After working at the Econometric Institute of the Erasmus University Rotterdam I switched to the Econometrics research group of Siem Jan Koopman at the Vrije Universiteit Amsterdam.
After the defence of my thesis on Time Varying Parameter Models for Inflation and Exchange Rates I took a position as a post-doc researcher at the VU. These pages give a short resume of the research I plan to work on in the next years, the publications and working papers I co-authored, a range of software routines of which the project on the GnuDraw graphics extension for Ox is the largest.
In the mean time, I can be reached at the address given below.
From October 1, 2002 until June 30, 2003, I worked as a Research Officer at Nuffield College, to work with Neil Shephard and his group.
Starting September 1, 2005, I am funded through a VENI research grant from the NWO, the Dutch Science foundation.
At the moment I'm employed as assistant professor at the Department of Econometrics and Operations Research at the VU University Amsterdam.
|
 |
| 15/10/11 | The article Relating Stochastic Volatility Estimation Methods will appear in the Handbook of Volatility Models and Their Applications, edited by Luc Bauwens, Christian M. Hafner, Sébastien Laurent, appearing at Wiley publishers in 2012. |
|---|---|
| 28/9/11 | The article Spot Variance Path Estimation and its Application to High Frequency Jump Testing is accepted for publication in the Journal of Financial Econometrics. |
| 2/8/11 | Version 5.5 of GnuDraw |
| 13/5/11 | A Bayesian Analysis of Unobserved Component Models using Ox appeared in the Journal of Statistical Software. |
| 21/5/10 | Version 5.4 of GnuDraw |
| 22/2/10 | New paper on robust industrial production estimation available for downloading. |