Study programme
Classes
- An Introduction to the Econometrics of NetworksJEM210 | Faculty of Social Sciences
- Advanced Financial Econometrics IJED412 | Faculty of Social Sciences
- Advanced Financial Econometrics IIJED413 | Faculty of Social Sciences
- Advanced Econometrics +1JEM005 | Faculty of Social Sciences
- Financial Econometrics IIJEM061 | Faculty of Social Sciences
Publications
- Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk2018 | Faculty of Social Sciences
- On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model2017 | Faculty of Social Sciences
- Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets2017 | Faculty of Social Sciences
- Estimation of financial agent-based models with simulated maximum likelihood2017 | Faculty of Social Sciences
- Gold, oil, and stocks: Dynamic correlations2016 | Faculty of Social Sciences
- Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility2016 | Publication without faculty affiliation
- Wavelet-Based Correlation Analysis of the Key Traded Assets2014 | Faculty of Social Sciences
- Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment2013 | Faculty of Mathematics and Physics, Faculty of Social Sciences
- How do skilled traders change the structure of the market2012 | Faculty of Social Sciences
- Smart agents and sentiment in the heterogeneous agent model2010 | Faculty of Social Sciences
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