Study programme
Classes
- 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
- An Introduction to the Econometrics of NetworksJEM210 | Faculty of Social Sciences
Publications
- Monte Carlo-based tail exponent estimatorPublication 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
- Quantile coherency: A general measure for dependence between cyclical economic variables2019 | Publication without faculty affiliation
- Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk2018 | Faculty of Social Sciences
- Do co-jumps impact correlations in currency markets?2018 | Publication without faculty affiliation
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