| Sep. 2, 2022 |
Happy to look back on a fun and exciting conference Summer! Lots of presentations of joint work at conferences, of five papers. (a) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, has been presented at SNDE 2022 (actually that was in March), QFFE 2022, 2022 IAAE Conference, 14th Annual SoFiE Conference and EEA-ESEM Annual Conference 2022. (b) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, has been presented at QFFE 2022, 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (c) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, has been presented at 2022 IAAE Conference and EEA-ESEM Annual Conference 2022. (d) The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, has been presented at 14th Annual SoFiE Conference. (e) Finally, the paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, has been presented at EFMA 2022 Annual Meetings. I was fortunate enough to travel to SoFiE and EEA-ESEM myself to present. |
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| Sep. 2, 2022 |
The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, has been accepted for publication and has already appeared in Computational Economics. |
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| Feb. 4, 2022 |
A few nice updates to share. (1) The paper Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs, joint with Terri van der Zwan and Erik Kole, is now available online. (2) The paper A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound, joint with Daan Opschoor, is now available online. Daan also presented it last December at the 15th International Conference on Computational and Financial Econometrics (CFE 2021). (3) The paper Robust Inferences for Mixed-Frequency Analysis, joint with Onno Kleen and Andrea Naghi, was also presented at the 15th International Conference on Computational and Financial Econometrics (CFE 2021) by Onno. The paper will be available later this year. (4) The paper Non-Standard Errors, in which I was honored and fortunate to play a minor part, has also appeared online. |
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| Jun. 4, 2021 |
The paper Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models, joint with Yaoyuan Zhang, is now available online. |
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| Apr. 14, 2021 |
Again haven't updated the website for a while. Some updates I am happy to share: (1) Since January 1, 2021, I am vice-dean of education at the ESE. (2) The paper Modelling Sovereign Credit Ratings: Evaluating the Accuracy and Driving Factors using Machine Learning Techniques, joint with Bart Overes, is now available online. (3) The paper Forecasting Bond Risk Premia using Stationary Yield Factors, joint with Tobias Hoogteijling and Martin Martens, is now available online. (4) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang, has been accepted for presentation at the 2021 China International Conference in Finance. Yaoyuan will do the presentation. The paper will be available soon. |
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| Aug. 14, 2020 |
Back updating the website after a turbulent time. Some updates I am happy to share: (1) Online teaching went well and was fun. For the course 'Econometrie 2' (essentially applied econometrics) I got a 5/5, my first 'perfect score' in a student evaluation. (2) The paper 'Global Evidence on Unspanned Macro Risks in Dynamic Term Structure Models', joint with Yaoyuan Zhang from HKU, has been accepted for presentation at the European Economic Association 2020 (Virtual) Conference. Yaoyuan will do the presentation. The paper will be available later this year. (3) The paper 'Expectations or Surprises: What Really Moves the U.S. Treasury Market?', joint with Deniz Erdemlioglu from IESEG Lille, has been accepted for the Society for Nonlinear Dynamics and Econometrics 2020 (Virtual) Conference. Also this paper will be available at a later time. (4) Starting May 1, 2020, I have been Associate Editor at the International Journal of Forecasting. |
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| Feb. 4, 2020 |
The resume on this website has been updated. Also happy to share the news that on December 17, 2019, I was awarded the Educational Development Award, and that on January 31, 2020, I held my Inaugural Lecture. |
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| Jan. 14, 2019 |
Great news: Starting January 1st of this year I am Full Professor. My position is as Endowed Professor Econometrics of Macro-Finance. |
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| Dec. 17, 2018 |
Various updates made to the website, including uploaded a new version of the PDF version of my resume. |
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| May 21, 2018 |
The paper An Asset Pricing Approach to Testing General Term Structure Models (joint with Bent Jesper Christensen) is forthcoming in the Journal of Financial Economics. |
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| Mar. 6, 2018 |
The paper An Asset Pricing Approach to Testing General Term Structure Models (joint with Bent Jesper Christensen) has been updated, see the working papers section for more information. |
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| Feb. 22, 2018 |
After a long time, some updates to the website, most notably for the resume, publications and working papers sections. |
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| Feb 22, 2018 |
The paper What Do Professional Forecasters Actually Predict? (joint with Didier Nibbering and Richard Paap) has recently appeared in the International Journal of Forecasting. |
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| Feb. 22, 2018 |
The paper Structural Estimation of Dynamic Macroeconomic Models Using Higher-Frequency Financial Data (joint with Max Ole Liemen and Olaf Posch) has been accepted for presentation at the 26th SNDE Symposium in Tokyo, Japan. Max Ole will do the presentation. |
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| Sep. 28, 2017 |
Starting this academic year, I will teach Quantitative Methods in Fixed Income. |
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| Sep. 4, 2017 |
The paper Common Factors in Commodity Futures Curves has been updated, see the working papers section for more information. |
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| Sep. 1, 2017 |
Starting September 1, 2017, I am Academic Director of the Econometrics Specialization in the Master Program Econometrics and Management Science. |
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| Aug 28, 2017 |
The paper Expectations or Surprises: What Really Moves the U.S. Treasury Market? (joint with Deniz Erdemliuglu, working paper version will be available later this year) has been accepted for presentation at the Paris December 2017 Finance Meeting in Paris, France. Deniz will do the presentation. |
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| May 30, 2017 |
Back to updating the website after a long time. Many changes throughout the website and lots of things happened the past months, including a new forthcoming Journal of Applied Econometrics paper, the Journal of Financial Markets paper appeared, a working paper was updated, gave a seminar in Bristol and Warwick, and have two upcoming presentations (at the 2017 SoFiE Conference and Barcelona Summer Forum on Time Series Econometrics). In the evenings I followed a very interesting MOOC on Machine Learning. |
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| Dec. 16, 2016 |
