Study programme
Classes
- Advanced Financial Econometrics IJED412 | Faculty of Social Sciences
- Advanced Financial Econometrics IIJED413 | Faculty of Social Sciences
- Financial Econometrics IIJEM061 | Faculty of Social Sciences
- Advanced Econometrics +1JEM005 | Faculty of Social Sciences
- An Introduction to the Econometrics of NetworksJEM210 | Faculty of Social Sciences
Publications
- Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk2018 | Faculty of Social Sciences
- A semiparametric nonlinear quantile regression model for financial returns2017 | Faculty of Social Sciences
- Estimation of long memory in volatility using wavelets2017 | Faculty of Social Sciences
- Estimation of financial agent-based models with simulated maximum likelihood2017 | Faculty of Social Sciences
- Modeling and Forecasting Persistent Financial Durations2017 | Publication without faculty affiliation
- Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers2016 | Faculty of Social Sciences
- Gold, oil, and stocks: Dynamic correlations2016 | Faculty of Social Sciences
- Modeling and forecasting exchange rate volatility in time-frequency domain2016 | 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
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