Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Researchers in this field
Fellows
Fellows
PhD Students
PhD Students
Key Publications
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.
Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :.
Bräuning, F. and Koopman, S.J. (2020). The dynamic factor network model with an application to international trade Journal of Econometrics, 216(2):494--515.
Discussion Papers
21-085/III - The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk
Date: September 23, 2021
21-086/III - Jump Contagion among Stock Market Indices: Evidence from Option Markets
Date: September 23, 2021
21-083/IV - Pooling Dynamic Conditional Correlation Models
Date: September 16, 2021
21-080/III - Moments, Shocks and Spillovers in Markov Switching VAR Models
Date: September 14, 2021
21-062/III - Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
Date: July 04, 2021
Academic Distinctions
April 15, 2021
Team VU Amsterdam with PhD students Quint Wiersma and Mariia...
Mariia Artemova,Quint Wiersma
April 13, 2021
Denis Sargan Econometrics Prize for Arturas Juodis
Arturas Juodis