The paper A Bayesian Infinite Hidden Markov Vector Autoregressive Model (joint with Didier Nibbering and Richard Paap) is now available online, see the working papers section for more information. |
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| Dec. 16, 2016 |
I was presented a Top Researcher Award 2016 by the Erasmus School of Economics. |
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| Dec. 16, 2016 |
The PDF version of my resume has (finally) been updated, see the resume section for more information. |
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| Nov. 11, 2016 |
After an intensive period dominated by teaching activities, back to also working on research. Yesterday gave a seminar at IESEG Lille, next week in a PhD committee at Aarhus University, the week therafter a visit from a co-author, and the week therafter a visit to a co-author. |
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| Oct. 27, 2016 |
Back to updating and maintaining the website, after some time. In the meanwhile, the paper Intraday Price Discovery in Fragmented Markets (joint with Sait Ozturk and Dick van Dijk) has been accepted by the Journal of Financial Markets, PhD student Sait Ozturk succesfully defended his PhD, and I finished teaching the MSc course on Financial Derivatives and my part of the Asset Pricing reading group for ERIM MPhil students. |
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| June 6, 2016 |
The Erasmus School of Economics recently released some information, reviews and statistics on our MOOC, see the Instagram message. Very happy to see so many people interested in the course (there are close to 20,000 active learners!). |
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| June 6, 2016 |
Just returned from the highly interesting ECB Forecasting Workshop, where I discussed a very interesting paper and did a poster presentation of What do Professional Forecasters actually predict? (joint with Didier Nibbering and Richard Paap). |
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| June 6, 2016 |
The paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) has recently appeared in the Journal of Econometrics, and the paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) has recently appeared in the Economic Journal. |
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| May 31, 2016 |
The paper An Asset Pricing Approach to Testing General Term Structure Models (joint with Bent Jesper Christensen) has been updated, see the working papers section for more information. Among other important changes, we now put a focus on the relationship of the risk premia to aggregate macro indicators, and examine to what extent observable factors can replace the latent risk premia factors. |
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| May 20, 2016 |
The paper Why do Pit-Hours Outlive the Pit? (joint with Sait Ozturk and Dick van Dijk) has been updated, see the working papers section for more information. |
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| Apr. 19, 2016 |
The paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) is forthcoming in the Journal of Econometrics. |
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| Apr. 14, 2016 |
The paper A Bayesian Infinite Hidden Markov Structural Vector Autoregressive Model (joint with Didier Nibbering and Richard Paap, working paper version will be available at a later stage) was accepted for presentation at the IAAE 2016 Annual Conference and at the 2016 EEA-ESEM Meeting. Didier will do both presentations. |
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| Apr. 19, 2016 |
The paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) is forthcoming in the Journal of Econometrics. |
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| Jan. 4, 2016 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) is forthcoming in the Economic Journal. |
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| Jan. 4, 2016 |
As MOOC team we won the Top Lecturer Award 2015 from the Erasmus School of Economics. I was also nominated personally (my third nomination for Top Lecturer!). |
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| Jan. 4, 2016 |
Back at work after taking a great 1 month break to take care of my newborn daughter. Energized for the new year! Teaching coming up with first case studies supervision for master students, then econometrics for bachelor students and to end the academic year master thesis supervision, with the MOOC on the side for the first weeks. Fun to combine this with ongoing research and working on exciting new ideas. |
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| Nov. 23, 2015 |
Based on my research output over 2010-2014 I am listed as ERIM High Performance Researcher. |
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| Nov. 20, 2015 |
The paper Intraday Price Discovery in Fragmented Markets (joint with Sait Ozturk and Dick van Dijk) has been updated, see the research section for more information. Among other important changes, we now consider a rich cross-section of stocks for a recent sample period. |
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| Nov. 2, 2015 |
Our MOOC has now officially started, see coursera for more information! |
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| Oct. 29, 2015 |
Today I'll present the paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) at the Tinbergen Macroeconomics and International Economics Research Group Workshop. |
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| Oct. 29, 2015 |
Time flies. My two sessions for the ERIM Seminar Asset Pricing reading group are already over. |
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| Oct. 14, 2015 |
The paper What do Professional Forecasters actually predict? (joint with Didier Nibbering and Richard Paap) has been updated, see the research section for more information. |
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| Oct. 5, 2015 |
Big news: The MOOC we've developed with a group of colleagues will start November 2, 2015. Click here for more information! |
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| Sep. 15, 2015 |
The new academic year has started! We are now a little over two weeks into the first block, and I am teaching the course of Financial Derivatives for a very large group of (surely!) interested students in our Quantitative Finance master. |
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| Sep. 4, 2015 |
We are hiring! There is a vacancy at the Econometric Institute, see for more details the open faculty position. |
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| Aug. 23, 2015 |
The paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) has been updated, see the research section for more information. Among other important changes, we have added a discrete-time analogue of our continuous-time model (with comparison), asymptotic theory, and stochastic volatility and regime-switching volatility dynamics. |
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| Aug. 6, 2015 |
The paper What do Professional Forecasters actually predict? (joint with Didier Nibbering and Richard Paap) is now available on SSRN and as Tinbergen Institute Discussion Paper 15-095/III. |
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| July 13, 2015 |
The paper Why do Pit-Hours Outlive the Pit? (joint with Sait Ozturk and Dick van Dijk) is now available on SSRN and as Tinbergen Institute Discussion Paper 15-082/III. |
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| July 9, 2015 |
