• Recurrent Neural Network GO-GARCH Model for Portfolio Selection ( Journal of Time Series Econometrics, vol. 16(2), 2024, pp. 67-81.) with Martin Burda

Awarded the Best Student Poster Award at the 39th Canadian Econometrics Study Group Meeting (York University, 2024)

We develop a hybrid model of multivariate volatility that uses Recurrent Neural Networks to capture the conditional variances of latent orthogonal factors in a GO-GARCH framework. Our approach seeks to balance model flexibility with ease of estimation and can be used to model conditional covariances of a large number of assets. The model performs favourably in comparison with relevant benchmark models in a Minimum Variance Portfolio (MVP) scenario.

• When are People More Open to Cheating? Economic Inequality Makes People Expect More Everyday Enethical Behavior (PLoS ONE, February 2024) with Anita Schmalor and Steven Heine
  
  Economic inequality has been found to be associated with increased unethical behavior and an increased acceptance of unethical behavior. In this paper we explored whether higher amounts of perceived inequality lead to an increase in the expectation of unethical behavior. We tested whether people would say that they themselves would engage in more unethical behavior in a context of high compared to low inequality. We find evidence for this hypothesis in 3 of 4 studies (n = 3,038). An internal meta-analysis shows a small but significant effect. Such increased expectations that oneself will behave unethically likely has consequences for societal trust and functioning.

• Dynamic Factor Binary Panels -  Identification and Particle Filter Estimation

Identification and estimation of a binary panel model with common factors in the latent variable. Partial identification analysis including identified sets. Broad class of applications. To showcase: dynamic industry entry and exit decisions into the export market. Using methods from partial identification, spectral analysis, particle filters.

Presentations: University of Toronto (Econometrics Seminar)

• Dynamic Investment Games: Social Value of Information

Analysis of dynamic game involving uncertain investment value. Elements of a social learning process. Main question: is investment breakdown after a singe period of no investment by any party avoidable by introducing a public signal that is sufficiently accurate? With real option value capuring a linear equilibtrium in the private and the common posterior