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Scholarly Interest Report
         
Natalia Sizova
Assistant Professor
Assistant Professor of Economics
 
e-mail:Natalia.Sizova@rice.edu
 
Primary Department
   Department of Economics
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Research Areas
 Time-Series Econometrics, Asset Pricing
 
Selected Publications
 Refereed articles
 

Bollerslev T., Osterrieder D., Sizova N. and G. Tauchen (2013), "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability", Journal of Financial Economics, 108(2), 409-424.

 
 Articles
 

Gualtieri J. N. and N. Sizova "Extreme Events in Stock Market Fundamental Factors."  (2014) In Progress

 
Presentations
 Invited Papers
 

"A Frequency-Domain Alternative to Long-Horizon Regressions with Application to Return Predictability." Eastern Finance Association Annual Meetings, St. Pete Beach, Florida. (Apr 11, 2013)

 
 

"A Frequency-Domain Alternative to Long-Horizon Regressions with Application to Return Predictability." Asia Meeting of the Econometric Society, Delhi, India, (December 21, 2012)

 
 

"Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability." The 4th Annual Modeling High Frequency Data in Finance Conference , Stevens Institute of Technology, NJ. (July 21, 2012)

 
 

"Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability." Joint Statistical Meeting, Business and Economic Statistics Section, San Diego, CA. (Aug 1, 2012)

 
 Invited Talks
 

"A Better Alternative to Long-Horizon Regressions." American Statistical Association Houston Area Chapter, Houston, TX. (April 12, 2012)

 
 Posters
 

"Frequency-Domain (Optimal) Test for Long-Run Return Predictability." CIREQ Econometrics Conference: Time Series and Financial Econometrics, 2013 , Montreal, Canada. (May 4, 2013)

 
 Seminar Speaker
 

"Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability." Inaugural India Finance Conference, Indian Institue of Management (IIM) Bangalore, India. (December 21, 2011)

 
 Session Chair
 

"Financial Econometrics." 2011 North American Summer Meeting of the Econometric Society, Washington University, St. Louis, MO. (June 11, 2011)