The paper Dynamic Factor Models for the Volatility Surface (first author, joint with Sait Ozturk and Dick van Dijk) is forthcoming in the Advances in Econometrics (AiE) issue on Dynamic Factor Models. |
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| June 9, 2015 |
The paper Dynamic Factor Models for the Volatility Surface (first author, joint with Sait Ozturk and Dick van Dijk) has been updated, see the research section for more information. |
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| May 28, 2015 |
The paper Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities (joint with Anne Opschoor and Dick van Dijk) has been updated and renamed to Combining Density Forecasts Using Censored Likelihood Scoring Rules, see the research section for more information. |
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| May 21, 2015 |
I will present the paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) at a seminar at Lund University in Lund, Sweden. |
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| May 21, 2015 |
2 Acceptances at the 2015 ESWC!! The papers What Do Professional Forecasters Actually Predict? (joint with Didier Nibbering and Richard Paap, working paper version will be available later this year) and What Drives the Yield Curve? (joint with Dennis Kristensen and Oliver Linton, working paper version will be available later this year) have been accepted for presentation at the 11th World Congress of the Econometric Society in Montreal, Canada. Didier and myself will do the presentations, respectively. |
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| May 21, 2015 |
2 Acceptances at the second IAAE conference!! The papers What Do Professional Forecasters Actually Predict? (joint with Didier Nibbering and Richard Paap, working paper version will be available later this year) and What Drives the Yield Curve? (joint with Dennis Kristensen and Oliver Linton, working paper version will be available later this year) have been accepted for presentation at the IAAE 2015 Annual Conference in Thessaloniki, Greece. Didier and myself will do the presentations, respectively. |
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| May 21, 2015 |
Congratulations to family-in-law Quan Wang on his PLOS ONE publication. |
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| Apr. 16, 2015 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) has been updated, see the research section for more information. |
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| Apr. 1, 2015 |
Starting today I am Associate Editor at Statistica Neerlandica. |
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| Mar. 26, 2015 |
Congratulations to Dennis Karstanje for succesfully defending his PhD dissertation today! Dennis' promotor is Dick van Dijk, and Wing Wah Tham and I are his daily supervisors (co-promotors). |
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| Feb. 13, 2015 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information) has been accepted for presentation at the 2015 Annual Conference of the Royal Economic Society in Manchester, USA. |
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| Feb. 13, 2015 |
The paper Common Factors in Commodity Curves (joint with Dennis Karstanje and Dick van Dijk) is now available on SSRN. |
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| Feb. 13, 2015 |
The paper Dynamic Factor Models for the Volatility Surface (first author, joint with Sait Ozturk and Dick van Dijk) is now available on SSRN. |
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| Feb. 13, 2015 |
The paper Predicting Volatility and Correlations with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk) has appeared in the Journal of Empirical Finance (JEF). |
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| Feb. 13, 2015 |
Congratulations to Anne Opschoor for winning the JAE dissertation prize! |
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| Oct. 30, 2014 |
The paper Predicting Volatility and Correlations with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk) is forthcoming in the Journal of Empirical Finance (JEF). |
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| Oct. 30, 2014 |
I will present the paper Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) at a seminar at the University of Kent in Canterbury, UK. |
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| Oct. 30, 2014 |
I will present the paper Dynamic Factor Models for the Implied Volatility Surface (joint with Sait Ozturk and Dick van Dijk, working paper version will be available later this year) at the 16th Advances in Econometrics Conference on Dynamic Factor Models in Aarhus, Denmark. |
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| Oct. 9, 2014 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) has been updated and renamed to Estimating Dynamic Equilibrium Models using Mixed Frequency Macro and Financial Data, see the research section for more information. |
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| Aug. 5, 2014 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information) has been accepted for presentation at the 2015 Annual Meeting of the American Economic Association in Boston, Massachusetts, USA. |
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| Aug. 5, 2014 |
The paper What Drives the Yield Curve (joint with Dennis Kristensen and Oliver Linton, working paper version will be available at a later stage) has been accepted for presentation at the 2014 Quantitative Methods in Finance Conference in Sydney, Australie. |
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| Aug. 5, 2014 |
The paper What Drives the Yield Curve (joint with Dennis Kristensen and Oliver Linton, working paper version will be available at a later stage) has been accepted for poster presentation at the 2014 NBER-NSF Time Series Conference in St. Louis, Missouri, USA. |
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| Aug. 5, 2014 |
The paper Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities (joint with Anne Opschoor and Dick van Dijk) is now available on SSRN and as Tinbergen Institute Discussion Paper 14-090/III. |
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| Aug. 5, 2014 |
The paper Forecasting Interest Rates with Shifting Endpoints (joint with Dick van Dijk, Siem Jan Koopman and Jonathan Wright) has appeared in the Journal of Applied Econometrics (JAE). |
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| Aug. 5, 2014 |
The paper Order Flow and Volatility: An Empirical Investigation (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has appeared in the Journal of Empirical Finance (JEF). |
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| Aug. 5, 2014 |
The paper Predicting Covariance Matrices with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk) has been updated and renamed to Predicting Volatility and Correlations with Financial Conditions Indexes, see the research section for more information. |
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| Jul. 7, 2014 |
The paper Order Flow and Volatility: An Empirical Investigation (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) is forthcoming in the Journal of Empirical Finance (JEF). |
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| Jul. 7, 2014 |
That was fun! After 1 discussion (ECB conference), 1 seminar (DNB) and 3 conference presentations (NESG, IAAE, ISF) in two and a half weeks I am back at my desk. |
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| Jun. 7, 2014 |
The paper Intraday Price Discovery in Fragmented Markets (joint with Sait Ozturk and Dick van Dijk) has been updated, see the research section for more information. |
