I am a PhD candidate at Erasmus University Rotterdam and the Tinbergen Institute under the supervision of Prof. Dick van Dijk. My research interests are financial and macroeconomic time-series econometrics.

In my job market paper titled "Information-Theoretic Time-Varying Density Modeling" I propose a general framework for constructing dynamic conditional density models by combining recent insights in the optimization literature with information theory. The framework can be used to construct new models with a variety of attractive properties, such as parameterization invariance, as well as be used to provide new insights into a large selection of existing time-series models.

I will be on the EJME 2022 and can be contacted at: vanos@ese.eur.nl

Placement director: Prof. Eric Bartelsman (e.j.bartelsman@tinbergen.nl)
References: Prof. Dick van Dijk, Prof. Chen Zhou, Dr. Rutger-Jan Lange
Links: SSRN, Erasmus, Tinbergen