Research:
International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:
- Time varying volatility such as GARCH models, univariate and multivariate.
- Nonlinear time series models, such as regime switching and threshold models.
- Nonlinear, and linear, multivariate cointegration models, with and without time varying volatility
- Poisson intensity count models.
- Development of Bootrap-based econometric analyses.
Teaching:
- Financial Econometrics | Univariate Volatility models, including GARCH, Stochastic Volatility and Realized Volatility
- Financial Econometrics | Multivariate modeling, including multivariate GARCH, factor models and term structure models.
- Cointegration and time series analysis.
- Econometrics C | An introduction to time series and likelihood-based econometrics.