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| May 27, 2014 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) has been updated, see the research section for more information. |
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| May 22, 2014 |
The paper On the Effects of Order Flow on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has been updated and renamed to Order Flow and Volatility: An Empirical Investigation, see the research section for more information. |
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| May 22, 2014 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information) has been accepted for presentation at the 68th European Meeting of the Econometric Society in Toulouse, France. |
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| May 22, 2014 |
The paper Dimension reduction in large time varying VARs: The DFM-VAR Model (joint with Stefano Grassi, working paper version will be available later this year) has been accepted for presentation at the 34th International Symposium on Forecasting in Rotterdam, The Netherlands. |
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| May 22, 2014 |
3 Acceptances at the first IAAE conference!! The papers Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information), Dimension reduction in large time varying VARs: The DFM-VAR Model (joint with Stefano Grassi, working paper version will be available later this year) and Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) have been accepted for presentation at the IAAE 2014 Annual Conference in London, UK. Robin, Stefano and myself will do the presentations, respectively. |
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| May 22, 2014 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation at the CAMP Workshop on Commodity Price Dynamics and Financialization in Oslo, Norway. Dennis will do the presentation. |
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| May 22, 2014 |
I will present the paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information) at a seminar at the Dutch Central Bank (DNB) in Amsterdam, The Netherlands. |
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| May 22, 2014 |
I will discuss a paper at the Eighth ECB Workshop on Forecasting Techniques in Frankfurt am Main, Germany. |
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| May 22, 2014 |
The paper What Drives the Yield Curve (joint with Dennis Kristensen and Oliver Linton, working paper version will be available at a later stage) will be presented at the Tripartite Workshop of Cambridge Finance, Penn-Wharton and DSF-TI in Amsterdam, The Netherlands. |
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| May 22, 2014 |
The paper Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities (joint with Anne Opschoor and Dick van Dijk, working paper version will be available soon) was been accepted for presentation at the SoFiE Conference on Skewness, Heavy Tails, Market Crashes, and Dynamics in Cambridge, UK. Anne did the presentation. |
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| Mar. 3, 2014 |
The paper Smooth Dynamic Factor Analysis with Application to the US Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) has appeared in the Journal of Applied Econometrics (JAE). |
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| Feb. 28, 2014 |
The paper Intraday Price Discovery in Fragmented Markets (joint with Sait Ozturk and Dick van Dijk) is now available on SSRN and as Tinbergen Institute Discussion Paper 14-027/III. |
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| Feb. 20, 2014 |
Congratulations to Anne Opschoor for succesfully defending his PhD dissertation today! Anne's promotor is Dick van Dijk, and I am his daily supervisor (co-promotor). |
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| Feb. 3, 2014 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation at the FMA European Meeting in Maastricht, The Netherlands. |
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| Jan. 19, 2014 |
2 Acceptances at the SNDE conference!! The papers Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities (joint with Anne Opschoor and Dick van Dijk, working paper version will be available soon) and Intraday Price Discovery in Fragmented Markets (joint with Sait Ozturk and Dick van Dijk, working paper version will be available soon) have been accepted for presentation at the 22nd Symposium of the Society for Nonlinear Dynamics and Econometrics in New York, NY, USA. Dick and Sait will do the presentations. |
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| Jan. 17, 2014 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) is now available as NBER Working Paper No. 19814. |
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| Jan. 1, 2014 |
Starting January 2014 I am Associate Professor. |
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| Jan. 1, 2014 |
This year I will start teaching Econometrics 2 (the English language version) in the 2nd year Bachelor. |
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| Dec. 25, 2013 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine, see the research section for more information) has been accepted for presentation at the 14th OxMetrics User Conference in Washingon, D.C., USA. Robin will do the presentation. |
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| Dec. 23, 2013 |
The paper Market Set-Up in Advance of Federal Reserve Policy Rate Decisions (joint with Dick van Dijk and Robin Lumsdaine) is now available, see the research section for more information. |
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| Nov. 22, 2013 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has been updated and renamed to On the Effects of Order Flow on Volatility, see the research section for more information. |
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| Nov. 8, 2013 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) has been accepted for presentation at the 24th (EC)2 Conference on The Econometric Analysis of Mixed Frequency Data in Nicosia, Cyprus. Olaf will do the presentation. |
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| Nov. 8, 2013 |
The papers Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham) and Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (joint with Siem Jan Koopman) have appeared in the Journal of Banking and Finance (JBF) and International Journal of Forecasting (IJF), respectively. |
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| Sep. 23, 2013 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation in a poster session at the SoFiE Large Scale Factor Models in Finance Conference in Lugano, Switzerland. |
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| Sep. 23, 2013 |
The resume section on this website and the PDF version of my resume have been updated. |
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| Sep. 13, 2013 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham) is forthcoming in the Journal of Banking and Finance (JBF). |
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| Sep. 10, 2013 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham) has been updated, see the research section for more information. |
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| Aug. 15, 2013 |
The paper Predicting Covariance Matrices with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk) is now available on SSRN and as Tinbergen Institute Discussion Paper 13-113/III. |
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| Aug. 15, 2013 |
