Prof. Dr. Matei Demetrescu

• 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:

• Demetrescu, M. and Kruse-Becher, R. (2025). Is U.S. Real Output Growth Non-Normal? A tale of time-varying location and scale. Journal of Economic Dynamics and Control 171, 105032. DOI.
• 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.
• 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
• Econometric Forecasting
• Panel Data Econometrics
• Statistical Theory
• Time Series Analysis
• Seminars on Time Series Econometrics and Forecasting

Curriculum vitae