bermudez and Juan M. Marín), Econometric Reviews, 39(10), 1057-1074, 2020.

28. Exploring option pricing and hedging via volatility asymmetry (joint with Isabel Casas), Computational Economics, 57, 1015-1039, 2021.

29. Integrated nested Laplace approximations for threshold stochastic volatility models (joint with Patricia Bermudez, Juan M. Marín and Hårvard Rue), Econometrics and Statistics, forthcoming.

Other Contributions

1. Intended manipulations in an experimental asset market with short-selling (joint with Marc Vorsatz), Medium for Econometric Applications, 16 (3), 8-13, 2008. This is an invited publication by the Erasmus University of Rotterdam.

2. Modelos de volatilidad estocástica: una alternativa atractiva y factible para modelizar la evolución de la volatilidad (joint with Esther Ruiz), Anales de Estudios Económicos y Empresariales, vol XVIII, 1-59, 2008.  This is an invited publication by the University of Valladolid.

Books

The Interrelationship between Financial and Energy Markets” (joint with Sofia Ramos), Lecture Notes in Energy, Springer, 2014. ISBN 978-3-642-55381-3.

Book (Chapters) and Proceedings

1. Outliers and the estimation of minimum capital risk requirements (joint with A. Grané). In Investigaciones en Seguros y Gestión de Riesgos, Heras, A., Vilar, J.L., Guillén, M. (Eds.), Fundación MAPFRE, 2009. (ISBN 978-84-9844-158-1).

2. Outliers in GARCH models and the estimation of risk measures (joint with A. Grané). In 2010 JSM Proceedings. Statistics: A Key to Innovation in a Data-Centric World. The American Statistical Association (Eds.) (ISBN 978-0-9791747-9.7).

3. The puzzle of asymmetric effects of oil: New results from international stock markets (joint with S. Ramos). In 2011 8^th International Conference on the European Energy Market. ISBN: 978-1-61284-286-8/11, IEEE catalog number CFP1152D.

4. Outliers in multivariate GARCH models (joint with A. Grané and B. Martín-Barragán). In  Proceedings of the 7^th Workshop on Simulation. Springer, forthcoming.

5. Risk Factors in the Oil Industry: An Upstream and Downstream Analysis, (joint with Sofia Ramos and Chih-Wei Wang). In The Interrelationship Between Financial and Energy Markets, Springer, 2014.

WORKING PAPERS

· A Comment on “Parametric and Semiparametric Estimation of Sample Selection Models: An Empirical Application to the Female Labour Force in Portugal” [by M. Martins (2001)], Universitat Autònoma de Barcelona, WP 636.05 (joint with R. Veszteg and D. Coelho).

· A Two Factor Long Memory Stochastic Volatility Model (joint with Xiuping Mao), Universidad Carlos III de Madrid, WP 06-13(03).

· The Effect of Short-Selling on the Aggregation of Information in an Experimental Asset Market (joint with Marc Vorsatz), Universidad Carlos III de Madrid, WP 08-38(08).

· Forecasting volatility: Does continuous time do better than discrete time? (joint with Carles Bretó), Universidad Carlos III de Madrid, WP 11-25.

· Score driven asymmetric stochastic volatility models (joint with Xiuping Mao and Esther Ruiz), Universidad Carlos III de Madrid, WP 142618.

· An analysis of the dynamics of efficiency of mutual funds (joint with Jorge Galán and Sofia Ramos), Universidad Carlos III de Madrid, WP 15-17.

· Reexaming financial and economic predictability with new estimators of realized variance and variance risk premium (joint Isabel Casas and Xiuping Mao), CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.

· Quantile Consumption-Capital Asset Pricing Model (joint with Sofia Ramos, Abderrahim Taamouti and Chih-Wei Wang), Statistics and Econometrics, WP20-1.

· Valuation in the energy sector: Fundamentals or bubbles? (joint with Sofia Ramos and I-Chuan Huang), Statistics and Econometrics, WP 2020-08.

· Contagion in sequential financial markets: An experimental analysis (joint with Ronald Peeters and Marc Vorstaz), Statistics and Econometrics, WP 2020-09.

TEACHING EXPERIENCE

Associate Professor

1. Econometrics (B.A in Finance and Accounting) at Universidad Carlos III de Madrid (2nd semester). Spain.

2. Econometrics (Master/PhD in Business Administration and Quantitative Methods) at Universidad Carlos III de Madrid (3^rd Term). Spain.

3. Advanced Financial Statistics (Master in Finance) at Universidad Carlos III de Madrid (4^th Term). Spain.

4. Seminar “Minimum Capital Risk Requirements: A comparison of several approaches” (Master en Técnicas Cuantitativas para el Sector Asegurador) at Universidad Carlos III de Madrid (3^rd Term). Spain.