This year I will join the teaching team of the ERIM Seminar Asset Pricing (a reading group for MPhil and PhD students). |
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| Jul. 5, 2013 |
The paper Forecasting Interest Rates with Shifting Endpoints (joint with Dick van Dijk, Siem Jan Koopman and Jonathan Wright) is forthcoming in the Journal of Applied Econometrics (JAE). |
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| Jul. 5, 2013 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation at the SIRE Conference on Finance and Commodities in St Andrews, Scotland. Dennis will do the presentation. |
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| Jul. 5, 2013 |
The paper Dimension reduction in large time varying VARs: The DFM-VAR Model (joint with Stefano Grassi, working paper version will be available later this year) has been accepted for presentation in the poster session at the 13th OxMetrics User Conference in Aarhus, Denmark. |
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| Jul. 1, 2013 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham) has been updated, see the research section for more information. |
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| May 13, 2013 |
3 Acceptances at the Econometric Society European Meeting!! The papers Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (joint with Lei Pan and Olaf Posch, see the research section for more information), Predicting Covariance Matrices with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk, working paper version will be available later this year) and Intraday Price Discovery in Fragmented Markets: A State Space Approach (joint with Sait Ozturk and Dick van Dijk, working paper version will be available later this year) have been accepted for presentation at the 2013 EEA-ESEM Conference in Gothenburg, Sweden. Olaf, Anne and Sait will do the presentations. |
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| Apr. 17, 2013 |
2 Acceptances at the SoFiE Annual Conference!! The papers Intraday Price Discovery in Fragmented Markets: A State Space Approach (joint with Sait Ozturk and Dick van Dijk, working paper version will be available later this year) and Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) have been accepted for poster presentation at the 2013 Society for Financial Econometrics (SoFiE) Annual Conference in Singapore. Sait and Dennis will present the posters. |
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| Apr. 17, 2013 |
4 Acceptances at the Society for Computational Economics International Conference!! The papers Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information), Predicting Covariance Matrices with Financial Conditions Indexes (joint with Anne Opschoor and Dick van Dijk, working paper version will be available later this year), Intraday Price Discovery in Fragmented Markets: A State Space Approach (joint with Sait Ozturk and Dick van Dijk, working paper version will be available later this year) and Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) have been accepted for presentation at the Society for Computational Economics 19th International Conference on Computing in Economics and Finance in Vancouver, Canada. Olaf, Anne, Sait and myself, respectively, will do the presentations. |
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| Apr. 17, 2013 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation at the Canadian Economics Association Annual Conference in Montreal, Canada. Dennis will do the presentation. |
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| Apr. 17, 2013 |
The paper Common Factors in Commodity Futures Curves (joint with Dennis Karstanje and Dick van Dijk, working paper version will be available later this year) has been accepted for presentation at the 51st Meeting of the Euro Working Group on Commodities and Financial Modelling in London, UK. Dennis will do the presentation. |
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| Mar. 11, 2013 |
The paper Forecasting Interest Rates with Shifting Endpoints (joint with Dick van Dijk, Siem Jan Koopman and Jonathan Wright) has been updated, see the research section for more information. |
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| Feb. 27, 2013 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham) is available online through SSRN, see the research section for more information. |
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| Feb. 7, 2013 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham, working paper version will be available soon) has been accepted for presentation at the 6th Financial Risks International Forum on Liquidity Risk in Paris, France. Dennis will do the presentation. |
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| Feb. 7, 2013 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) has been accepted for presentation at the Humboldt-Copenhagen Conference 2013: Recent Developments in Financial Econometrics in Berlin, Germany. |
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| Feb. 7, 2013 |
I will present the paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor, see the research section for more information) on the 9th of April 2013 at a Universität Hamburg seminar. |
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| Feb. 7, 2013 |
The resume section on the site has been updated. |
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| Dec. 10, 2012 |
The paper Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (joint with Siem Jan Koopman) is forthcoming in the International Journal of Forecasting (IJF). |
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| Dec. 4, 2012 |
The data for the paper Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) are available through the Journal of Applied Econometrics (JAE) website, see the research section for more information. |
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| Nov. 27, 2012 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has been updated, see the research section for more information. |
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| Nov. 10, 2012 |
The paper Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (joint with Siem Jan Koopman) has been updated, see the research section for more information. |
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| Oct. 9, 2012 |
The paper Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) is forthcoming in the Journal of Applied Econometrics (JAE). |
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| Oct. 9, 2012 |
Starting July 15, 2012, I am a Tinbergen Institute (TI) Research Fellow. The fellowship is awarded based on publication record. |
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| Jul. 24, 2012 |
The paper Forecasting Interest Rates with Shifting Endpoints (joint with Dick van Dijk, Siem Jan Koopman and Jonathan Wright) is available online through SSRN and as Tinbergen Institute Discussion Paper 12-076/4, see the research section for more information. |
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| Jul. 24, 2012 |
The paper Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (joint with Siem Jan Koopman) has been updated, see the research section for more information. |
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| Jul. 24, 2012 |
The paper Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (joint with Lei Pan and Olaf Posch) is now available as CREATES Research Paper 2012-26. |
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| May 30, 2012 |
