The Behavioral and Experimental Economics group has an influential position in this field in the Netherlands and Europe. CREED, the Amsterdam-based group, focuses particularly on three main projects: economics of political decision making; bounded rationality and institutions and experimental economics. The research of the Rotterdam-based group focuses on two broad themes: decision under risk and uncertainty and intertemporal choice.
- Research project:
- Panta rhei, measurement and discovery of change in financial markets
- Professor S.J. Koopman, Professor A. Lucas, Arjen Siegmann and Denitsa Stefanova
- Applied Econometrics, Asset Pricing, Econometric Methodology, Empirical Asset Pricing, Financial Econometrics, Financial Economics, Time Series Econometrics
Marcin Zamojski is a PhD student at the VU University Amsterdam and Tinbergen Institute. He is interested in issues related to time-series econometrics, term structure of interest rates, and hedge funds.
- Generalized Autoregressive Method of Moments (with Drew Creal, Siem Jan Koopman, and André Lucas)
- Hedge Fund Innovation (with Arjen Siegmann and Denitsa Stefanova)
Work in progress
- Filtering with Confidence: In-sample Confidence Bands for GARCH Filters
- Estimation and Forecasting of Affine Term Structure Models with Score-driven Methods (with Siem Jan Koopman and André Lucas)