Visiting Professor at Departamento de Economía Aplicada

Universitat de les Illes Balears


Office hours: Wednesdays 11:00-12:30 DB210 (please send an email before coming!)

Research interests

  • Bayesian econometrics
  • Sequential Monte Carlo Methods, particle filters
  • Bayesian non-parametrics
  • State-space models, Dynamic linear models (DLMs)
  • Financial econometrics, time-varying volatility models
  • Copulas

References

Publications in Scientific Journals and Book Chapters

  1. Virbickaitė, A., Lopes, H.F., 2019. Bayesian Semi-Parametric Markov Switching Stochastic Volatility Model , Online version - Applied Stochastic Models in Business and Industry, DOI:10.1002/asmb.2434
  2. Sansó, A., Virbickaitė, A., 2019. Escenarios Demográficos y de Consumo en Balears, Estudio Horizonte 2030, Consejo Económico y Social de las Illes Balears, Forthcoming.
  3. Virbickaitė, A., Lopes, H.F., Ausín, C., Galeano, P., 2018. Particle Learning for Bayesian semi-Parametrc Stochastic Volatility Model, Econometric Reviews, Eprint. (Online Appendix) DOI: 10.1080/07474938.2018.1514022
  4. Virbickaitė, A., Ausín, C., Galeano, P., 2015. Bayesian Inference Methods for Univariate and Multivariate GARCH Models: a Survey, Journal of Economic Surveys, 29 (1), 76-96, DOI: 10.1111/joes.12046 arXiv:1402.0346
  5. Virbickaitė, A., Ausín, C., Galeano, P., 2014. A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection, Computational Statistics and Data Analysis, 100, 814–829, DOI: 10.1016/j.csda.2014.12.005 arXiv:1301.5129v2

Works in Progress

  • Virbickaitė, A., Lopes, H.F. DPM^2 and Stochastic Volatility.
  • Virbickaitė, A., Ausín, C., Galeano, P. Approximate Bayesian Computation for Copula Stochastic Volatility in oil spot returns.
  • Virbickaitė, A., Lopes, H.F. Dynamic mixed frequency copula.
  • Virbickaite, A., Sequential Stock Return Prediction Through Copulas
  • Zhang, X., Virbickaite, A. The impact of financial, macroeconomic and non-economic factors on the hospitality industry in Spain and the UK

Selected Conferences & Talks

  • 2019: A presenter and Chair of the Program Committee for the Spring Meeting of Young Economists 2019 (SMYE2019), Brussels, April .
  • 2018: Invited seminar at Westfälische Wilhelms-Universität Münster, Center for Quantitative Economics, Germany, July.
  • 2017: Invited seminar at Universitat de les Illes Balears, Applied Economics Department, Spain, January. Invited talk at the 1st International Conference on Econometrics and Statistics (EcoSta 2017), Hong Kong, June. Invited talk at The 11th International Conference on Computational and Financial Econometrics (CFE 2017), London, December.
  • 2016: Invited talk at Computational Social Sciences Workshop, Konstanz, Germany, July. Invited talk at Workshop in Bayesian Econometrics, UC3M, Madrid, Spain, June. Invited talk at the 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2016), Seville, Spain, December. Contributed talk at German Statistical Week, Augsburg, Germany, September 13-16th.
  • 2015: Young Invited Speaker at 9th Workshop on Bayesian Inference in Stochastic Processes, Istanbul, Turkey, June. Invited seminar at Westfälische Wilhelms-Universität Münster, Center for Quantitative Economics, Germany, June. Invited talk at the 9th International Conference on Computational and Financial Econometrics (CFE 2015), London, UK, December.
  • 2014: Thesis seminar at UC3M, Statistics Department, December. Invited talk at Workshop Workshop Métodos Bayesianos'14. Madrid, at Universidad Complutense, Madrid, Spain, November. Contributed talk at IVt Workshop in Time Series Econometrics, Zaragoza, Spain, April.
  • 2013: Invited talk at the 7th CSDA International Conference on Computational and Financial Econometrics (CFE 2013), London, UK, December. Intermediate thesis seminar at UC3M, Statistics Department, November. Invited seminar at the School of Computing & Mathematics, Plymouth University, UK, October.
  • 2012: Invited talk at the 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, December.