Welcome to my Web Page! I am a Lecturer (Assistant Professor) in Finance at the University of Liverpool Management School. I am also a Research Fellow at Lancaster University Management School. I hold a Master Grande Ecole from Rouen Business School, an M.Sc. in Quantitative Finance, and a Ph.D. in Financial Econometrics funded by the ESRC, both from Lancaster University.
My main research interests include high-frequency financial econometrics, empirical asset pricing, option pricing, and financial risk management. His current work has focused on the modelling and forecasting of realized (co)variances, estimation of tail-risk measures, and the use of option data to construct better measures of variance and jump. More recently, he has also explored the asset pricing implications of the zero days-to-expiration (0DTE) options.
He has presented his research at leading academic conferences, such as the meetings of the American Finance Association (AFA), the European Finance Association (EFA), the EUROFIDAI Paris Conference, the Midwest Finance Association (MFA), the Econometric Society (ES), the European Economic Association (EEA), the Society for Financial Econometrics (SoFiE), the International Association for Applied Econometrics (IAAE), among others.
I am also affiliated with the Centre for Financial Econometrics, Asset Markets, and Macroeconomic Policy, and the Gulf One Lab for Computational and Economic Research (GOLCER), a leading research unit at the Lancaster University Management School, for which I am currently the Director of Scientific Implementation.
© 2020 Rodrigo Hizmeri. All rights reserved.
Rodrigo Hizmeri 