Profile page for: Azam Shamsi | UNB

Azam Shamsi

Assistant Professor

PhD (McMaster University, DeGroote School of Business)

Management, Faculty of

Tilley Hall 308A

1 506 453 4895

Azam Shamsi Zamenjani is an Assistant 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 Principles of Finanance and Investments in the MBA and BBA programs.

Published papers

Shamsi Zamenjani, A. (2021). Do financial variables help predict the conditional distribution 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-consciouspower generation decision makers. Journal of Environmental Management, 230, 319-334.

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

Book chapters

Maheu, J.M., & Shamsi, A. (2019). Applications in Finance, in Handbook of Mixture Analysis. Forthcoming CRC Press.

Working papers

  • Shamsi Zamenjani, A. (2021). "Is tail risk priced in the market portfolio: a nonparametric approach."
  • Maheu, J. M. & Shamsi Zamenjani, A. (2021). "How does risk propagate: contemporaneous and lagged
  • Shamsi Zamenjani, A. & Maheu, J. M. (2021). "Predictability of volatility of market returns."