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职业迁徙
个人简介
Teach undergraduate financial economics and computational finance. Created free Coursera course "Introduction to Computational Finance and Financial Econometrics" Active research areas: econometric theory (weak instruments, identification issues, hypothesis testing); time series econometrics (state space modeling, nonstationary time series modeling, structural change); financial econometrics (general issues with high frequency data, realized variance and covariance modeling, empirical market microstructure); simulation based methods (indirect inference, bayesian methods, particle filter and sequential Monte Carlo methods); quantitative risk modeling (risk models for alternative investments, factor models).
研究兴趣
论文共 134 篇作者统计合作学者相似作者
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user-5ebe28d54c775eda72abcdf7(2013)
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mag(2012)
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JOURNAL OF BUSINESS & ECONOMIC STATISTICSno. 1 (2012): 25.0-44.0
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