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Prof. Dr. Roxana Halbleib

Head of the Chair


Mailing address:
Chair of Statistics and Econometrics
Institute of Economics
University of Freiburg
79085 Freiburg

Chair of Statistics and Econometrics
Institute of Economics
University of Freiburg
Rempartstr. 16
Office: 01020
79098 Freiburg


Email: roxana.halbleib@vwl.uni-freiburg.de
Phone: +49 761 203-2332

Office hours:

  • Monday 2 - 4 pm
  • Online through Jitsi
  • 8 slots of 15 minutes each
  • If you are registered in Ilias for one of my classes I currently offer, please follow the link of my office hours to choose one of the slots (please, give your email address).
  • If otherwise, please contact Mrs. Hupfer (conny.hupfer@vwl.uni-freiburg.de) up to 5 hours in advance in order to get a slot. 
  • After booking a slot, we will send you an email with the link to the Jitsi site, where the online office hour will take place.



Personal Information

Dr. Roxana Halbleib (née Chiriac) studied Economics at the "Alexandru Ioan Cuza" University of Iasi, Romania and University of Konstanz. After obtaining her doctoral degree in Econometrics in 2010 from the University of Konstanz, she went to the Université libre de Bruxelles in Belgium for a one-year post-doc. Between 2011 and 2020, she was post-doc researcher at the Chair of Economics and Econometricsat the University of Konstanz. Moreover, between 2011 and 2016, she was Margarete von Wrangell Research Fellow and between 2013 and 2019, Zukunftskolleg Fellow at the University of Konstanz. 

Her research interests are at the junction between econometrics, data science, finance and computational statistics. For her research results, in 2017, she was awarded with the Wolfgang Wetzel Award of the German Statistical Society. Starting with 2019 she is admitted in the Heisenberg Programme of the German Science Foundation. Since May 1, 2020 she is W3-Professor of Statistics and Econometrics at the University of Freiburg.

Curriculum Vitae


Research Interests

  • (Ultra) High Frequency Data
  • High Dimensional Data Analysis
  • Risk Estimation and Forecasting
  • Simulation-based Estimation Methods


Peer-reviewed pulications

"A Latent Factor Model for Forecasting Realized Variances", forthcoming in Journal of Financial Econometrics (with Giorgio Calzolari and Aygul Zagidullina)

"Estimating Stable Latent Factor Models by Indirect Inference", 2018,  Journal of Econometrics, Volume 205, Issue 1, pages 280-301 (with Giorgio Calzolari)

"Forecasting Covariance Matrices: A Mixed Approach", 2016, Journal of Financial Econometrics, Volume 4, Issue 2, pages 383-417 (with Valeri Voev)

"Estimating GARCH-type Models with Symmetric Stable Innovations: Indirect Inference versus Maximum Likelihood", 2014, Computational Statistics and Data Analysis, Volume 76, pages 158-171 (with Giorgio Calzolari and Alessandro Parrini)

"Improving the Value at Risk Forecasts: Theory and Evidence from the Financial Crisis"***, 2012, Journal of Economic Dynamics and Control, Volume 36, Issue 8, Pages 1212-1228 (with Winfried Pohlmeier)
***Previous versions of the paper circulated under the title "How Risky is the Value at Risk?"

"Modelling and Forecasting Multivariate Realized Volatility", 2011, Journal of Applied Econometrics, Volume 26, pages 922-947 (with Valeri Voev)

"Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors", 2011, Journal of Economics and Statistics (Jahrbücher für Nationalökonomie und Statistik), Vol. 231/1, pages 134-152 (with Valeri Voev)


Other Publications

"Messen und Verstehen von Finanzrisiken - Eine Perspektive der Ökonometrie", 2017, Springer, in Messen und Verstehen in der Wissenschaft – Interdisziplinäre Ansätze, Springer Verlag, pages 135-149 (Eds: M. Schweiker, J. Hass, A. Novokhatko and R. Halbleib)


Edited Books

"Messen und Verstehen in der Wissenschaft", 2017, Springer (Eds: M. Schweiker, J. Hass, A. Novokhatko, R. Halbleib)


Working Papers

"How informative is High-Frequency Data for Tail Risk Estimation and Forecasting? An Intrinsic Time Perspective", 2018, GSDS Working Paper No. 2018-04 (with Timo Dimitriadis)

"Modelling Realized Covariance Matrices with Stochastic Volatility Latent Factors: Filter, Likelihood, Forecast", 2018 (with Giorgio Calzolari)



DFG Heisenberg Programwith the project "Econometric Analysis and Forecasts of Financial Risks based on High-frequency data" (Link)

Heidelberger Akademie der Wissenschaften, WIN-Kolleg - Junior Academy for Young Scholars and Scientists with the topic "Messen und Verstehen der Welt durch die Wissenschaft": Analyzing, Measuring and Forecasting Financial Risks by means of High-Frequency Data







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