Prof. Dr. Matei Demetrescu

Chair in Statistics and Empirical Economics Research

Raum 304
Phone: +049 431 880-3810
Telefax: +049 431 880-7605
mdeme@stat-econ.uni-kiel.de

Office hours:

By appointment

Lectures:

For current lectures see Univis

Univis Course

 

Brief profile:

Biosketch

I studied engineering and business administration at the "Politehnica" University in Bucharest and graduated in 2000 as best of my class. After a brief period at the Technical University in Darmstadt as a research and teaching assistant, I started to work on my PhD under the supervision of Uwe Hassler at the Goethe University in Frankfurt. 

In 2005, I obtained my PhD in econom(etr)ics; the PhD thesis consists of four papers dealing with misspecifications in models with seasonal deterministics and issues in forecasting under asymmetric loss functions. Having chosen to pursue an academic career, I went on as a post-doc researcher in Frankfurt. During this period I started focussing on panels with cross-unit dependence. 

During the academic year 2007-2008, I was a Max Weber fellow at the European University Institute in Florence. My mentor during the stay in Tuscany was Helmut Lütkepohl. In summer 2008, I returned to Frankfurt on a position as junior professor for applied econometrics, and moved to the University of Bonn in 2010, where I was a professor at the Hausdorff Center for Mathematics. I joined the University of Kiel in April 2014. 

Teaching

A student's understanding of applied statistics (and also econometrics) can benefit a lot from treating the relevant models and methods with some rigor. Rigor, however, is just means to an end, namely the successful application of statistical methods to real-life data. Please consult the teaching section for more details on specific courses; see above for courses I'm teaching this semester.

Research focuses

Forecasting, in particular with many predictors; Financial data; Complexity reduction.

Third-party funding

  • DFG: "Zeitvariierende Dynamik in Paneldaten mit stochastischen Trends," gemeinsam mit Christoph Hanck (Uni Duisburg-Essen); 2016-2018, Projektmitarbeiterin:  Danvee Floro, M.Sc.
  • DFG: "Zeitvariierende Volatilität in Paneldaten mit stochastischen Trends," gemeinsam mit Christoph Hanck (Uni Duisburg-Essen); 2014-2016, abgeschlossen. (Ehemalige Projektmitarbeiterin:  Danvee Floro, M.Sc.)
  • DFG: "Approximation und Aggregation bei der Modellierung und Vorhersage persistenter Zeitreihen,'' gemeinsam mit Uwe Hassler (Uni Frankfurt); 2012-2015, abgeschlossen. (Ehemaliger Projektmitarbeiter: Nazarii Salish)

Editor

 

Statistics: A Journal of Theoretical and Applied Statistics (co-editor)

Computational Statistics

 

Selected publications (see CV for complete list):

Working papers

Work in progress & other

  • Fast Extraction of Common Factors from Heterogeneous Data
  • IVX-Based Panel Predictive Regressions for Stock Returns, with C. Hanck
  • Testing the Predictability of Stock Returns with Smoothly Varying Deterministic Mean, with M. Hosseinkouchak
  • Cross-Sectional Error Dependence in Panel Quantile Regressions, with M. Hosseinkouchak
  • Identification and Estimation of Dynamic Factor Models, with J. Breitung
  • Monitoring Value-at-Risk and Expected Shortfall Forecasts, with Y. Hoga
  • Spurious Long-Range Dependence in Realized Volatilities? A panel examination, with C. Pigorsch and A.I. Tarcolea
  • Long Autoregressions under Asymmetric Loss, with A. Titova
  • Testing the Marginal Normality of Heteroskedastic Series, with R. Kruse
  • Do persistent predictors predict stock returns directionally? with C. Leschinski
  • Fractional Integration and Cointegration Testing Using the Sample Mean (not working on it anymore)
  • Corrigendum to "Testing predictive regression models with nonstationary regressors" (Zongwu Cai and Yunfei Wang, Journal of Econometrics 178, 4-14)