The paper Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (joint with Lei Pan and Olaf Posch) is available online through SSRN, see the research section for more information. |
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| May 17, 2012 |
The paper Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) has been updated, see the research section for more information. |
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| Apr. 19, 2012 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham, working paper version will be available later) has been accepted for presentation at the Econometric Society European Meeting in Malaga, Spain. Dennis will do the presentation. |
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| Apr. 17, 2012 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has been updated, see the research section for more information. |
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| Mar. 28, 2012 |
The paper Economic Valuation of Liquidity Timing (joint with Dennis Karstanje, Elvira Sojli and Wing Wah Tham, working paper version will be available later) has been accepted for presentation at the SMU-ESSEC Symposium on Empirical Finance and Financial Econometrics in Singapore, and at the 18th Society for Computational Economics Conference on Computing in Economics and Finance in Prague, Czech Republic. Dennis will do both presentations. |
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| Mar. 28, 2012 |
The paper Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (joint with Pan Lei and Olaf Posch, working paper version will be available soon) has been accepted for presentation at the Chinese Economic Society 2012 Annual Conference in Kaifeng, China. |
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| Mar. 28, 2012 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) is now available as CREATES Research Paper 2012-08. |
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| Mar. 12, 2012 |
All sections on the site have been update. |
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| Mar. 8, 2012 |
I was nominated for Top Talent Researcher of the Erasmus School of Economics. |
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| Feb. 24, 2012 |
Since January 1, 2012, I am working on a NWO Innovational Research Incentives Scheme Veni Grant! The excellent news of being awarded the grant (August 2011) was covered on the websites of the Eramus University Rotterdam, Eramus School of Economics (also in Dutch), Erasmus Research Institute Management, Erasmus Magazine, Erasmus Finance, and at the Talent Day. See also the NWO Press Message on all the subsidies, and the Project Details. |
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| Feb. 24, 2012 |
The paper Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces (joint with Pan Lei and Olaf Posch, working paper version will be available soon) has been accepted for presentation at the Chinese Economic Association (UK/Europe) 2012 Annual Conference in London, UK. |
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| Feb. 24, 2012 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) has been updated, see the research section for more information. |
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| Feb. 24, 2012 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) has been presented at the Euro Area Business Cycle Network conference on Econometric Modelling of Macro-Financial Linkages in Florence, Italy. |
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| Feb. 24, 2012 |
After a (too) long break I am finally updating the website again. Today I updated the research page, online version of resume, homepage and bio. More updates will come the following weeks. |
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| Aug. 15, 2011 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) has been accepted for presentation at the 2012 North American Winter Meeting of the Econometric Society in Chicago, IL, USA. |
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| Aug. 15, 2011 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor, see the research section for more information) has been accepted for presentation at the Annual Central Bank Workshop on the Microstructure of Financial Markets in Stavanger, Norway. Anne will do the presentation. |
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| Aug. 15, 2011 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor, see the research section for more information) was discussed in Economisch Statistische Berichten. |
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| Aug. 15, 2011 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) has been accepted for presentation at the 65th European Meeting of the Econometric Society in Oslo, Norway. Olaf will do the presentation. |
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| Aug. 15, 2011 |
The paper Estimating Dynamic Equilibrium Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) has been updated, see the research section for more information. |
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| May 16, 2011 |
My presentation at the 2011 WFA Annual Meetings is scheduled at Tuesday, June 21, 2011, 2:45 pm – 4:30 pm; my poster presentation at Fourth Annual SoFiE Conference is scheduled at Friday, June 17, 2011, 11:55 am - 2:00 pm. |
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| May 16, 2011 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor, see the research section for more information) has been accepted for presentation at the 2011 European Finance Association Conference in Stockholm, Sweden. Anne will do the presentation. |
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| May 16, 2011 |
The paper On the Effects of Private Information on Volatility (joint with Anne Opschoor, Dick van Dijk, and Nick Taylor) is available online through SSRN and as Tinbergen Institute Discussion Paper 11-077/4, see the research section for more information. |
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| May 16, 2011 |
The paper Forecasting the U.S. Term Structure of Interest Rates Using a Macroeconomic Smooth Dynamic Factor Model (joint with Siem Jan Koopman) is available online through SSRN and as Tinbergen Institute Discussion Paper 11-063/4, see the research section for more information. |
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| Mar. 21, 2011 |
The paper Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data (joint with Borus Jungbacker and Siem Jan Koopman) is forthcoming in the Journal of Economic Dynamics and Control (JEDC). |
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| Mar. 14, 2011 |
The paper Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate (joint with Albert Menkveld and Asani Sarkar) is forthcoming in the Journal of Financial and Quantitative Analysis (JFQA). |
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| Mar. 14, 2011 |
I will present the paper Estimating Continuous-Time DSGE Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) at the 2011 WFA Annual Meetings in Santa Fe, NM, USA. |
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| Mar. 14, 2011 |
I will present the paper Estimating Continuous-Time DSGE Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch, see the research section for more information) in a poster session at the Fourth Annual SoFiE Conference in Chicago, IL, USA. |
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| Mar. 14, 2011 |
I was one of 9 nominees for Top Lecturer 2010 of the Erasmus School of Economics. |
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| Mar. 14, 2011 |
