Dirk Nitzsche


Dirk Nitzsche is Senior Lecturer in Finance at Cass Business School, City University, London, which he joined in October 2004 from the Tanaka Business School, Imperial College, London. Previously he worked at the University of Newcastle upon Tyne where he received his PhD in 1996. He holds a visiting position at New York University in London (Stern Business School) and has links with the Olin Business School, Washington University in St Louis.

Dr Nitzsche’s research is empirically based applying sophisticated econometrics techniques, such as cointegration, the Campbell-Shiller VAR methodology, ARCH and GARCH models, Kalman Filter and different sampling techniques (i.e. Bootstrapping, Monte Carlo Simulation) to different area of asset pricing. His research looks at macro-issues in financial economics and he has written a number of papers about testing the efficiency of financial markets. His current research focuses on aspects of asset management where he investigates questions about fund performance, persistence of performance and market timing.

Dr Dirk Nitzsche
Dirk Nitzsche is widely published in leading international journals including Economic Journal, Oxford Economic Papers, Manchester School, Quarterly Review of Economics and Finance, Oxford Bulletin of Economics and Statistics, Journal of Economic Dynamics and Control, Economic Modelling, International Journal of Finance and Economics. He has also co-authored three textbooks in finance published by John Wiley : (i) Investments : Spot and Derivatives Markets, (ii) Financial Engineering : Derivatives and Risk Management and (iii) Quantitative Financial Economics.

Dirk Nitzsche teaches a wide range of courses, mainly at postgraduate level, in finance, economics, statistics and econometrics.

Please follow this link to the CASS Business School website for more information about Dr Nitzsche.



Dirk Nitzsche

Contact Details:


Senior Lecturer in Finance

Research Area:

empirically based applying sophisticated econometrics techniques



Centre for Investment Research

University College Cork, College Road, Cork, Ireland