organizational unit
Akademie-Kolleg
Curriculum Vitae
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. 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.
Selected publications and lectures
- "Realized Quantiles", forthcoming in Journal of Business and Economic Statistics (with T. Dimitriadis)
- "A Latent Factor Model for Forecasting Realized Variances", forthcoming in Journal of Financial Econometrics (with G. Calzolari and A. Zagidullina)
- "Estimating Stable Latent Factor Models by Indirect Inference", 2018, Journal of Econometrics, Volume 205, Issue 1, pages 280-301 (with G. Calzolari)
- "Forecasting Covariance Matrices: A Mixed Approach", 2016, Journal of Financial Econometrics, Volume 4, Issue 2, pages 383-417 (with V. Voev)
- "Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood", 2014, Computational Statistics and Data Analysis, Volume 76, pages 158-171 (with G. Calzolari and A. Parrini)
- "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 (with W. Pohlmeier)
- "Modelling and Forecasting Multivariate Realized Volatility", 2011, Journal of Applied Econometrics, Volume 26, pages 922-947 (with V. Voev)
- "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 (with V. Voev)
The research interests of Prof. Halbleib 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. Between 2014 and 2019 her research project titled "Analyzing, Measuring and Forecasting Financial Risks by means of High-Frequency Data" was supported by the WIN-Kolleg of the Heidelberger Akademie der Wissenschaften within the initiative "Messen und Verstehen der Welt durch die Wissenschaft".