I am a PhD Candidate in Econometrics at the University of St.Gallen (HSG), holding an M.Sc. in Mathematical Finance from the University of Konstanz. My research interests include (High Frequency) Financial Econometrics, Macroeconometrics and Time Series Analysis. In my thesis, I am exploring structural multivariate volatility models. My supervisors are M. Fengler (University of St.Gallen) and L. Fanelli (University of Bologna).

Currently, I am a visiting researcher at the Universitat Pompeu Fabra (UPF) with financing by a one year mobility grant with my host being C. Brownlees.

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Research

Working Papers

• Fengler, M. R. and Polivka, J. (2022a). Identifying structural shocks to volatility through a proxy-MGARCH model, Economics Working Paper Series 2103, University of St. Gallen, URL: https://ideas.repec.org/p/usg/econwp/202103.html, revise and resubmit.

• Fengler, M. R. and Polivka, J. (2022b). Structural volatility impulse response analysis, Economics Working Paper Series 2211, University of St.Gallen, URL: https://ideas.repec.org/p/usg/econwp/202211.html, revise and resubmit.

• Dimitriadis, T., Halbleib, R., Polivka, J. and Streicher S. (2022). Efficient Realized Variance Estimation in Time-Changed Diffusion Processes, Technical Report, URL: https://arxiv.org/abs/2212.11833, submitted.

• Polivka, J. (2022). Time-varying shock transmission in proxy-identified volatility models, Working Paper, Preprint Thesis Chapter 3, University of St.Gallen, URL: https://github.com/JeanninePolivka/Structural-Volatility-Modeling/blob/main/ThesisJeanninePolivka_Preprint.pdf.

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Conference contributions

• EEA-ESEM 2022, European meeting of the Econometric Society, Parallel Session: Macroeconometrics.

• QFFE 2022, International Conference on Quantitative Finance and Financial Econometrics, Parallel Session 1: ARCH. Parallel Session 2: High Frequency Data.

• BSE Summer Forum 2022, Barcelona School of Economics, Poster Session: Advances in Econometrics.

• CFE 2021, 15th International Conference on Computational and Financial Econometrics, Invited Session: Advances in Volatility Modeling.

• 2021 NBER-NSF Time Series Conference, Poster Session: Advances in Time Series Modeling.

• University of Bologna 2021, Department of Economics: Internal Seminar.

• SoFiE 2021. Annual Conference of the Society of Financial Econometrics 2021, Parallel Session: Volatility.

• SSES 2021. Annual Congress of the Swiss Society of Economics and Statistics, Parallel Session: Econometrics III.

• RMI 2021, NUS RMI 14th Annual Risk Management Conference. Parallel Session: Advances in Risk Management.

• CEQURA 2019, 10th Conference on Advances in Financial and Insurance Risk Management.

Review Activities

• International Journal of Forecasting

• Econometrics and Statistics

Teaching

Teaching Fellow

• Time Series Econometrics, Master level (2018-2021, University of St.Gallen)

• Econometric Methods for Financial Instruments, Master level (2018-2021, University of St.Gallen)

• Data Analytics in Finance, Bachelor level (2019-2021, University of St.Gallen)

• Mathematics A/B relief tutor & correction assistant, Bachelor level (2019-2021, University of St.Gallen)

• Analysis I, Bachelor level (2015, University of Konstanz)