Corps professoral

Veronika CZELLAR

Professeur

Econométrie Financière, Estimation à Base de Simulations, Filtres Particulaires, Statistique Robuste

Télécharger le CV
Veronika CZELLAR

Académie

Globalisation

Centre de recherche

Finance & Accounting Insights on Risk and Regulation

Localisation

Paris

Discipline

Finance

Veronika Czellar est professeure d’économétrie et de science des données à SKEMA Business School. Elle a obtenu son doctorat en économétrie et statistique à l’Université de Genève. Avant de rejoindre SKEMA, Veronika Czellar a occupé des postes à l’Université de Washington, à HEC Paris, à EMLYON et à l’EDHEC Business School. Ses axes de recherche portent sur les méthodes d’estimation à base de simulations, l’économétrie financière et la statistique robuste. Ses travaux ont été publiés dans des revues de premier rang en finance, économétrie et statistique, notamment dans le Journal of Financial Economics, Biometrika, Journal of the American Statistical Association et Journal of Econometrics. Enseignante passionnée, elle a dispensé un large éventail de cours, notamment en analyse de données, économétrie financière, gestion de portefeuille ainsi que des cours de programmation en Python, R et VBA.

Formation
2006
Ph.D. in Econometrics and Statistics, University of Geneva, Suisse
2002
Master en économétrie, University of Geneva, Suisse
Expérience professionnelle
Positions académiques principales
Depuis 2021
Professor, SKEMA Business School, France
2015 - 2021
Professor, EDHEC Business School, France
2013 - 2015
Associate Professor, EM Lyon Business School, France
2007 - 2013
Assistant Professor, HEC Paris, France
Autres affiliations académiques
2006 - 2007
Postdoctoral Fellow with Teaching, University of Washington, Etats-Unis d'Amérique
Autres activités de recherche
Relecteur pour :
Journal of Empirical Finance, Biometrika, Journal of Econometrics, British Journal of Management, Journal of the American Statistical Association, Journal of Time Series Analysis, Journal of Business & Economic Statistics
Autres activités académiques
Depuis 2025
Scientific Committee Member and Reviewer for SoFiE 2025
Depuis 2025
Scientific Committee Member and Reviewer for EFA 2025

Articles académiques revus

CZELLAR, V., LE GRAND, F. et GARCIA, R. (2025). Uncovering asset market participation from household consumption and income. Journal of Econometrics, 248, pp. 105867.
CZELLAR, V., FRAZIER, D. et RENAULT, E. (2022). Approximate Maximum Likelihood for Complex Structural Models. Journal of Econometrics, 231(2), pp. 432-456.
ALPEROVYCH, Y., CUMMING, D., CZELLAR, V. et GROH, A.P. (2021). M&A rumors about unlisted firms. Journal of Financial Economics, 142(3), pp. 1324-1339.
MAO, X., CZELLAR, V., RUIZ, E. et VEIGA, H. (2020). Asymmetric Stochastic Volatility Models: Properties and Particle Filter-based Simulated Maximum Likelihood Estimation. Econometrics and Statistics, 13, pp. 84-105.
CALVET, L.E. et CZELLAR, V. (2015). Accurate Methods for Approximate Bayesian Computation Filtering. Journal of Financial Econometrics, 13(4), pp. 798-838.
CALVET, L.E., CZELLAR, V. et RONCHETTI, E. (2015). Robust Filtering. Journal of the American Statistical Association, 110(512), pp. 1591-1606.
CALVET, L.E. et CZELLAR, V. (2015). Through the looking glass: Indirect inference via simple equilibria. Journal of Econometrics, 185(2), pp. 343-358.
CZELLAR, V. et RONCHETTI, E. (2010). Accurate and Robust Tests for Indirect Inference. Biometrika, 97(3), pp. 621-630.
CZELLAR, V., KAROLYI, G.A. et RONCHETTI, E. (2007). Indirect Robust Estimation of the Short-term Interest Rate Process. Journal of Empirical Finance, 14(4), pp. 546-563.

Conférencier invité

CZELLAR, V. (2023). Multifractal Cryptocurrencies. Dans: Fifth International Workshop in Financial Econometrics. Santo Andre.

Présentations dans des conférences

CZELLAR, V. (2021). M&A Rumors about Unlisted Firms. Dans: SKEMA FAIRR Seminar. Paris.
CZELLAR, V. (2020). Private Capital Market M&A Rumors: Why They Are Hated. Dans: EDHEC Finance Seminar. Lille.
CZELLAR, V. (2020). Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions. Dans: University of Luxembourg Finance seminar. Luxembourg.
CZELLAR, V. (2019). Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions. Dans: Seminar CREST ENSAE. Paris.
CZELLAR, V. (2017). Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions. Dans: 10th annual meeting of the Society for Financial Econometrics. New York.
CZELLAR, V. (2017). ABC filtering in State-space Models. Dans: Validating and Expanding Approximate Bayesian Computation Methods. Banff.
CZELLAR, V. (2016). Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions. Dans: 10th International Conference on Computational and Financial Econometrics. Seville.
CZELLAR, V. (2016). Limited participation in the joint behavior of asset prices and individual consumptions. Dans: Toulouse School of Economics Financial Econometric Conference. Toulouse.
CZELLAR, V. (2016). Structural Dynamic Analysis of Systematic Risk. Dans: EDHEC Finance Seminar. London.

Présentations dans des séminaires de recherche

CZELLAR, V. (2024). Multifractal Cryptocurrencies. Dans: Working Group on Risk seminar, ESSEC. Paris.
CZELLAR, V. (2023). Multifractal Cryptocurrencies. Dans: Finance Seminar, University of Luxembourg. Luxembourg.
CZELLAR, V. (2023). Multifractal Cryptocurrencies. Dans: Finance Seminar, Rennes School of Business, Rennes. Rennes.
CZELLAR, V. (2022). Multifractal Crypto-assets. Dans: ESSEC Asset Pricing Breakfast. Paris.
CZELLAR, V. (2022). Multifractal Crypto-assets. Dans: SKEMA Finance Seminar. Paris.
CZELLAR, V. (2021). Approximate Maximum Likelihood for Complex Structural Models. Dans: EDHEC Finance Seminar. Lille.