Maria Pacurar
Associate Professor of Finance; Vice Chair of Senate, Student Affairs
Email: Maria.Pacurar@dal.ca
Phone: 902-494-3928
Fax: 902-494-1107
Mailing Address:
Kenneth C. Rowe Management Building
6100 University Ave, Room 4088
Halifax, Nova Scotia, Canada B3H 4R2
Research Topics:- ACD models
- High-frequency data
- Market microstructure
- Financial markets
- Financial risk assessment
- Asset pricing
- FinTech
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Education
- PhD (HEC Montr茅al)
- MBA (IAE Nantes/ESFAM)
- BEc (Babes-Bolyai University, Romania)
1Current Teaching
- 听 Introduction to FinTech
- 听 Financial Institutions
- 听 Foundations of Fintech
- 听 Global Markets & Institutions
Research Interests
Dr. Pacurar鈥檚 research focuses on the use of high-frequency financial data for intraday risk measurement, market microstructure analysis and multi-market trading.
Selected Awards and Honours
- 2015听 A. Gordon Archibald Teaching Excellence Award
- 2015听 Rowe Research Grant
- 2009听听Faculty of Management Teaching Excellence Award
- 2007听听2006 Mercure Award for the best doctoral thesis at HEC Montr茅al
- 2006听听Bank of Canada Award for Best Canadian Financial Market Paper at the 2006 Northern Finance Association Conference (with Georges Dionne and Pierre Duchesne)
Selected Publications
- Factor investing and risk management: Is smart-beta diversification smart? Nazaire, G., Pacurar, M., & Sy, O. Finance Research Letters, 41, 101854听 (2021)
- Betas versus characteristics: A practical perspective听 Nazaire, G., Pacurar, M., & Sy, O. European Financial Management 26, 1385-1413听 (2020)
- Liquidity-adjusted intraday value-at-risk modeling and risk management: An application to data from Deutsche B枚rse听 Dionne, G., Pacurar, M. & Zhou, X.听 Journal of Banking and Finance 59, 202-219听 (2015)
- Intraday value-at-risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange听听Dionne, G., Duchesne, P. & Pacurar, M.听 Journal of Empirical Finance 16(5), 777-792听 (2009)
- Autoregressive conditional duration (ACD) models in finance: A survey of the theoretical and empirical literature听 Pacurar, M.听 Journal of Economic Surveys 22(4), 711-751听 (2008)