Curriculum Vitae

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HELENA VEIGA

 

 

CONTACT INFORMATION

 

Department of Statistics                                                   

Universitad 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)

        Ph. D. 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, Time Series, Finance.

 

ACADEMIC AND RESEARCH POSITIONS

 

·         (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-present.

·         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.       “The Effect of Realised Volatility on Stock Returns Risk Estimates”, (joint with Aurea Grané), Portuguese Economic Journal, forthcoming.

 

Other Contributions

 

·         “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.

 

·         “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.

 

Book (Chapters) and Proceedings

 

·         “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).

 

·          “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).

 

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

 

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. 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).

 

·         Asymmetric effects of oil price fluctuations in international stock markets, joint with Sofia Ramos, Universidad Carlos III de Madrid, WP 100904.

 

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

 

·         Asymmetric long-run effects in the oil industry, joint with Sofia Ramos and Chih-Wei Wang, Universidad Carlos III de Madrid, WP 12-05.

 

 

TEACHING EXPERIENCE

 

·         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 (3rd Term 2008/2009 and 2009/2010). Spain.

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

 

 

·         Teaching Assistant

 

1.      Statistics (TIAE) (first year undergraduate) at Oporto Faculty of Economics (Springs of 1995 and 1996). Portugal.

2.      Econometrics (fourth year undergraduate) at Oporto Faculty of Economics (1997-1998). Portugal.

3.      Econometrics II (third year undergraduate) at Universitat Autònoma de Barcelona (Springs of  2001, 2002 and 2003). Spain.

4.      Econometric Models (fourth year undergraduate) at Universitat Autònoma de Barcelona (Fall, 2001). Spain.

 

 CONFERENCES AND SEMINAR PRESENTATIONS

 

·         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, 2nd 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, 9th 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, 10th 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.

 

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.

 

ACADEMIC VISITS

 

Department of Economics, Duke University, USA, April 2003.

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

    

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.

 

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.

 

·         PhD thesis proposal “Bayesian Stochastic Frontier Models with Heterogeneity” by Jorge Gálan (joint with Michael Wiper). October 2010. Department of Statistics, UC3M, Spain.

 

·         PhD thesis proposal “Asymmetric Stochastic Volatility Models” by Xiuping Mao (joint with Esther Ruiz). October 2011. Department of Statistics, UC3M, Spain.

 

 

ADMINISTRATIVE TASKS

 

·         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.

 

LANGUAGES

 

English (Good), Spanish (Fluent), French (Basic), Portuguese (native), German (level A2.1-Goethe Institut).