5. Dynamic Models and Prediction (Master Big Data Analytics) at Universidad Carlos III de Madrid (3^th Term). Spain.

6. Quantitative Methods II (Master/PhD in Business and Finance) at Universidad Carlos III de Madrid (3^th Term). Spain.

7. Statistics II (Master/PhD in Social Sciences) at Universidad Carlos III de Madrid (3^th Term). Spain

Assistant Professor

1. Econometrics for Finance (Master in Statistical Methods for Business and Economics) at the Faculty of Economics, Skopje (October 2008). Republic of Macedonia.

2. Introduction to Economics (first year undergraduate) at Oporto Faculty of Economics (Spring 2004). Portugal.

3. Forecasting Methods (fifth year undergraduate) at Oporto Faculty of Economics (Spring 2004). Portugal.

4. Econometrics I (last year undergraduate) at Universidad Carlos III de Madrid (Falls 2004, 2005, 2006, 2007, 2008 and 2009). Spain.

5. Introduction to Statistics (first year undergraduate) at Universidad Carlos III de Madrid (Spring 2005). Spain.

6. Econometrics II (last year undergraduate) at Universidad Carlos III de Madrid (Spring 2006, 2007, 2008 and 2009). Spain.

7. Econometrics (Master/PhD in Business Administration and Quantitative Methods) at Universidad Carlos III de Madrid (3^rd Term 2008/2009, 2009/2010, 2010/2011, 2011/2012). Spain.

8. Econometrics (B.A in Finance and Accounting) at Universidad Carlos III de Madrid (2nd semester). Spain.

9. Advanced Financial Statistics (Master in Finance) at Universidad Carlos III de Madrid (2nd semester). Spain.

CONFERENCES AND SEMINAR PRESENTATIONS

· Seminar online at ITAM, April 2021 (Ciudad Mexico, Mexico), Seminar at Otago Business School, October 2019 (Dunedin, New Zealand), SOFiE, June 2019 (Shanghai, presentation), Seminar NIPE, June 2019 (Braga, Portugal),Workshop MEFiTs, June 2019 (Madrid, organization), CFE, December 2018 (Pisa, organized session and presentation), Workshop in Time Series and Econometrics, April 2018 (Zaragoza, presentation), MAF2018, April 2018 (Madrid, organized session and presentation), CFE, December 2017 (London, organized session and presentation), CFE, December 2016 (Seville, organized sessions and presentation), Energy and Commodity Finance, June 2016 (Paris-France), Bayesian Econometrics workshop, June 2016 (Organization and scientific committee, UC3M), CFE, December 2015 (London, organized session), International Symposium of Forecasting (Riverside-US, organized session), Workshop on Commodity Markets, May 2015 (Oslo-Norway, invited), CFE, December 2014 (Pisa-Italy, organized session), Seminar at University of Southern Denmark, December 2014 (Odense-Denmark), Seminar at Universidad Pública de Navarra (Department of Economics), November 2014 (Pamplona-Spain), Seminar at Universidad Pública de Navarra (Department of Business), September 2014 (Pamplona-Spain), CFE, December 2013 (Londres-UK, organized session), First Meeting on Time Series Modelling and Computation, July 2013 (Madrid-Spain), CFE, December 2012 (Oviedo-Spain, organized session and contribution), Fancesc Marmol Lecture (invited lecture), October 2012 (UAB-Barcelona), Energy Finance, October 2012 (Trondheim-Norway), ERCIM-CFE, December 2011 (London-UK), Seminar at Universidad Salamanca (Spain), September 2011, CFE 2011 (San Francisco-USA), June-July 2011, EEM11 (Zagreb-Croatia), May 2011, Simposio de la Asociación Española de Economía (Madrid-Spain), December 2010, ERCIM-CFE (London-UK), December 2010, Joint Statistical Meetings (Vancouver-Canada), July-August 2010, Computational Economics and Finance (London-UK), July 2010, Seminar at ISEG-CEMAPRE (Portugal), May 2010, Riesgo2009 (Madrid-Spain), June 2009, European Regional Meeting of the International Society for Business and Industrial Statistics (Cagliari-Italy), June 2009. Invited session, Seminar at Universidad Complutense (Spain), May 2009, 2^nd Meeting of the Portuguese Economic Journal (Évora-Portugal), July 2008, Poster presentation at International Workshop on Statistical Modelling (BCN-Spain), July 2007, Seminar at Universitat de Barcelona (Spain), April 2007, Seminar at Universitat d’Alacant (Spain), February 2007, XXXI Simposio de Análisis Económico (Spain), December 2006, 26th International Symposium of Forecasting (Spain), June 2006, Seminar at Maastricht University (Netherlands), January 2006, 25th International Symposium of Forecasting (USA), June 2005, Seminar at Universidad Complutense (Spain), June 2005, XXIX Simposio de Análisis Económico in Pamplona (Spain), December 2004, Seminar at Universidad Carlos III de Madrid (Spain), April 2004, Presentation at Utrecht University (Netherlands), April 2004, 9^th Anniversary of the Finance Meeting Conference (Portugal), March 2004, Seminar at Birkbeck College (UK), February 2004, Seminar at HEC Montréal (Canada), February 2004, Seminar at Universidad Pública de Navarra (Spain), January 2004, XXVIII Simposio de Análisis Económico in Sevilla (Spain), December 2003, ESEM Conference, Stockholm (Sweden), August 2003, Macroeconomic and Econometrics Seminar at Universitat Autònoma de Barcelona (Spain), May 2003, Econometrics Seminar at Duke University (USA), April 2003, 10^th ENTER Jamboree at Tilburg University (Holland), January 2003, XXVII Simposio de Análisis Económico in Salamanca (Spain), December 2002, CEMAPRE Conference in Lisbon (Portugal), June 1997.

