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
- Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk2018 | Faculty of Social Sciences
- On the Modelling and Forecasting of Multivariate Realized Volatility: Generalized Heterogeneous Autoregressive (GHAR) Model2017 | 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
- On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) 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
- Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets2019 | Faculty of Social Sciences
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