Azam Shamsi

Associate Professor

PhD (McMaster University, DeGroote School of Business)

Management, Faculty of

Tilley Hall 308A

1 506 453 4895

Azam Shamsi Zamenjani is an Associate Professor at the Faculty of Business Administration and is a member of Finance area. Dr. Shamsi's main research interests are in the areas of Financial Econometrics and Empirical Finance.

Her research mixes financial theory, econometric techniques, and data to investigate the behaviour of prices and expectations in financial markets.

The main objective in her research is to understand what determines the movement of security prices and to use this in asset pricing, risk management, portfolio selection, and forecasting future price movements by introducing models with the least amount of restrictions in a Bayesian nonparametric framework.

Dr. Shamsi teaches financial data analysis in the Master in Quantitative Investment Management (MQIM) program, along with investments and principles of finance and investments in the MBA and BBA programs.

Published papers

Jazinaninejad, Nematollahi, Shamsi Zamenjani, Tajbakhsh. (2022). A Sustainability considerations of biomass supply chains: a systematic literature review. Journal of Cleaner Production.

Shamsi Zamenjani, A. (2021). Do financial variables predict the conditional density of the market portfolio? Journal of Empirical Finance. 62, 327-345.

Tajbakhsh, A., & Shamsi Zamenjani, A. (2019). Sustainability performance of countries matters: A nonparametric index. Journal of Cleaner Production, 224, 506-522.

Maheu, J. M., & Shamsi Zamenjani, A. (2019). Nonparametric Dynamic Conditional Beta. Journal of Financial Econometrics, 1-31.

Tajbakhsh, A., & Shamsi Zamenjani, A. (2019). A facility location problem for sustainability-conscious power generation decision-makers. Journal of Environmental Management, 230, 319-334.

Tajbakhsh, A., Eshghi, K., & Shamsi Zamenjani, A. (2012). A hybrid PSO-SA algorithm for the traveling tournament problem. European Journal of Industrial Engineering, 6 (1), 2-25.

Book chapters

Maheu, J. M., & Shamsi Zamenjani, A. (2019). Applications in Finance. In Handbook of Mixture Analysis, Sylvia Fruhwirth-Schnatter, Gilles Celeux, Christian P. Robert (Ed.), CRC Press.

Tajbakhsh, A., & Shamsi Zamenjani, A. (2009). Calculus for Industrial Engineering Students. Arshad Press, Iran.

Working papers

  • The role of macro-finance factors in predicting market volatility: A latent threshold dynamic model. Under review, Journal of Empirical Finance (with J Maheu)
  • Is tail risk priced in the market portfolio? a nonparametric approach.
  • How does risk propagate? contemporaneous and lagged effects. (with J Maheu)
  • Quadruple-channel agricultural supply chains: organic vs. conventional agriculture produces. (with Jazinaninejad, Nematollahi, Sedghy, Tajbakhsh)
  • Does the term structure of interest rates contain any information about future inflation and economic growth? (with J Maheu)