EDITORIAL ACTIVITIES

· TOPIC Editor of the Journal of Risk and Financial Management.

FELLOWSHIPS, AWARDS AND RESEARCH PROJECTS

· Unisys Prize for the highest mark in the subjects Operational Research and Optimization – Universidade Nova de Lisboa (Portugal), 1994.

· Doctoral Fellowship, PRAXIS XXI, Fundaçäo para a Ciência e Tecnologia, 1999-2002.

· Research Project UC3M-ECO-05-013. Principal Researcher: Antoni Espasa. Period 2005-2006.

· Research Project SEJ2006-03919, Ministerio de Educación y Ciencia. Principal Researcher: Esther Ruiz. Period 2007-2009.

· Research Project S2007-HUM-0413, Dirección General de Universidades de La comunidad de Madrid. Principal Researcher: Daniel Peña. Period 2008-2011.

· European Research Project EU-FP7-SSH-2007-1-Grant Agreetment no. 217565.

· Research Project ECO2009-08100, Ministerio de Educación y Ciencia. Principal Researcher: Esther Ruiz. Period 2010-2012.

· Research Project MTM2009-13985-C02-01, Ministerio de Educación y Ciencia. Principal Researcher: Pedro Delicado. Period 2010.

· Member of the Institute Flores de Lemus since 2009- .

· Research Project MTM2010-17323, Ministerio de Educación y Ciencia. Principal Researcher: Aurea Grané. Period 2011-2013.

· Research Project CCG10-UAM/ESP-5494, Dirección General de Universidades de la Comunidad Autónoma de Madrid. Principal Researcher: José R. Berrendero. Period 2011.

· Research Project ECO2012-32401, Ministerio de Ciencia e Innovación. Principal Researcher: Esther Ruiz. Period 2013-2015.

· Research Grant  Campus de Excelencia Internacional Iberus. Period September-November 2014.

· Research Project ECO2015-70331-C2-2-R, Ministerio de Economía y Competitividad. Principal Researcher: Esther Ruiz. Period 2016-2019.

· Research Project ECO2015-65701-P, Ministerio de Economía y Competitividad. Principal Researcher: Marc Vorsatz. Period 2016-2018.

· Research Project PGC2018-096977-B-l00, Ministerio de Ciencia, Innovación y Universidades. Principal Researcher: Marc Vorsatz. Period 2019-2021.

· Research Grant Salvador de Madariaga. Period February-July 2020.

· Research Project La Caixa on experimental research. Principal Researcher: Helena Veiga. Period 2020.

· Research Project PID2019-108079GB-C21/AIE/10.13039/501100011033. Principal Researcher: Esther Ruiz. Period 2020-2022.

