Prof. Dr. Matei Demetrescu
Contact
TU Dortmund University
Department of Statistics
Chair of Econometrics and Statistics
CDI Building, Room 7
44221 Dortmund
Germany
E-mail: mdeme@statistik.tu-dortmund.de
Tel.: +49 231 755 3125
- 2014–2022 Professor of statistics and applied econometrics at the University of Kiel
- 2010–2014 Professor of econometrics at the University of Bonn
- 2008–2010 Junior professor of applied econometrics at the Goethe University in Frankfurt
- 2009 PhD in Industrial Engineering at the “Politehnica” University Bucharest (supervised by Hans-Dieter Heike)
- 2007 Max Weber post-doc fellowship at the European University Institute, Florence
- 2005 PhD in Economics at the Goethe University Frankfurt (supervised by Uwe Hassler)
- 2000 Diploma in Engineering and Business Administration at the “Politehnica” University, Bucharest
Forecasting
- Financial data
- Predictive modelling
- Forecast comparisons
Complex data
- Large-N large-T panel data
- Cross-unit dependence
- Quantile panel regressions
Selected publications:
- Hoga, Y. and Demetrescu, M. (2022). Monitoring Value-at-Risk and Expected Shortfall Forecasts. Management Science 69 (5), 2954-2971. DOI.
- Demetrescu, M., Georgiev, I., Rodrigues, P. M. M., and Taylor, A. M. R. (2022). Testing for Episodic Predictability in Stock Returns. Journal of Econometrics 227 (1), 85-113. DOI.
- Demetrescu, M. and Hassler, U. (2016). (When) Do Long Autoregressions Account for Neglected Changes in Parameters?. Econometric Theory 32(6). 1317-1348. DOI.
- Breitung, J. and Demetrescu, M. (2015). Instrumental Variable and Variable Addition Based Inference in Predictive Regressions. Journal of Econometrics 187(1), 358-375. DOI.
- Demetrescu, M. (2007). Optimal Forecast Intervals Under Asymmetric Loss. Journal of Forecasting 26(4), 227-238. DOI.
A complete list of publications can be found below in Further information.
Regular courses
- Case Studies
- Econometrics
- Panel Data Econometrics
- Statistical Theory
Further courses
- Time Series Econometrics (Seminar) (Winter 2023/24)
- Forecasting in Data-Rich Environments (Seminar) (Winter 2022/23)
- Econometric Forecasting (Summer 2022)
- Predictive regressions for stock returns (Seminar) (Summer 2022)