Professors

Veronika CZELLAR

Professor

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Veronika CZELLAR

Academy

Globalization

Research center

Finance & Accounting Insights on Risk and Regulation

Location

Paris

Discipline

Finance

Veronika Czellar is a Professor in Econometrics and Data Science at SKEMA Business School. She earned her PhD in Econometrics and Statitics from University of Geneva. Prior to joining SKEMA, Veronika Czellar held positions at University of Washington, HEC Paris, EMLYON and EDHEC Business Schools. Her research interests include simulation-based estimation methods, financial econometrics and robust statistics. Her work has been published in top Finance, Econometrics and Statistics journals, including the Journal of Financial Economics, Biometrika, Journal of the American Statistical Association and Journal of Econometrics. She is an enthusiastic teacher and has taught a variety of courses, including Portfolio Management, Financial Econometrics, R/VBA Programming and Data Science courses.

Education
2006
Ph.D. in Econometrics and Statistics, University of Geneva, Switzerland
2002
Master in Econometrics, University of Geneva, Switzerland
Experience
Full-time academic positions
Since 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
Other academic affiliations and appointments
2006 - 2007
Postdoctoral Fellow with Teaching, University of Washington, United States of America
Other research activities
Reviewer for:
Journal of Empirical Finance, Journal of Econometrics, British Journal of Management, Journal of the American Statistical Association, Journal of Time Series Analysis, Journal of Business & Economic Statistics

Peer-reviewed journal articles

CZELLAR, V., FRAZIER, D. and RENAULT, E. (2022). Approximate Maximum Likelihood for Complex Structural Models. Journal of Econometrics, 231(2), pp. 432-456.
ALPEROVYCH, Y., CUMMING, D., CZELLAR, V. and 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. and 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. and CZELLAR, V. (2015). Accurate Methods for Approximate Bayesian Computation Filtering. Journal of Financial Econometrics, 13(4), pp. 798-838.
CALVET, L.E., CZELLAR, V. and RONCHETTI, E. (2015). Robust Filtering. Journal of the American Statistical Association, 110(512), pp. 1591-1606.
CALVET, L.E. and CZELLAR, V. (2015). Through the looking glass: Indirect inference via simple equilibria. Journal of Econometrics, 185(2), pp. 343-358.
CZELLAR, V. and RONCHETTI, E. (2010). Accurate and Robust Tests for Indirect Inference. Biometrika, 97(3), pp. 621-630.
CZELLAR, V., KAROLYI, G.A. and RONCHETTI, E. (2007). Indirect Robust Estimation of the Short-term Interest Rate Process. Journal of Empirical Finance, 14(4), pp. 546-563.

Keynote speaker

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

Conference presentations

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

Faculty research seminar presentations

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