Research
Research
Journal Articles
“An automated approach towards sparse single-equation cointegration modelling” (2021), with Stephan Smeekes. Journal of Econometrics 221 (1), 247-276.
"High-dimensional forecasting in the presence of unit roots and cointegration" (2019), with Stephan Smeekes. In Fuleky, P. (eds) "Macroeconomic Forecasting in the Era of Big Data". Advanced Studies in Theoretical and Applied Econometrics, vol 52. Springer, Cham.
"Macroeconomic forecasting using penalized regression methods" (2018), with Stephan Smeekes. International Journal of Forecasting 34 (3), 408-430
Working Papers
"Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO2 sattelite data" (2021), with Hanno Reuvers. https://arxiv.org/abs/2108.02864
"A restricted eigenvalue condition for unit root non-stationary data" (2022). https://arxiv.org/abs/2208.12990
Work in Progress
"The limiting spectral distribution of separable reduced rank covariance matrices"
"High-dimensional dynamic partial conditional correlation models", with Enzo d'Innocenzo and Andre Lucas
Personal Master Theses
"Comparing the prediction accuracy of high-dimensional statistics" (2015), supervised by Stephan Smeekes
"The impact of rating differentials on loan spreads" (2014), supervised by Stephanie Kleimeier
Upcoming conferences
5th Internation Workshop in Financial Econometrics, Bahia, October 2023
Past conferences
28th International Panel Data Conference, Amsterdam, July 2023
Dimensionality Reduction and Inference in High-Dimensional Time Series, Maastricht, July 2021
Bernoulli-IMS One World Symposium, August 2020
13th International Conference on Computational and Financial Econometrics (CFE), London, December 2019
18th Time Series and Econometrics Meeting (ESTE), Gramado, September 2019
29th (EC)^2 Conference, Rome, December 2018
12th Netherlands Econometrics Study Group (NESG), Amsterdam, May 2018
11th International Conference on Computational and Financial Econometrics (CFE), London, December 2017
8th European Seminar on Bayesian Econometrics (ESBE), Maastricht, October 2017
25th Annual Symposium of The Society for Nonlinear Dynamics and Econometrics (SNDE), Paris, March 2017
9th International Conference on Computational and Financial Econometrics (CFE), London, December 2015