CURRICULUM VITAE. December 2014

Transcripción

1 CONTACT INFORMATION Helena Chuliá Soler Dept. d'econometria, Riskcenter-IREA Universitat de Barcelona Av. Diagonal, Barcelona, Spain Telf: (34) CURRICULUM VITAE Helena Chuliá Soler December 2014 EDUCATION Universitat de València (Spain), Ph.D., Quantitative Finance. October 2007 Universitat de València (Spain), B.A., Management and Business Administration. June 2002 ACADEMIC POSITIONS Lecturer Departament d'econometria, Estadística i Economia Espanyola, Universitat de Barcelona, 2010-present. Lecturer Estudis d Economia i Empresa, Universitat Oberta de Catalunya, Doctoral Researcher, Departament d Economia Financera i Actuarial, Universitat de Valencia, VISITING POSITIONS Visiting Researcher, Institute for Statistics and Econometrics, Humboldt University (Germany), September December Visiting Researcher, Econometric Institute, Erasmus University of Rotterdam (The Netherlands), September December RESEARCH INTERESTS Financial Econometrics; Risk Management; Asset Return Volatility; Financial Integration TEACHING FIELDS Financial Econometrics; Time Series Analysis; Mathematical Finance; Financial Markets

2 PUBLICATIONS International Journals Time-varying integration in European Government Bond Markets, (joint with P. Abad and M. Gómez-Puig), European Financial Management, 20 (2), , Price and volatility dynamics between electricity and fuel costs: some evidence for Spain, (joint with D. Furió), Energy Economics, 34(6), , Volatility Transmission and Correlation Analysis between the USA and Asia: The Impact of the Global Financial Crisis, (joint with N. Valls), Global Economic Review, 41(2), , Firm size and volatility analysis in the Spanish Stock market, (joint with H. Torró), European Journal of Finance, 17(8), , EMU and European Government market integration, (joint with P. Abad and M. Gómez-Puig), Journal of Banking and Finance, 34(12), , Asymmetric effects of Federal Funds target rate changes on S&P100 stock returns, volatilities and correlations, (joint with M. Martens and Dick van Dijk), Journal of Banking and Finance, 34 (4), , "Volatility transmission patterns and terrorist attacks", (joint with F.J. Climent, P. Soriano and H. Torró), Quantitative Finance, 9 (5), , The economic value of volatility transmission between stocks and bonds, (joint with H. Torró), The Journal of Futures Markets, 8 (11), , Publications in Spanish Análisis de volatilidad y correlación entre EE.UU y Asia, (joint with N. Valls), Cuadernos de Economía, 33, 33-56, Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas en la Bolsa española, (joint with H. Torró), Investigaciones Económicas, 21, , Contagios de volatilidad y estrategias de negociación entre acciones grandes y pequeñas, (joint with A. Pardo and H. Torró), Bolsa de Madrid, 144, Working Papers "European government bond market integration in turbulent times, (joint with P. Abad), UB Riskcenter Working Papers Series (2014). Volatility Transmission between the Stock and Currency Markets in Emerging Asia: the Impact of the Global Financial Crisis, (joint with N. Valls), Working paper 2014/31, Research Institute of Applied Economics (2014).

3 European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration, (joint with P. Abad), Working paper 2013/25, Research Institute of Applied Economics (2013). EMU and European Government Bond market integration, (joint with P. Abad and M. Gómez-Puig), ECB working paper, nº 1079 (2009). The effect of Fed Funds Target Rate changes on S&P100 stock returns, volatilities and correlations, (joint with M. Martens and Dick van Dijk), ERIM Report Series, F&A. Chapters in books The effects of macroeconomic news announcements during the global financial crisis, (joint to P. Abad). In: Risk Management Post Financial Crisis: A Period of Monetary Easing. Batten, J.A., Wagner, N.F. (Eds.) Contemporary Studies in Economic and Financial Analysis (CSEFA), Vol. 96, Emerald Group Publishing Limited, Asian Market Reactions to US Macroeconomic News Surprises, (joint to N. Valls). In: Asian Handbook of Finance, Elsevier, Large and small cap stocks in Europe: covariance asymmetry, volatility spillovers and beta estimates, (joint with H. Torró). In: Advances in Risk Management, Palgrave McMillan, Have volatility transmission patterns between USA and Spain changed after September 11?, (joint with F.J. Climent, P. Soriano and H. Torró). In: Advances in Risk Management, Palgrave McMillan, AWARDS AND GRANTS - AGAUR travel grant for a 4-months post-doctoral research stay at Humboldt University, José Castillejos grant (Ministerio de Educación, Cultura y Deporte) for a 4-months post-doctoral research stay at Humboldt University, Award of the Economics and Business School from Universitat de Barcelona and the Institute of Economics from Barcelona for best paper EMU and European Government Bond market integration. - University of Valencia award to the best PhD dissertation on Economics, Fundación UCEIF award to the best PhD dissertation on Finance, Ministerio de Educación y Ciencia grant (FPU) for PhD studies, Ministerio de Educación y Ciencia travel grant for a 4-moths stay at the Econometric Institute (Erasmus University of Rotterdam), Iberdrola award to the best paper presented at the II Workshop in Quantitative Finance, University of Valencia Fundación Ramón Areces Fellowship for PhD studies, Ministerio de Educación y Ciencia travel grant for a 9-months stay at University of the Basque Country, Ministerio de Educación y Ciencia collaboration grant, Department of Accounting, Universitat de València, 2002.

