Diaa Noureldin - Economic Research Forum (ERF)

Diaa Noureldin

Research Associates

Assistant Professor, Department of Economics, The American University in Cairo


Areas of Interest:

  • Econometric Theory
  • Time Series and Financial Econometrics
  • Forecast Evaluation Methods

Education:

  • D.Phil. in Economics, University of Oxford, 2009-2011
  • M.Phil. in Economics (Distinction), University of Oxford, 2007-2009
  • M.A. in Economics (Distinction), American University in Cairo, 2002-2005
  • B.A. in Economics (Honours), American University in Cairo, 1995-1999

Experience:

  • Assistant Professor, Department of Economics, The American University in Cairo, 2013-Present
  • Postdoctoral Research Fellow, Department of Economics and Oxford-Man Institute of Quantitative Finance, University of Oxford, 2011-2013
  • Department Teaching Associate, Department of Economics, University of Oxford, 2009-2011
  • Lecturer, Department of Economics, American University in Cairo, 2005-2007

Latest Publications:

  • Modelling time-varying dependence in the term structure of interest rates (2014). In K. Hadri and W. Mikhail (Eds.), Econometric Methods and Their Applications in Finance, Macro and Related Fields. World Scientific Publishing, forthcoming.
  • Multi-period volatility prediction using a high-frequency-based component model (2014).
  • Dynamic density forecasts for the term structure of interest rates (2014).
  • Multivariate rotated ARCH models (2013). Joint with Neil Shephard and Kevin Sheppard. Journal of Econometrics 179, 16-30.
Working Papers

Optimal Asset Allocation and Consumption Rules for Commodity-Based Sovereign Wealth Funds

This paper studies the optimal asset allocation for a sovereign wealth fund (SWF) subject to ... read more


EVENTS

There are no Articles found