Study programme
Classes
- Advanced Econometrics +1JEM005 | Faculty of Social Sciences
- Advanced Financial Econometrics IJED412 | Faculty of Social Sciences
- Advanced Financial Econometrics IIJED413 | Faculty of Social Sciences
- Financial Econometrics IIJEM061 | Faculty of Social Sciences
- An Introduction to the Econometrics of NetworksJEM210 | Faculty of Social Sciences
Publications
- A semiparametric nonlinear quantile regression model for financial returns2017 | Faculty of Social Sciences
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility2015 | Faculty of Social Sciences
- Modeling multivariate volatility using wavelet-based realized covariance estimator2011 | Faculty of Mathematics and Physics, Faculty of Social Sciences
- Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatilityPublication without faculty affiliation
- Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices*2023 | Faculty of Mathematics and Physics, Faculty of Social Sciences
- Asymmetric Network Connectedness of Fears2022 | Publication without faculty affiliation
- Measurement of common risks in tails: A panel quantile regression model for financial returns2021 | Publication without faculty affiliation
- Panel quantile regressions for estimating and predicting the value-at-risk of commodities2019 | Faculty of Social Sciences
- Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets2019 | Faculty of Social Sciences
- Forecasting dynamic return distributions based on ordered binary choice2019 | Publication without faculty affiliation
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