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Department of Statistics
Chair

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

Portrait photo of Matei Demetrescu © Felix Schmale​/​TU Dortmund
  • 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)