4 PARTICIPATION IN FINANCED PROJECTS - Métodos cuantitativos para la medición y valoración de riesgos en empresas aseguradoras (ECO ), Ministerio de Ciencia e Innovación, European Financial Management Annual Meeting (ECO E), Ministerio de Ciencia e Innovación, Economía Financiera y Modelización Matemática (ECO C04-04), Ministerio de Ciencia y Tecnología, Cambio climático y mercados energéticos (CGL ), Ministerio de Ciencia e Innovación, La integración de los mercados de deuda pública europea, Fundación Ramón Areces, La integración de los mercados de deuda pública europea, Instituto de Estudios Fiscales, XI Jornadas de Economía Internacional (ECO E/ECON), Ministerio de Ciencia e Innovación, Spillovers de volatilidad en los mercados de acciones (GV/2007/082), Generalitat Valenciana, Economía Financiera y Modelización Matemática (SEJ C04-04/ECON), Ministerio de Ciencia y Tecnología and FEDER, Economía Financiera y Modelización Matemática (BEC C04-04), Ministerio de Ciencia y Tecnología, Spillovers de volatilidad en los mercados de acciones, Instituto Valenciano de Investigaciones Económicas, Información y Asimetrías en los mercados de renta variable (GV04A/153), Generalitat Valenciana, CONFERENCES WITH PAPER - 12th INFINITI Conference on International Finance, Prato, European Financial Management Association (EFMA), Rome, ª Reunión de Investigación en Seguros y Gestión del Riesgo (RISK 2013), Gran Canaria, European Financial Management Association (EFMA), Braga, Invited presentation, Economic Risk Seminar (Humboldt University), European Financial Management Association (EFMA), Aarhus, XI Conference on International Economics, Barcelona, th Infiniti Conference on International Finance, Trinity College, X Italian-Spanish meeting on Financial Mathematics, Cagliari, th Money, Macro and Finance Annual conference, Birbeck University, Economic Analysis of High-Frequency Data and the Impact of Economic News, University of Stanford, Foro de Finanzas (Annual Meeting of the Spanish Finance Association), XXXI Simposio de Análisis Económico, University of Oviedo, Invited presentation, Erasmus University of Rotterdam, VIII Italian-Spanish meeting on Financial Mathematics, Italy, 2005.

5 REFEREEING SERVICES Journal of Banking and Finance; Applied Economics; Applied Financial Economics; Emerging Markets, Finance and Trade; International Review of Economics and Finance; Global Economic Review; Review of Financial Economics; SORT; Financial Journal of Portfolio Management. Ph.D THESIS ADVISOR SERVICE Title: Volatility in Financial Markets: The Impact of the Global Financial Crisis. Author: Natàlia Valls, Universitat de Barcelona. Defense Date: December 12, Ph.D. THESIS COMMITTEE MEMBER Lorena Marí del Cristo, Essays on the Optimal Choice of Exchange Rate Pass Through in Emerging Countries, University of Barcelona, CONFERENCE COMMITTEE - European Financial Management Association 2014 Conference (Rome, Italy), scientific committee, June th Infiniti Conference on International Finance (Pratto, Italy), scientific committee, June European Financial Management Association 2013 Conference (Reading, UK), scientific committee, June European Financial Management Association 2013 Conference (Barcelona, Spain), organiser, June XI Conference on International Economics (Barcelona, Spain), organiser, June th Infiniti Conference on International Finance (Trinity College, Dublin), scientific committee, June 2009.