Classes
- EconometricsJCM002 | Faculty of Social Sciences
- Time Series EconometricsJCM028 | Faculty of Social Sciences
- Econometrics for Macroeconomic and Financial DataJCM056 | Faculty of Social Sciences
- Field General Exam Dynamic Modeling in Economics I & IIJCD039 | Faculty of Social Sciences
- Dynamic Modeling in Economics IJCM068 | Faculty of Social Sciences
Publications
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility2023 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Testing many restrictions under heteroskedasticity✩2023 | Publication without faculty affiliation
- Copula shrinkage and portfolio allocation in ultra-high dimensions2022 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Factor models with many assets: strong factors, weak factors, and the two-pass procedure2022 | Publication without faculty affiliation
- MEM or/and LogARMA: which model for realized volatility?2022 | Publication without faculty affiliation
- Directional news impact curve2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Mallows criterion for heteroskedastic linear regressions with many regressors2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Limit theorems for factor models2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- How does the financial market update beliefs about the real economy? Evidence from the oil market2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- A ridge to homogeneity for linear models2020 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
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