RESEARCH VISITS

1. Department of Economics, Duke University, US, April 2003.

2. Department of Economics, Université Montreal, Canada, October-November 2009.

3. Institute of Statistics, Pontificia Universidad Católica de Valparaíso, 1 week, January 2013.

4. Department of Business, Universidad Pública de Pamplona, 12 weeks, September-November 2014.

5. Department of Finance, Essec Business School, 4 days, September 2015.

6. BCAM, Bilbao, 3 days, June-July 2016.

7. Department of Finance, Essec Business School, 10 days, October 2017.

8. Department of Finance, Essec Business School, 8 days, September 2018.

9. Department of Statistics, Faculdade de Ciências, UL, 8 days, October 2018.

10. Department of Economics and Business, University of Odense, 10 days, December, 2018.

11. Department of Economics, Otago Business School, Dunedin, New Zealand, 28 days, September-October, 2019.

12. Department of Economics and Business, University of Odense, 10 days, December, 2019.

13. Department of Finance, Essec Business School, 6 months, February-July, 2020.

REFEREE ACTIVITIES

· Investigaciones Económicas, Communications in Statistics, Computational Statistics and Data Analysis, Journal of Applied Econometrics, Applied Stochastic Models in Business and Industry, Journal of Economics and International Finance, Emerging Markets Finance and Trade, Environmental Modelling & Software, Journal of Economics and Business, Boletín de Estadística e Investigación Operativa (BEIO), International Journal of Human-Computer Studies, European Journal of Operational Research, Studies in Nonlinear Dynamics and Econometrics, European Journal of Finance, Portuguese Economic Journal, Journal of Banking and Finance, Energy Economics, International Journal of Forecasting, Economic Modelling.

THESIS SUPERVISION

· Master thesis “Macroeconomic Convergence of Balkan Countries to the Euro Zone. Evidence from a Threshold SUR Approach”. Magdalena Petrovska. Faculty of Economics, Ss. Cyril and Methodius University (Skopje- Macedonia). June 2009.

· Master thesis “Optimal Portfolio Allocation”. Andrija Djurovic. Faculty of Economics, Ss. Cyril and Methodius University (Skopje- Macedonia). June 2009.

· Master thesis “Evaluación de la eficiencia de las cadenas hoteleras españolas” by Yaguo Deng (joint with Michael Wiper). July 2016.

· Master thesis “The present value model in the oil industry: An international comparison” by I-Chuan Huang (joint with Sofia Ramos). July 2019.

· Master thesis “Exploring Value-at-Risk and Expected Shortfall using asymmetric volatility models” by Víctor Fernández Francisco (joint Juan Miguel Marín). July 2019.

· Master thesis “Forecasting the bitcoin volatility: Do jumps help?” by Ignacio Galiana Ruiz de Adana (joint with DanDan Wang). July 2019.

· PhD thesis “Bayesian Analysis of Heterogeneity in Stochastic Frontier Models” by Jorge Gálan (joint with Michael Wiper). October 3, 2014. First job: Bank of Spain. Premio Extraordinario de Doctorado.

· PhD thesis “Asymmetric Stochastic Volatility Models” by Xiuping Mao (joint with Esther Ruiz). March 13, 2015. First job: Assistant Professor at Zhongnan University of Economics and Law.

· PhD thesis “Forecasting under model uncertainty” by João Henrique Gonçalves Mazzeu (joint with Esther Ruiz). December 20, 2016.

· PhD thesis “New problems in modelling the efficiency” by Yaguo Deng (joint with Michael Wiper).

· PhD Thesis “Bayesian VAR models and applications to commodities” (joint with Michael Wiper).

· PhD Thesis “Stochastic Frontier Analysis versus DEA: Measuring the universities efficiency” (joint with Michael Wiper).

UNDERGRADUATE PROJECT SUPERVISION

· “Efectos de la crisis en los mercados financieros internaciones” by Raquel Cruz Barragán (joint with Esther Ruiz). June 2014.

· “Efectos de la crisis en las estimaciones de la volatilidad de series financieras españolas” by Laura Valiña Higuera (joint with Esther Ruiz). June 2014.

· “Impacto del precio del petróleo en los índices europeos” by Daniel García Rodríguez. July 2016.

· “Modeling and forecasting OVX” by Massimo Bianchi, 2017 defended in Italy.

· “Modelización de la volatilidad del bitcoin” by Alfonso Martin Goméz, July 2018.

ADMINISTRATIVE TASKS

1. Member of the committee for the organization of the Master Program “Statistical Methods for Business and Economics” at the Faculty of Economics (Skopje- Macedonia) - Tempus project JEP_40015_2005.

2. Member of the academic committee of the BA in Finance and Accounting, Universidad Carlos III de Madrid, since 2011.

3. Member of the teaching committee, Department of Statistics, Universidad Carlos III de Madrid, since 2011.

4. Member of the academic committee of the Master in Finance, Universidad Carlos III de Madrid, since 2012.

5. Secretary of the Instituto Flores de Lemus, since 2014-October 2015.

6. Member of the permanent committee, Department of Statistics, Universidad Carlos III de Madrid, since 2015.

7. Assistant Director of the Instituto Flores de Lemus, since November 2015.

8. Head of the Prediction Lab of the Instituto Flores de Lemus, since 2017.

LANGUAGES

· English (Good)

· Spanish (Fluent)

· French (Basic)

· Portuguese (native)

· German (Basic)