Study programme
Classes
- Financial Econometrics IIJEM061 | Faculty of Social Sciences
- Advanced Financial Econometrics IJED412 | Faculty of Social Sciences
- Advanced Financial Econometrics IIJED413 | Faculty of Social Sciences
- Advanced Econometrics +1JEM005 | Faculty of Social Sciences
- An Introduction to the Econometrics of NetworksJEM210 | 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
- Modeling and Forecasting Persistent Financial Durations2017 | Publication without faculty affiliation
- Modeling and forecasting exchange rate volatility in time-frequency domain2016 | 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
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise2015 | Faculty of Social Sciences
- Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data2015 | Faculty of Social Sciences
- Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests2014 | Publication without faculty affiliation
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