Caught on Google Streetview after getting my breakfast in Aarhus, Denmark :-) |
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| Mar. 14, 2011 |
The paper Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate (joint with Albert Menkveld and Asani Sarkar) has been updated, see the research section for more information. |
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| Mar. 14, 2011 |
The paper Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data (joint with Borus Jungbacker and Siem Jan Koopman) has been updated, see the research section for more information. |
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| Mar. 11, 2011 |
The paper Estimating Continuous-Time DSGE Models using Macro and Financial Data (joint with Bent Jesper Christensen and Olaf Posch) is available online, see the research section for more information. |
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| Jan. 4, 2011 |
The paper Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Riskfree Rate (joint with Albert Menkveld and Asani Sarkar) has been updated, see the research section for more information. |
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| Dec. 7, 2010 |
I will present the paper Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 12th of December 2010 at the 4th CSDA International Conference on Computational and Financial Econometrics in London, UK. |
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| Sept. 21, 2010 |
The paper Smooth Dynamic Factor Analysis with an Application to the U.S. Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) has been updated, see the research section for more information. |
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| June 22, 2010 |
I will present the paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman, see the research section for more information) on 17nd-21st of August 2010 at the Econometric Society World Conference in Shanghai. |
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| June 22, 2010 |
The paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee) has appeared in this year's July issue of the Journal of Business and Economic Statistics (JBES). |
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| June 22, 2010 |
The paper Customer Flow, Intermediaries, and Discovery of the Equilibrium Riskfree Rate (joint with Albert Menkveld and Asani Sarkar) has been updated, see the research section for more information. |
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| June 22, 2010 |
I have made some small updates to my resume, see the resume section for more information. |
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| Apr. 1, 2010 |
I will present the paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman, see the research section for more information) on 2nd-4th of July 2010 at the 16th International Conference on Panel Data in Amsterdam. |
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| Apr. 1, 2010 |
I will present the paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman, see the research section for more information) on 29th of April 2010 at the 2010 International Symposium on Econometric Theory and Applications in Singapore. |
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| Apr. 1, 2010 |
I will present the paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman, see the research section for more information) on 9th of April 2010 at the 2nd Amsterdam-Bonn Workshop in Econometrics in Amsterdam. |
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| Apr. 1, 2010 |
The paper An Asset Pricing Approach to Testing General Term Structure Models Including Heath-Jarrow-Morton Specifications and Affine Subclasses (joint with Bent Jesper Christensen) has been updated is now available on SSRN and as CREATES Research Paper RP 2010-14. |
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| Apr. 1, 2010 |
The paper Dynamic Factor Analysis in The Presence of Missing Data (joint with Borus Jungbacker and Siem Jan Koopman) has been updated and renamed to Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data, see the research section for more information. |
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| Apr. 1, 2010 |
I have Skype and LinkedIn contact information, see the contact section for more information. |
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| Apr. 1, 2010 |
I have added links to three more interesting papers on how to write reports and the thesis, see the teaching section for more information. |
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| Apr. 1, 2010 |
I have made some small updates to my resume, see the resume section for more information. |
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| Oct. 9, 2009 |
The paper Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (first author, joint with Albert Menkveld and Asani Sarkar) is now available as Federal Reserve Bank of New York Staff Report 395. |
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| Oct. 9, 2009 |
The paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) is now available as CREATES Research Paper 2009-39. |
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| Oct. 9, 2009 |
The Nederlands Dagblad wrote a small piece based on my Economie Opinie article, see link. |
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| Sept. 16, 2009 |
I will present the paper Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 24th/25th of September 2009 at the FERC 2009 Conference: Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics in Warwick, UK. |
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| May 27, 2009 |
The paper Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes (first author, joint with Albert Menkveld and Asani Sarkar) is now available as Tinbergen Institute Discussion Paper 09-046/3. |
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| May 27, 2009 |
I wrote a small opinion article in Dutch, De kreditcrisis en Ajax, for the website Economie Opinie. The article is available here. |
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| May 19, 2008 |
The paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar) has been updated and renamed to Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes, see the research section for more information. |
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| May 15, 2009 |
The paper Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates (joint with Borus Jungbacker and Siem Jan Koopman) is now available as Tinbergen Institute Discussion Paper 09-041/4. |
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| May 4, 2009 |
Starting March 6, 2009, I am a Tinbergen Institute (TI) Candidate Research Fellow. |
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| Mar. 13, 2009 |
The paper Dynamic Factor Analysis in The Presence of Missing Data (joint with Borus Jungbacker and Siem Jan Koopman) is now available as Tinbergen Institute Discussion Paper 09-010/4. |
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| Mar. 13, 2009 |
I wrote a small opinion article in Dutch, Leren van de Handel, for the website Economie Opinie. The article is available here. |
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| Mar. 13, 2009 |
Together with Albert Menkveld and Milada Gadourek I organize a workshop, Liquidity and Volatility in Today's Market, that will take place June 2, 2009, in Amsterdam. More information is available here. |
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| Mar. 13, 2009 |
With the Tinbergen Institute Alumni Board we organize an alumni event combined with a symposium on the financial crisis, that will take place June 5, 2009. More information is available here. |
