Study programme
Classes
- 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
- Advanced Financial Econometrics IJED412 | Faculty of Social Sciences
- Advanced Financial Econometrics IIJED413 | Faculty of Social Sciences
Publications
- On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model2017 | Faculty of Social Sciences
- A semiparametric nonlinear quantile regression model for financial returns2017 | Faculty of Social Sciences
- Forecasting the term structure of crude oil futures prices with neural networks2016 | Faculty of Social Sciences
- Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression2016 | Faculty of Social Sciences
- Combining high frequency data with non-linear models for forecasting energy market volatility2016 | Faculty of Social Sciences
- Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility2016 | Publication without faculty affiliation
- On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) modelPublication without faculty affiliation
- Forecasting the Term Structure of Crude Oil Futures Prices with Neural NetworksPublication without faculty affiliation
- Common Cycles in Volatility and Cross Section of Stock ReturnsPublication without faculty affiliation
- Measurement of Common Risk Factors: A Panel Quantile Regression Model for ReturnsPublication without faculty affiliation
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