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
- Do co-jumps impact correlations in currency markets?2018 | Publication without faculty affiliation
- Estimation of long memory in volatility using wavelets2017 | Faculty of Social Sciences
- Modeling and forecasting exchange rate volatility in time-frequency domain2016 | Faculty of Social Sciences
- Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility2016 | Publication without faculty affiliation
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise2015 | Faculty of Social Sciences
- Modeling multivariate volatility using wavelet-based realized covariance estimator2011 | Faculty of Mathematics and Physics, Faculty of Social Sciences
- Estimation of Long Memory in Volatility Using WaveletsPublication 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
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