Dr.
Lyudmyla
Hvozdyk
Research Associate
Tel.:
+41 (0)44 634 30 88
lyudmyla.hvozdyk@rwi.uzh.ch
Curriculum Vitae
- 2007-2012: PhD in Finance, Judge Business School, University of Cambridge
- 2009-present: Teching Fellow in Finance, Judge Business School, University of Cambridge
- 2011-present: Research Associate, University of Zurich
Research Interests
Financial Econometrics, Realized Volatility, Jumps, Hedging, Volatility Forecasting, European Sovereign Bond and CDS Markets, US Treasury Market
Publications
Dungey, M. and Hvozdyk, L. (2012) “Cojumping: Evidence from the US Treasury Bond and Futures Markets”, Journal of Banking and Finance, 36(5), pp. 1563-1575
- Pesaran, M. H., Smith, R. P., Yamagata, T. and Hvozdyk, L. (2009) “Pairwise Tests of Purchasing Power Parity”, Econometric Reviews, 28(6), pp. 495-521
Working Papers
- Hvozdyk, L. and Mercer-Blackman, V. (2010) “Is Investment Sufficient in the Oil Industry? A New Era for National and International Oil Companies”, IDB Working Paper, No. 209
Research Papers in Progress
- Alexander, K., Dungey, M. and Hvozdyk, L. (2011) “The Relationship between Euro Zone Sovereign CDS and Underlying Bond Markets”
- Hvozdyk, L. (2011) “Forecasting Realized Volatility Using Multiple Sampling Frequencies”
- Dungey, M., Henry, O. and Hvozdyk, L. (2011) “The Impact of Jumps and Thin Trading on Realized Hedge Ratios”