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| Mar. 13, 2009 |
Starting January 1, 2009, I am member of the Tinbergen Institute Alumni Board. |
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| Jan. 8, 2009 |
Starting January 1, 2009, I am an Erasmus Research Institute of Management (ERIM) Associate Member. |
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| Jan. 8, 2009 |
I will present the paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 20th/21st of March 2009 at the Humboldt-Copenhagen Conference 2009: Recent Developments in Financial Econometrics. |
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| Dec. 9, 2008 |
All sections of the site updated, plus new teaching section. |
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| Dec. 1, 2008 |
I succesfully defended my dissertation, and am now officially a PhD! |
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| Sept. 11, 2008 |
The paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee) is forthcoming in the Journal of Business and Economic Statistics (JBES). |
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| Sept. 1, 2008 |
I started my position in Rotterdam. Mid-September will be my first visit to CREATES in Aarhus. The home, bio, resume and contact sections have all been updated. |
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| Sept. 1, 2008 |
The public defense of my dissertation is scheduled for December 1, 2008, at the VU University Amsterdam. |
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| June 29, 2008 |
The home, bio, resume and research sections have all been updated. |
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| June 29, 2008 |
The paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee) has been updated, see the research section for more information. |
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| June 29, 2008 |
The paper Discovering the Equilibrium Riskfree Rate (joint with Albert Menkveld and Asani Sarkar) has been updated and renamed to Customer Flow, Intermediaries, and the Discovery of the Equilibrium Riskfree Rate, see the research section for more information. |
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| June 29, 2008 |
On June 27, 2008, I have presented the paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) at the First Erasmus Liquidity Conference. In addition I discussed a paper. |
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| Apr. 20, 2008 |
I will present the paper Discovering the Equilibrium Riskfree Rate (joint with Albert Menkveld and Asani Sarkar, see the research section for more information) in June 2008 at the CFS Research Conference The Industrial Organisation of Securities Markets: Competition, Liquidity and Network Externalities. In addition I will discuss a paper. |
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| Apr. 20, 2008 |
May 17-25, 2008, I will visit the Federal Reserve Bank of New York to work on my projects with Asani Sarkar. |
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| Apr. 20, 2008 |
I will present the paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 6th of May 2008 at the Tinbergen Institute PhD Lunch Seminars Amsterdam. |
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| Apr. 20, 2008 |
I will present the paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 25th of April 2008 at the Finance@VU Seminar Series. |
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| Mar. 16, 2008 |
List of presentations updated, see the resume section for more information. |
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| Mar. 16, 2008 |
I will discuss a paper at the Workshop 3M in Finance and Macroeconomics, organized by the Econometric Institute, Erasmus Research Institute of Management (both Erasumus University Rotterdam) and the Tinbergen Institute, on the 20th of March 2008. |
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| Mar. 16, 2008 |
I will present the paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee, see the research section for more information) on the 27th of March 2008 at the Day of Statistics and Operations Research. |
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| Mar. 4, 2008 |
The paper Are Market Makers Liquidity Suppliers? (first author, joint with Albert Menkveld and Asani Sarkar) is available online, see the research section for more information. |
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| Feb. 17, 2008 |
I will present the paper Discovering the Equilibrium Riskfree Rate (joint with Albert Menkveld and Asani Sarkar, see the research section for more information) on the 10th of March 2008 at the University of Mannheim Center for Finance Seminar Series. |
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| Feb. 17, 2008 |
List of presentations updated, see the resume section for more information. |
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| Jan. 18, 2008 |
List of presentations updated, see the resume section for more information. |
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| Dec. 21, 2007 |
The paper Macro News, Riskfree Rates, and the Intermediary: Customer Orders for 30Y Treasury Futures (joint with Albert Menkveld and Asani Sarkar) has been updated and renamed to Discovering the Equilibrium Riskfree Rate, see the research section for more information. |
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| Dec. 7, 2007 |
The paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee) is now also available as Tinbergen Institute Discussion Paper 07-095/4. |
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| Dec. 6, 2007 |
I will present the paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters (joint with Siem Jan Koopman and Max Mallee, see the research section for more information) on the 11th of January 2008 at the Tinbergen Institute Econometrics Seminar Series. |
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| Nov. 11, 2007 |
The paper Macro News, Riskfree Rates, and the Intermediary: Customer Orders for 30Y Treasury Futures (joint with Albert Menkveld and Asani Sarkar) is now also available as Federal Reserve Bank of New York Staff Report 307 and Tinbergen Institute Discussion Paper 07-086/2. |
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| Nov. 2, 2007 |
The paper The Informativeness of Customer Order Flow following Macroeconomic Announcements: Evidence from Treasury Futures Markets (joint with Albert Menkveld and Asani Sarkar) has been updated and renamed to Macro News, Riskfree Rates, and the Intermediary: Customer Orders for 30Y Treasury Futures, see the research section for more information. |
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| Nov. 1, 2007 |
The paper The Dynamic Nelson-Siegel Model with Time-Varying Loadings and Volatility (joint with Siem Jan Koopman and Max Mallee) has been updated and renamed to Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters, see the research section for more information. |
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| Oct. 24, 2007 |
I will present the paper The Dynamic Nelson-Siegel Model with Time-Varying Loadings and Volatility (joint with Siem Jan Koopman and Max Mallee, see the research section for more information) at the NAKE Research Day 2007. |
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| Oct. 24, 2007 |
News section added to the site, other minor changes made. |
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| Oct. 8, 2007 |
First version of this website online. |