Curriculum Vitae
Andréas Heinen
|
Office address: |
|
Department
of Statistics and Econometrics Getafe
Madrid 28903 Office: +34-91-624-9585 Fax: +34-91-624-9849 aheinen AT est-econ.uc3m.es Current Position: Assistant Professor, Department of Statistics and Econometrics, Carlos III University (Since 9/2004)
Positions Held: 2005 - 2007 Associate Fellow, Center of Operations Research and Econometrics (CORE). 2004 Research Fellow, Center of Excellence (COE), Tokyo Metropolitan University. 2001 – 2003 Research Fellow and invited professor, Center of Operations Research and Econometrics (CORE). 1999 Participant in a private sector research project in financial econometrics in collaboration with Prof. Halbert White. |
Education:
2004 Ph.D., University of California, San Diego.
Thesis title: Modelling Time Series Count Data in Financial Microstructure.
Thesis advisor: Prof. Bruce Lehmann and Prof. Robert Engle.
Other committee members: Prof. Richard Carson, Prof. Clive Granger, Prof. Ruth Williams.
1994 BA in Economics, University of Lausanne.
Honors, Scholarships, and Fellowships:
2001 – 2003 Center of Operations Research and Econometrics (CORE)
Fellowship
2000 - 2001 Young Researcher Fellowship, Swiss National Science Foundation
Research Interests:
Empirical Finance, Risk Management,
Microstructure, Time Series Econometrics, Copulas.
Interview with Europlace Institute of Finance (in English on pages 2 and
4, and French).
Contributions
to Edited Books
o A
Dynamic D-vine model (with Alfonso Valdesogo, U.
Luxembourg), prepared for the Vine Copula Handbook (edited by Harry
Joe and Dorota Kurowicka).
Papers
under Review
o Analysis of the
submission of orders on Xetra, using multivariate
count data, (with Erick Rengifo, Fordham and
Joachim Grammig, Tübingen).
Revision requested by Journal of Applied Econometrics.
o From Global to Local: In
Search of R&D Spillovers using Plant Level Data, (with Salvador
Barrios, EU Commision, Luisito
Bertinelli, U. Luxembourg and Eric Strobl, Ecole Polytechnique).
Revision requested by the Scandinavian Journal of Economics.
o Modelling Time Series Count Data: The Autoregressive
Conditional Poisson Model.
o Asymmetric
CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model,
(with Alfonso Valdesogo, U. Luxembourg).
Manuscripts
o Export Diversification and Price Uncertainty in Sub-Saharan Africa and Other Developing Countries: A Portfolio Approach, (with Luisito Bertinelli, U. Luxembourg and Eric Strobl, Ecole Polytechnique).
o Ownership
Structure and Firm Performance: Evidence from a nonparametric panel. (with Malika Hamadi,
U. Luxembourg). Preliminary
version, FESAMES 2009
o Electricity,
carbon and weather in France: where do we stand?, (with Sophie Chemarin and Eric Strobl, Ecole Polytechnique).
Funded Research Projects:
-
Europlace
Finance, What Causes Asset Market Comovements? A
dynamic Copula Approach (with Lorán Chollete), 2006-2009. See interview with Europlace.
-
Project
of the Spanish Ministry of Science SEJ2006-03919, Principal Investigator:
Esther Ruiz, 2006-2008.
-
Project of the Comunidad
de Madrid. Principal Investigator: Antoni Espasa,
2005-2006.
Computer Skills:
Matlab, Gauss, Ox, E-Views.
Language Skills:
French: Native
English: Native Equivalent Ability
German: Native
Spanish: Fluent
Russian: Intermediate
Japanese: Basic
Teaching Experience:
2009 Métodos de Predicción (Economic
Forecasting), Universidad Carlos III - Madrid
2008 Financial Econometrics, Masters level, University of Skopje (Tempus project of the European Union with Universidad Carlos III - Madrid)
2004 – 2010 Econonometría II
(Time Series Econometrics), Universidad Carlos III -
Madrid
2006 – 2008 Estadística II (Introduction
to Regression), Universidad
Carlos III - Madrid
2005 – 2006 Estadística I (Statistical
Inference), Universidad Carlos III - Madrid
2002 – 2003 Upper Division Undergraduate Class in Econometrics, UCL.
2001 – 2002 Graduate Workshop in Econometrics, UCL.
1996 - 1999 Teaching Assistant, Department of Economics, UCSD: Microeconomics, Econometrics, Operations Research, Health Economics.
1994 - 1995 Teaching Assistant for Prof. Alberto Holly Advanced Econometrics, University of Lausanne.
Ph.D. Supervision:
Alfonso Valdesogo, Center of Operations Research and Econometrics, (CORE), Université Catholique de Louvain, (joint with Luc Bauwens, CORE), defense: September 2009.
Professional Activities:
Referee: Journal of Business and
Economic Statistics, Journal of the American Statistical Association, Journal
of Financial Markets, Economics Letters, Computational Statistics and Data
Analysis, International Journal of Forecasting, Quantitative Finance.
Conference organization: member of the local organization committee for
the Madrid workshop of the MICFINMA (Microstructure of Financial Markets) RTN.
Grant Reviewing: Fonds Québécois de Recherche sur la
Société et la Culture.
Invited Talks and Seminars:
- Yonsei University, Seoul, August 2009.
- Methods in International Finance Network, third Workshop, Luxembourg, October 2009.
- Luxembourg School of Finance, January 2009.
- International Workshop on the Predictability of Financial Markets, ISEG, Lisbon, January 2009, as discussant.
- Ghent University, May 2008.
-
Norwegian School of Economics and Business
Administration (NHH), February 2006.
-
Free
University of Amsterdam, May 2005.
-
ECARES, Université Libre de Bruxelles, November
2004.
- Innovations in Financial Econometrics: Conference in Celebration of the 2003 Nobel, Salomon Center, Stern Business School, NYU, September 2004.
- Tokyo Metropolitan University, August 2004.
- Universidad Carlos III, Statistics Department, Madrid, April 2004.
- University of Bonn, March 2004.
- Conference in Financial Time Series, Tokyo Metropolitan University, February 2004.
- Technical University of Lisbon, May 2003.
- Spring Meeting of Young Economists, Leuven, April 2003.
- Econometric Institute, Erasmus University Rotterdam, October 2002.
- CORE, March 2002.
- University of Exeter, March 2001.
- CERGE-EI, Charles University, Prag, February 2001.
- University of Alicante, February 2001.
- CORE, February 2001.
Contributions at conferences:
-
North
American Meeting of the Econometric Society, Atlanta, January 2010.
- Far Eastern and South Asian Meeting of the Econometric Society, Tokyo, August 2009.
- Society of Financial Econometrics, Geneva, June 2009.
- Far Eastern Meeting of the Econometric Society, Singapore, July 2008.
- Multivariate Volatility Models, Faro, October 2007.
- Econometric Society European Meeting, Budapest, August 2007.
- Econometric Society European Meeting, Vienna, August 2006.
- International Conference on
Finance, Copenhagen, September 2005.
-
European Finance Association,
Moscow, August 2005.
-
Econometric Society World
Congress, London, August 2005.
- Journal of Applied
Econometrics conference,
- First Symposium on Econometric
Theoiry and Applications, Academia Sinica,
- International Conference on New Financial Market Structures, HEC Montreal, April 2005.
- Econometric Society European Meeting, Madrid, August 2004.
- Far Eastern Econometric Society Meeting, Seoul, June 2004.
- Econometric Society European Meeting, Stockholm, August 2003.
- Econometric Society European Meeting, Venice, August 2002.