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
- Estimation of financial agent-based models with simulated maximum likelihood2017 | Faculty of Social Sciences
- Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment2013 | Faculty of Mathematics and Physics, Faculty of Social Sciences
- How do skilled traders change the structure of the market2012 | Faculty of Social Sciences
- Smart agents and sentiment in the heterogeneous agent model2010 | Faculty of Social Sciences
- Estimation of Financial Agent-Based Models with Simulated Maximum LikelihoodPublication without faculty affiliation
- Volatility Term Structure Modeling Using Nelson-Siegel ModelPublication 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
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